Martin D.D. Evans

Georgetown University - Department of Economics

Professor

Washington, DC 20057

United States

SCHOLARLY PAPERS

51

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Scholarly Papers (51)

1.

Non-Standard Errors

Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 29 Nov 2021
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yun Jiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Prokopczuk Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund (IMF), Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, Auburn University, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Lum University Giuseppe Degennaro, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, affiliation not provided to SSRN, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Management School, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, Vrije Universiteit Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, Vrije Universiteit Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, Queen's University - Smith School of Business, University of Technology Sydney (UTS), Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of Sydney Business School, Université Paris Dauphine, Hong Kong Institute for Monetary and Financial Research, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, Cornell University, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University, Justus Liebig University Giessen, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Faculty of Economics and Administration, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Norwegian School of Economics (NHH), HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University, University of Maryland, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), Vrije Universiteit Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna Graduate School of Finance (VGSF), Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, Vrije Universiteit Amsterdam, Auburn University, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, Vrije Universiteit Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Stockholm School of Economics, University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, Leibniz University Hannover, Pontifical Catholic University of Chile and Aalto University
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non-standard errors, multi-analyst approach, liquidity

2.
Downloads 1,113 ( 24,813)
Citation 313

Order Flow and Exchange Rate Dynamics

Number of pages: 46 Posted: 23 Sep 1999
Richard K. Lyons and Martin D.D. Evans
University of California, Berkeley and Georgetown University - Department of Economics
Downloads 1,039 (26,958)
Citation 12

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Order Flow and Exchange Rate Dynamics

Number of pages: 46 Posted: 19 Jul 2000 Last Revised: 01 Jul 2021
Martin D.D. Evans and Richard K. Lyons
Georgetown University - Department of Economics and University of California, Berkeley
Downloads 74 (404,951)
Citation 37

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Order Flow and Exchange Rate Dynamics

Posted: 25 Jan 2002
Martin D.D. Evans and Richard K. Lyons
Georgetown University - Department of Economics and University of California, Berkeley

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3.

Forex Trading and the WMR Fix

Number of pages: 81 Posted: 31 Aug 2014 Last Revised: 25 Sep 2017
Martin D.D. Evans
Georgetown University - Department of Economics
Downloads 884 (34,333)
Citation 7

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Forex Trading, Order Flows, Forex Price Fixes, Microstructure Trading Models

4.
Downloads 750 ( 43,080)
Citation 55

FX Trading and Exchange Rate Dynamics

Georgetown University Dept. of Economics Working Paper
Number of pages: 57 Posted: 11 Dec 2000
Martin D.D. Evans
Georgetown University - Department of Economics
Downloads 676 (48,854)

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Exchange rates, trading, FX, microstructure

FX Trading and Exchange Rate Dynamics

Number of pages: 70 Posted: 09 Feb 2001 Last Revised: 07 Mar 2021
Martin D.D. Evans
Georgetown University - Department of Economics
Downloads 74 (404,951)
Citation 7

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FX Trading and Exchange Rate Dynamics

Posted: 03 Sep 2003
Martin D.D. Evans
Georgetown University - Department of Economics

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5.

Index-Linked Debt and the Real Term Structure: New Estimates and Implications from the U.K.

Number of pages: 48 Posted: 11 Dec 1996
Martin D.D. Evans
Georgetown University - Department of Economics
Downloads 606 (56,993)

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6.

Microstructure of Foreign Exchange Markets

Number of pages: 31 Posted: 13 Mar 2019
Martin D.D. Evans and Dagfinn Rime
Georgetown University - Department of Economics and BI Norwegian Business School
Downloads 586 (59,730)
Citation 4

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Exchange-Rate Dynamics, Microstructure, Order Flows, Liquidity, Electronic trading

7.

Regime Shifts, Risk and the Term Structure

Number of pages: 36 Posted: 28 Jan 1999
Martin D.D. Evans
Georgetown University - Department of Economics
Downloads 537 (66,346)
Citation 13

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Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting

Number of pages: 16 Posted: 10 Jan 2005
Martin D.D. Evans and Richard K. Lyons
Georgetown University - Department of Economics and University of California, Berkeley
Downloads 440 (83,882)
Citation 2

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Exchange rates, forecasting, Meese and Rogoff, microstructure, order flow

Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting

Number of pages: 23 Posted: 09 Feb 2005 Last Revised: 04 Sep 2021
Martin D.D. Evans and Richard K. Lyons
Georgetown University - Department of Economics and University of California, Berkeley
Downloads 79 (389,903)
Citation 6

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Downloads 491 ( 74,186)
Citation 13

A New Micro Model of Exchange Rate Dynamics

Number of pages: 63 Posted: 05 Mar 2004
Martin D.D. Evans and Richard K. Lyons
Georgetown University - Department of Economics and University of California, Berkeley
Downloads 434 (85,220)

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Exchange rates, dispersed information, general equilibrium, microstructure

A New Micro Model of Exchange Rate Dynamics

Number of pages: 64 Posted: 31 Mar 2004 Last Revised: 12 Nov 2021
Martin D.D. Evans and Richard K. Lyons
Georgetown University - Department of Economics and University of California, Berkeley
Downloads 57 (464,949)
Citation 6

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10.

Fixing the Fix? Assessing the Effectiveness of the 4pm Fix Benchmark

FCA Occasional Paper
Number of pages: 98 Posted: 25 Oct 2018
Martin D.D. Evans, Peter O'Neill, Dagfinn Rime and Jo Saakvitne
Georgetown University - Department of Economics, Financial Conduct Authority, BI Norwegian Business School and BI Norwegian Business School
Downloads 369 (103,603)
Citation 5

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benchmark, foreign exchange markets, 4pm fix, market microstructure, transactions-based fixing

11.

Dividend Variability and Stock Market Swings

S-95-22
Number of pages: 37 Posted: 01 Feb 1996
Martin D.D. Evans
Georgetown University - Department of Economics
Downloads 359 (106,853)
Citation 2

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12.
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Citation 39

Do Currency Markets Absorb News Quickly?

Number of pages: 24 Posted: 10 Jan 2005
Martin D.D. Evans and Richard K. Lyons
Georgetown University - Department of Economics and University of California, Berkeley
Downloads 277 (140,591)

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exchange rates, news, macroeconomic announcements

Do Currency Markets Absorb News Quickly?

Number of pages: 25 Posted: 04 Feb 2005 Last Revised: 03 Sep 2021
Martin D.D. Evans and Richard K. Lyons
Georgetown University - Department of Economics and University of California, Berkeley
Downloads 74 (404,951)
Citation 6

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Portfolio Balance, Price Impact, and Secret Intervention

Georgetown University Economics Working Paper
Number of pages: 37 Posted: 19 Jun 2001
Martin D.D. Evans and Richard K. Lyons
Georgetown University - Department of Economics and University of California, Berkeley
Downloads 247 (158,029)
Citation 4

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Exchange rates, portfolio balance models, microstructure, intervention

Portfolio Balance, Price Impact, and Secret Intervention

Number of pages: 38 Posted: 28 Jun 2001 Last Revised: 01 Nov 2021
Martin D.D. Evans and Richard K. Lyons
Georgetown University - Department of Economics and University of California, Berkeley
Downloads 35 (568,639)

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Downloads 270 (145,021)
Citation 7

Micro Approaches to Foreign Exchange Determination

Number of pages: 37 Posted: 26 Jan 2011
Martin D.D. Evans and Dagfinn Rime
Georgetown University - Department of Economics and BI Norwegian Business School
Downloads 137 (267,613)
Citation 3

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Exchange Rate Dynamics, Microstructure, Order Flow

Micro Approaches to Foreign Exchange Determination

Norges Bank Working Paper No. 2011/05
Number of pages: 45 Posted: 30 Sep 2011
Martin D.D. Evans and Dagfinn Rime
Georgetown University - Department of Economics and BI Norwegian Business School
Downloads 133 (273,887)
Citation 8

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Exchange Rate Dynamics, Microstructure, Order Flow

Exchange Rates, Interest Rates and the Global Carry Trade

Number of pages: 67 Posted: 17 Jul 2017
Martin D.D. Evans and Dagfinn Rime
Georgetown University - Department of Economics and BI Norwegian Business School
Downloads 140 (262,915)
Citation 1

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Exchange Rate Dynamics, Microstructure, Order Flow

Exchange Rates, Interest Rates and the Global Carry Trade

Norges Bank Working Paper 14/17; ISBN 978-82-7553-994-4
Number of pages: 70 Posted: 24 Oct 2017
Martin D.D. Evans and Dagfinn Rime
Georgetown University - Department of Economics and BI Norwegian Business School
Downloads 113 (308,700)

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Exchange Rate Dynamics, Microstructure, Order Flow

International Capital Flows, Returns and World Financial Integration

Number of pages: 42 Posted: 13 Oct 2005 Last Revised: 07 Aug 2012
Martin D.D. Evans and Viktoria V. Hnatkovska
Georgetown University - Department of Economics and University of British Columbia (UBC) - Department of Economics
Downloads 192 (200,693)

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Globalization, Portfolio Choice, Financial Integration, Incomplete Markets, Asset Prices

International Capital Flows, Returns and World Financial Integration

Number of pages: 50 Posted: 21 Dec 2005 Last Revised: 23 Jun 2021
Martin D.D. Evans and Viktoria V. Hnatkovska
Georgetown University - Department of Economics and University of British Columbia (UBC) - Department of Economics
Downloads 61 (449,441)
Citation 4

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17.

The Microstructure of Currency Markets

ENCYCLOPEDIA OF FINANCIAL GLOBALIZATION, Forthcoming
Number of pages: 19 Posted: 26 Jan 2011
Martin D.D. Evans
Georgetown University - Department of Economics
Downloads 231 (169,039)

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Currency Trading, Exchange Rates, Exchange Rate Puzzles, Exchange Rate Fundamentals, Foreign Ex- change Market, Microstructure, Order Flow, Risk Premium

18.

Order Flow Information and Spot Rate Dynamics

Number of pages: 34 Posted: 23 Apr 2015
Martin D.D. Evans and Dagfinn Rime
Georgetown University - Department of Economics and BI Norwegian Business School
Downloads 208 (186,638)
Citation 1

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Exchange Rate Dynamics, Microstructure, Order Flow

19.

A Method for Solving General Equilibrium Models with Incomplete Markets and Many Financial Assets

Number of pages: 45 Posted: 04 Oct 2005 Last Revised: 12 Sep 2008
Martin D.D. Evans and Viktoria V. Hnatkovska
Georgetown University - Department of Economics and University of British Columbia (UBC) - Department of Economics
Downloads 204 (190,024)
Citation 4

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Portfolio Choice, Incomplete Markets, Time-Varying Risk Premia, Perturbation Methods, Projection Methods

20.

Understanding Order Flow

Number of pages: 36 Posted: 01 Feb 2006 Last Revised: 07 Feb 2021
Martin D.D. Evans and Richard K. Lyons
Georgetown University - Department of Economics and University of California, Berkeley
Downloads 188 (204,620)
Citation 3

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21.
Downloads 184 (208,590)
Citation 3

Exchange-Rate Dark Matter

Number of pages: 59 Posted: 20 Jan 2012 Last Revised: 02 Feb 2012
Martin D.D. Evans
Georgetown University - Department of Economics
Downloads 116 (303,008)
Citation 3

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Exchange Rate Dynamics, Open-Economy Macro Models, Habits, Incomplete Markets, Collateral Constraints

Exchange-Rate Dark Matter

Number of pages: 63 Posted: 25 Mar 2012
Martin D.D. Evans
Georgetown University - Department of Economics
Downloads 68 (424,560)

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Economic models, Exchange rate depreciation, Exchange rates, Group of seven, Interest rates

Where are We Now? Real-Time Estimates of the Macro Economy

Number of pages: 39 Posted: 10 Jan 2005
Martin D.D. Evans
Georgetown University - Department of Economics
Downloads 106 (322,951)

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Real-time data, Kalman Filtering, Forecasting GDP

Where are We Now? Real-Time Estimates of the Macro Economy

Number of pages: 40 Posted: 15 Feb 2005 Last Revised: 26 Sep 2021
Martin D.D. Evans
Georgetown University - Department of Economics
Downloads 43 (526,273)

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Where are We Now? Real-Time Estimates of the Macro Economy

Number of pages: 38 Posted: 07 Nov 2005
Martin D.D. Evans
Georgetown University - Department of Economics
Downloads 24 (640,470)
Citation 4
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Forecasting GDP, Kalman filtering, real-time data

23.

Real Exchange Rate Dynamics Beyond Business Cycles

Number of pages: 61 Posted: 15 Apr 2020
Dan Cao, Martin D.D. Evans and Wenlan Luo
Georgetown University - Department of Economics, Georgetown University - Department of Economics and Tsinghua University - School of Economics & Management
Downloads 159 (236,246)

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Real Exchange Rates, International Real Business Cycles, Banking Crises, Backus-Smith Puzzle, Incomplete Markets, Global Solution Methods

24.

Front-Running and Collusion in Forex Trading

Number of pages: 67 Posted: 11 Jun 2019
Martin D.D. Evans
Georgetown University - Department of Economics
Downloads 159 (236,246)

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Forex Trading, Order Flows, Forex Price Fixes, Microstructure Trading Models

25.

Exchange Rate Fundamentals and Order Flow

Number of pages: 69 Posted: 27 Jun 2007 Last Revised: 09 Jun 2021
Martin D.D. Evans and Richard K. Lyons
Georgetown University - Department of Economics and University of California, Berkeley
Downloads 144 (256,223)
Citation 3

Abstract:

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26.

Bubbles, Crashes, and Sterilized Central Bank Intervention

Number of pages: 39 Posted: 20 Mar 2005
Martin D.D. Evans and Marcos Souto
Georgetown University - Department of Economics and George Washington University - School of Business
Downloads 127 (282,256)

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27.

Are Different-Currency Assets Imperfect Substitutes?

Number of pages: 44 Posted: 31 Jul 2003
Martin D.D. Evans and Richard K. Lyons
Georgetown University - Department of Economics and University of California, Berkeley
Downloads 120 (294,266)

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28.

Order Flows and the Exchange Rate Disconnect Puzzle

Journal of International Economics, Vol. 80, No. 1, 2010
Number of pages: 31 Posted: 26 Jan 2011
Martin D.D. Evans
Georgetown University - Department of Economics
Downloads 117 (299,515)
Citation 3

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Exchange rate dynamics, The exchange rate disconnect puzzle, Microstructure, Order Flow

29.

Solving General Equilibrium Models with Incomplete Markets and Many Financial Assets

Number of pages: 40 Posted: 27 Jan 2011
Martin D.D. Evans and Viktoria V. Hnatkovska
Georgetown University - Department of Economics and University of British Columbia (UBC) - Department of Economics
Downloads 111 (310,889)
Citation 1

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Portfolio Choice, Dynamic Stochastic General Equilibrium Models, Incomplete Markets, Numerical Solution Methods

30.

Understanding the Dynamics of the US External Position

Number of pages: 31 Posted: 26 Jan 2011
Martin D.D. Evans and Alberto Fuertes Mendoza
Georgetown University - Department of Economics and Georgetown University
Downloads 96 (342,403)
Citation 5

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Capital Flows, External Imbalances, International Debt, International Solvency

31.

FX Trading and the Exchange Rate Disconnect Puzzle

Number of pages: 44 Posted: 13 Nov 2018
Martin D.D. Evans
Georgetown University - Department of Economics
Downloads 91 (356,645)
Citation 1

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32.

Exchange Rates and Liquidity Risk

Number of pages: 37 Posted: 20 Oct 2020
Martin D.D. Evans
Georgetown University - Department of Economics
Downloads 83 (374,774)

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Foreign Currency Trading, Liquidity, Returns, Risk Premia, and Risk Factors

33.

Real Risk, Inflation Risk, and the Term Structure

The Economic Journal, Vol. 113, No. 487, April 2003
Number of pages: 46 Posted: 26 Jan 2011
Martin D.D. Evans
Georgetown University - Department of Economics
Downloads 79 (385,834)
Citation 2

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Term Structure, Risk Premia, Inflation Risk, Markov-Switching

34.
Downloads 75 (397,341)
Citation 1

International Capital Flows and Debt Dynamics

Number of pages: 60 Posted: 01 Nov 2012
Martin D.D. Evans
Georgetown University - Department of Economics
Downloads 45 (516,671)

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Capital Flows, External Imbalances, International Debt, International Solvency, Exorbitant Privilege, Economic Models, External Debt, Foreign Direct Investment

International Capital Flows and Debt Dynamics

Number of pages: 56 Posted: 27 Jun 2012
Martin D.D. Evans
Georgetown University - Department of Economics
Downloads 30 (598,602)

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Capital Flows, External Imbalances, International Debt, International Solvency, Exorbitant Privilege

35.

Financial Integration, Macroeconomic Volatility, and Welfare

Journal of the European Economic Association, Vol. 5, No, 2, May 2007
Number of pages: 10 Posted: 26 Jan 2011
Martin D.D. Evans and Viktoria V. Hnatkovska
Georgetown University - Department of Economics and University of British Columbia (UBC) - Department of Economics
Downloads 74 (400,365)
Citation 1

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Globalization, Incomplete Markets, Volatility, Welfare

36.

How is Macro News Transmitted to Exchange Rates?

Number of pages: 53 Posted: 10 Jan 2003 Last Revised: 11 Oct 2021
Martin D.D. Evans and Richard K. Lyons
Georgetown University - Department of Economics and University of California, Berkeley
Downloads 64 (432,620)
Citation 14

Abstract:

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37.

Global Imbalances, Risk and the Great Recession

Number of pages: 51 Posted: 04 Nov 2013
Martin D.D. Evans
Georgetown University - Department of Economics
Downloads 53 (472,999)

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Global Imbalances, Foreign Asset Positions, Current Accounts, International Debt, International Solvency, Great Recession

38.

Inventory Information

Number of pages: 45 Posted: 17 Aug 2003 Last Revised: 04 Nov 2010
H. Henry Cao, Richard K. Lyons and Martin D.D. Evans
University of North Carolina (UNC) at Chapel Hill - Finance Area, University of California, Berkeley and Georgetown University - Department of Economics
Downloads 51 (481,083)
Citation 2

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39.

Trends in Expected Returns in Currency and Bond Markets

Number of pages: 47 Posted: 01 Aug 2000 Last Revised: 07 Oct 2021
Martin D.D. Evans and Karen K. Lewis
Georgetown University - Department of Economics and University of Pennsylvania - Finance Department
Downloads 47 (498,027)

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40.

Hot Money and External Adjustment

Number of pages: 71 Posted: 05 Jul 2013
Martin D.D. Evans
Georgetown University - Department of Economics
Downloads 43 (515,818)
Citation 4

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Hot Money, International Capital Flows, External Adjustment, Open-Economy Macro Models, Habits, Incomplete Markets, Collateral Constraints

41.

Do Stationary Risk Premia Explain it All? Evidence from the Term Struct

Number of pages: 41 Posted: 27 Apr 2000 Last Revised: 07 Jun 2021
Martin D.D. Evans and Karen K. Lewis
Georgetown University - Department of Economics and University of Pennsylvania - Finance Department
Downloads 33 (566,249)
Citation 4

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42.

Do Expected Shifts in Inflation Policy Affect Real Rates?

Number of pages: 50 Posted: 12 Apr 2004 Last Revised: 20 Oct 2021
Martin D.D. Evans and Karen K. Lewis
Georgetown University - Department of Economics and University of Pennsylvania - Finance Department
Downloads 27 (601,432)

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43.

External Balances, Trade Flows and Financial Conditions

Number of pages: 45 Posted: 21 Aug 2015
Martin D.D. Evans
Georgetown University - Department of Economics
Downloads 23 (628,322)
Citation 3

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Global Imbalances, External Positions, Current Accounts, Trade Flows, Valuation Effects, Stochastic Discount Factors, International Asset Pricing

44.

Solving General Equilibrium Models with Incomplete Markets and Many Assets

Number of pages: 35 Posted: 17 May 2011 Last Revised: 15 Nov 2021
Martin D.D. Evans and Viktoria V. Hnatkovska
Georgetown University - Department of Economics and University of British Columbia (UBC) - Department of Economics
Downloads 9 (733,068)

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45.

Informational Integration and Fx Trading

Journal of International Money and Finance, Vol. 21, No. 6, 2002
Posted: 26 Jan 2011
Martin D.D. Evans and Richard K. Lyons
Georgetown University - Department of Economics and University of California, Berkeley

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Exchange rates, Order flow, Financial Integration

46.

Time-Varying Liquidity in Foreign Exchange

Journal of Monetary Economics, Vol. 49, No. 5, 2002
Posted: 26 Jan 2011
Martin D.D. Evans and Richard K. Lyons
Georgetown University - Department of Economics and University of California, Berkeley

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Foreign Exchange

47.

Do Expected Shifts in Inflation Affect Estimates of the Long Run Fisher Relation?

Posted: 26 Oct 1999
Martin D.D. Evans and Karen K. Lewis
Georgetown University - Department of Economics and University of Pennsylvania - Finance Department

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48.

Peso Problems: Their Theoretical and Empirical Implications

Working Paper Series S-95-11
Posted: 24 Aug 1998
Martin D.D. Evans
Georgetown University - Department of Economics

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49.

Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia?

THE REVIEW OF FINANCIAL STUDIES, Vol. 8 No. 3
Posted: 23 Aug 1998
Martin D.D. Evans and Karen K. Lewis
Georgetown University - Department of Economics and University of Pennsylvania - Finance Department

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50.

The Term Structure of Credit Risk: Estimates and Specification Tests

S-95-21
Posted: 09 Jul 1998
Robert E. Cumby and Martin D.D. Evans
Georgetown University - Department of Economics and Georgetown University - Department of Economics

Abstract:

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51.

The Microstructure of Foreign Exchange Dynamics

Posted: 16 Jan 1998
Martin D.D. Evans
Georgetown University - Department of Economics

Abstract:

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