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Working Papers

Selected published papers

(Downloadable. These papers are copyrighted by the journal publisher and are not to be reproduced without the copyright holder’s permission)

  1. Global Temperature Shocks and Real Exchange Rates (with S.O. Lee, J. Nauerz, J. Rawls, and Z. Wei), forthcoming, Journal of Climate Finance.
  2. Demographics and Monetary Policy Shocks, (with K.A. Berg, C.C. Curtis, and S. Lugauer), Journal of Money, Credit, and Banking May 2021. Online Appendix.
  3. Data and Replication Codes for Local Projections
  4. Data and Replication Code on Survey of Consumer Finance Facts
  5. Data and Replication Code for the Model
  6. Where’s the Risk? The Forward Premium Bias, the Carry-Trade Premium, and Risk-Reversals in General Equilibrium (with K.A. Berg), Journal of International Money and Finance, 95, July (2019), pp. 297-316. Appendix
  7. Identifying Exchange Rate Common Factors (with R. Greenaway-McGrevy, D. Sul and JY Wu), International Economic Review, Vol. 59, No. 4, November 2018, pp. 2193-2218.
  8. Global Macro Risks in Currency Excess Returns (with K.A. Berg), Journal of Empirical Finance, 45 (2018) 300-315.
  9. Measures of Global Uncertainty and Carry Trade Excess Returns, (with K.A. Berg), Journal of International Money and Finance, 88 (2018), 212-227. Appendix–GMM standard errors
  10. Precautionary Saving of Chinese and US Households (with H. Choi and S. Lugauer), Journal of Money, Credit, and Banking, (June, 2017). Online Appendix
  11. Demographics and Aggregate Household Saving in Japan, China, and India (with C. Curtis and S. Lugauer), Journal of Macroeconomics, March 2017.
  12. Third-Country Effects on the Exchange Rate (with K.A. Berg), July 2015, Journal of International Economics
  13. Demographic Patterns and Household Saving in China (with C. Curtis and S. Lugauer), (April 2015) 7(2): 58-94. American Economic Journal: Macroeconomics.
  14. Factor Model Forecasts of Exchange Rates (with C. Engel and K.D. West), Econometric Reviews, 34 (2015): 32-55. Appendix A and Appendix B
  15. Linkages Between Exchange Rate Policy and Macroeconomic Performance (with V. Sokolov and B.J. Lee), Pacific Economic Review.
  16. The Role of Household Saving in the Economic Rise of China (with S. Lugauer), HKIMR working paer version. Published in Yin-Wong Cheung and Frank Westermann, eds., Global Interdependence, Decoupling and Recoupling, CES-ifo seminar series (MIT Press), restricted access.
  17. Business Cycles, Consumption and Risk-Sharing: How Different is China?(with C. Curtis), in Yin-Wong Cheung,Vikas Kakkar,and Guonan Ma, eds., The Evolving Role of Asia in Global Finance. Presentation Slides.
  18. Bias Reduction in Dynamic Panel Data Models by Common Recursive Mean Adjustment (with C.Y. Choi and D. Sul) Oxford Bulletin of Economics, 72,5 (2010): 567-599
  19. A Multinomial Logit Approach to Exchange Rate Policy Classification with an Application to Growth (with J. Dubas and B.J. Lee) Journal of International Money and Finance, 29 (2010), 1438-1462.
  20. Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics Journal of Money, Credit, and Banking, September 2009, 1047-1070.
  21. When Are Pooled Panel-Data Regression Forecasts of Exchange Rates More Accurate than Time-Series Regression Forecasts? (with D. Sul), in Jessica James, Ian Marsh, and Lucio Sarno, eds., Handbook of Exchange Rates.
  22. Endogenous Discounting, the World Saving Glut and the U.S. Current Account (with H. Choi and D. Sul), Journal of International Economics, 75, May 2008, 30-53.
  23. Exchange Rate Models Are Not As Bad As You Think (with C. Engel and K.D. West), NBER Macroeconomics Annual2007.
  24. Official Interventions and the Forward Premium Anomaly 2007, (with Y.K. Moh), Journal of Empirical Finance, 14, 499-522.
  25. Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data (with C.Y. Choi and D. Sul), Journal of Money, Credit, and Banking, June, 38, 2006: 921-938
  26. Dynamic Seemingly Unrelated Cointegrating Regressions (with M. Ogaki and D. Sul), Review of Economic Studies, July, 72, 2005: 797-820.
  27. Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand(with D. Sul), Oxford Bulletin of Economics and Statistics, December 2003,65, 665-680. Technical Appendix (Previously entitled A Computationally Simple Cointegration Vector Estimator for Panel Data.) Gauss programs and data.
  28. Price Index Convergence among United States Cities (with S.G. Cecchetti and R. Sonora). International Economic Review., November 2002. (Previously circulated under the title “Price Level Convergence among United States Cities: Lessons for the European Central Bank.”) Gauss Programs and Data
  29. Nominal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel, (with D. Sul), Journal of International Economics, 53, 2001, 29-52. Gauss Programs and Data
  30. Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to be True? (with S.G. Cecchetti and P-s Lam), American Economic Review, 90, 2000, 787-805.
  31. Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise (with Y. Wu), 1998, Economic Journal,108, 1686-1706. Data File Description
  32. Understanding Spot and Forward Exchange Rate Regressions (with W. Hai and Y Wu) 1997, Journal of Applied Econometrics, 12, 715-34. Gauss Programs and Data
  33. The Economic Content of Indicators of Developing Country Creditness (with N.Haque, M.S. Kumar, and D.J. Mathieson), International Monetary Fund Staff Papers, 43(4) December 1996: 688-724.
  34. Alternative Long-Horizon Exchange Rate Predictors(with J. Chen), International Journal of Finance and Economics, 1,4 October 1996: 229–250.
  35. Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability, 1995, American Economic Review, 85,1, 201-218.
  36. Testing Volatility Restrictions on Intertemporal Marginal Rate of Substitution Implied by Euler Equations and Asset Returns, (with S.G. Cecchetti and P-s Lam), Journal of Finance, 49, 1994.
  37. The Equity Premium and the Risk-Free Rate: Matching the moments (with S.G. Cecchetti and P-s. Lam) 1993, Journal of Monetary Economics, 31, 21-45.
  38. Some Evidence in Favor of a Monetary Rational Expectations Exchange Rate Model with Imperfect Capital Substitutability (with R.A. Driskill and S.M. Sheffrin), International Economic Review, 33,1 February (1992): 223-237.
  39. Testing the CAPM with Time-Varying Risks and Returns (with J.N. Bodurtha Jr), Journal of Finance, 46,4 September (1991): 1485-1505.
  40. Mean Reversion in Equilibrium Asset Prices (with S.G. Cecchetti and P-s. Lam) 1990, American Economic Review, 80, 398-418.
  41. Evaluating Empirical Tests of Asset Pricing Models: Alternative Interpretations (with S.G. Cecchetti) 1990, Papers and Proceedings of the American Economic Association, 48-51.
  42. Real and Nominal Exchange Rates in the Long Run: An Empirical Investigation, Journal of International Economics, 28, February (1990): 115-136.
  43. Time-Varying Betas and Risk Premia in teh Pricing of Forward Foreign Exchange Contracts, Journal of Financial Economics, 22,2 December (1988): 335-354.
  44. International Transmission of Real Business Cycles, (with R. Cantor), International Economic Review, 29,3 August (1988): 493-507.
  45. International Debt and World Business Fluctuations (with R. Cantor), ), Journal of International Money and Finance, 6,2 June (1987): 153-65.
  46. On Time Varying Risk Premia in the Foreign Exchange Market: An Econometric Analysis, Journal of Monetary Economics, 6,1 July (1985): 3-18.
  47. A Note on International Real Interest Rate Differentials, Review of Economics and Statistics, 67,4 November (1985): 681-84.
  48. Some Evidence on the International Inequality of Real Interest Rates, Journal of International Money and Finance, 4,2 June (1985): 189-208.

Presentation Slides