Rasmus Fatum : Citation Profile


Are you Rasmus Fatum?

University of Alberta

15

H index

19

i10 index

625

Citations

RESEARCH PRODUCTION:

24

Articles

58

Papers

1

Chapters

RESEARCH ACTIVITY:

   24 years (1996 - 2020). See details.
   Cites by year: 26
   Journals where Rasmus Fatum has often published
   Relations with other researchers
   Recent citing documents: 43.    Total self citations: 52 (7.68 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfa285
   Updated: 2020-09-14    RAS profile: 2020-06-26    
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Relations with other researchers


Works with:

Yamamoto, Yohei (13)

Yetman, James (4)

Zhu, Guozhong (4)

Cheung, Yin-Wong (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Rasmus Fatum.

Is cited by:

Neely, Christopher (25)

Menkhoff, Lukas (23)

Humpage, Owen (19)

Villamizar-Villegas, mauricio (18)

Égert, Balázs (17)

Gnabo, Jean-Yves (17)

Gerlach-Kristen, Petra (15)

McCauley, Robert (15)

Ueda, Kazuo (13)

Yabu, Tomoyoshi (12)

Dominguez, Kathryn (11)

Cites to:

Bollerslev, Tim (31)

Hutchison, Michael (30)

Taylor, Mark (24)

Neely, Christopher (23)

Dominguez, Kathryn (23)

Diebold, Francis (22)

Andersen, Torben (22)

Humpage, Owen (22)

Melvin, Michael (21)

Vega, Clara (20)

Ito, Takatoshi (20)

Main data


Where Rasmus Fatum has published?


Journals with more than one article published# docs
Journal of International Money and Finance9
Journal of Money, Credit and Banking3
Journal of Banking & Finance2
Journal of International Economics2

Working Papers Series with more than one paper published# docs
EPRU Working Paper Series / Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics16
Globalization Institute Working Papers / Federal Reserve Bank of Dallas12
Santa Cruz Department of Economics, Working Paper Series / Department of Economics, UC Santa Cruz4
Santa Cruz Center for International Economics, Working Paper Series / Center for International Economics, UC Santa Cruz3
IMES Discussion Paper Series / Institute for Monetary and Economic Studies, Bank of Japan2
Discussion paper series / Hitotsubashi Institute for Advanced Study, Hitotsubashi University2

Recent works citing Rasmus Fatum (2020 and 2019)


YearTitle of citing document
2019When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries. (2019). Stöhr, Tobias ; Sarno, Lucio ; Menkhoff, Lukas ; Gloede, Oliver ; Fratzscher, Marcel ; Stohr, Tobias. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:11:y:2019:i:1:p:132-56.

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2019Effectiveness of FX Intervention and the Flimsiness of Exchange rate Expectations. (2019). Villamizar-Villegas, mauricio ; Vargas-Herrera, Hernando. In: Borradores de Economia. RePEc:bdr:borrec:1070.

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2019Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market. (2019). Mehl, Arnaud ; Lafarguette, R ; Corsetti, G. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1970.

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2019Forecasting Japanese inflation with a news-based leading indicator of economic activities. (2019). Yamamoto, Hiroki ; Shintani, Mototsugu ; Ishijima, Hiroshi ; Goshima, Keiichi. In: CARF F-Series. RePEc:cfi:fseres:cf458.

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2019Efectos de la comunicación del banco central sobre los títulos públicos: evidencia empírica para Colombia. (2019). Galvis Ciro, Juan Camilo ; Anzoátegui Zapata, Juan ; Anzoategui, Juan Camilo. In: Revista Cuadernos de Economía. RePEc:col:000093:017454.

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2020Uncovered Interest Rate Parity Redux: Non- Uniform Effects. (2020). Cheung, Yin-Wong ; Wang, Wenhao. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2020_004.

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2019Fast trading and the virtue of entropy: evidence from the foreign exchange market. (2019). Mehl, Arnaud ; Lafarguette, Romain ; Corsetti, Giancarlo. In: Working Paper Series. RePEc:ecb:ecbwps:20192300.

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2019Network-based asset allocation strategies. (2019). Lyócsa, Štefan ; Baumohl, Eduard ; Lyocsa, Tefan ; Vrost, Tomas. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:516-536.

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2019Time-varying effects of macroeconomic news on euro-dollar returns. (2019). Zhou, Xinyao ; Welch, Robert ; Savaser, Tanseli ; ben Omrane, Walid . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306454.

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2020States of psychological anchors and price behavior of Japanese yen futures. (2020). Wang, Yu-Chun ; Lu, Yang-Cheng ; Lee, Yun-Huan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302912.

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2020Investigating asymmetric determinants of the CNY–CNH exchange rate spreads: The role of economic policy uncertainty. (2020). Li, Xiao-Lin ; Si, Deng-Kui. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519304185.

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2019Unveiling the effects of foreign exchange intervention: A panel approach. (2019). Mano, Rui ; Lisack, Noëmie ; Adler, Gustavo. In: Emerging Markets Review. RePEc:eee:ememar:v:40:y:2019:i:c:3.

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2019Risk dependence of CoVaR and structural change between oil prices and exchange rates: A time-varying copula model. (2019). Fan, Ying ; Liu, Bing-Yue ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:80-92.

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2019Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility. (2019). Alam, Md Samsul ; Ferrer, Roman ; Hussain, Syed Jawad. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303020.

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2019News implied volatility and long-term foreign exchange market volatility. (2019). Yin, Libo ; Han, Liyan ; Liu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:126-142.

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2019Is Bitcoin a hedge or safe haven for currencies? An intraday analysis. (2019). Zhang, Hanxiong ; Urquhart, Andrew. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:49-57.

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2019Are cryptocurrencies connected to forex? A quantile cross-spectral approach. (2019). Baumohl, Eduard. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:363-372.

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2019The Brexit vote and currency markets. (2019). Urquhart, Andrew ; McGroarty, Frank ; Dao, Thong M. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:59:y:2019:i:c:p:153-164.

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2019The influence of investor sentiment on the monetary policy announcement liquidity response in precious metal markets. (2019). lucey, brian ; Smales, L A. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:60:y:2019:i:c:p:19-38.

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2019The impact of the U.S. employment report on exchange rates. (2019). Ederington, Louis ; Yang, Lisa ; Guan, Wei. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:90:y:2019:i:c:p:257-267.

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2019Exchange rate effects of financial regulations. (2019). Villamizar-Villegas, mauricio ; Perez-Reyna, David. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:96:y:2019:i:c:p:228-245.

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2019Diversification role of currency momentum for carry trade: Evidence from financial crises. (2019). Yamani, Ehab. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:49:y:2019:i:c:p:1-19.

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2019Should central banks use the currency futures market to manage spot volatility? Evidence from India. (2019). Biswal, P C ; Jain, Anshul. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:52-53:y:2019:i::s1042444x18302330.

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2020Cryptocurrencies as hedges and safe-havens for US equity sectors. (2020). Hussain, Syed Jawad ; Bouri, Elie ; Roubaud, David. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:75:y:2020:i:c:p:294-307.

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2019Slopes, spreads, and depth: Monetary policy announcements and liquidity provision in the energy futures market. (2019). Smales, L A. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:234-252.

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2019Foreign exchange interventions in Brazil and their impact on volatility: A quantile regression approach. (2019). Viola, Alessandra Pasqualina ; da Silveira, Claudio Henrique ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:251-263.

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2019Time-Variant Safe-Haven Currency Status and Determinants. (2019). Yuki, MASUJIMA . In: Discussion papers. RePEc:eti:dpaper:19048.

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2020Chinas Exports in a Protectionist World. (2020). Thorbecke, Willem ; Chen, Chen ; Salike, Nimesh. In: Discussion papers. RePEc:eti:dpaper:20011.

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2020Blowing against the Wind? A Narrative Approach to Central Bank Foreign Exchange Intervention. (2020). Naef, Alain. In: Working Papers. RePEc:hes:wpaper:0188.

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2020Welfare implications of upstream subsidy in the presence of countervailing duties under limited verifiability. (2020). Kim, Young-Han. In: International Tax and Public Finance. RePEc:kap:itaxpf:v:27:y:2020:i:3:d:10.1007_s10797-019-09571-8.

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2019Systematic Managed Floating. (2019). Frankel, Jeffrey. In: Open Economies Review. RePEc:kap:openec:v:30:y:2019:i:2:d:10.1007_s11079-019-09528-8.

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2020News announcements and price discovery in the RMB–USD market. (2020). Chen, Yu-Lun. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:4:d:10.1007_s11156-019-00832-5.

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2019Мета-аналіз: ефект fx-інтервенцій на валютний курс. (2019). Артем Огарков, ; Дмитро Круковець, ; Денис Клиновський, ; Соломія Бричка, . In: Suchasni ekonomichni doslidzhennja. RePEc:kse:chasop:v:2:y:2019:i:1:p:24-47.

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2019Meta-Analysis: Meta-Analysis: Effect of FX interventions on the exchange rate. (2019). Oharkov, Artem ; Krukovets, Dmytro ; Klynovskyi, Denys ; Brychka, Solomiia. In: Modern Economic Studies. RePEc:kse:modern:v:2:y:2019:i:1:p:24-44.

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2020Japanese Foreign Exchange Interventions, 1971-2018: Estimating a Reaction Function Using the Best Proxy. (2020). Yabu, Tomoyoshi ; Ito, Takatoshi. In: NBER Working Papers. RePEc:nbr:nberwo:26644.

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2020Price Discovery and Liquidity Recovery: Forex Market Reactions to Macro Announcements. (2020). Ito, Takatoshi ; Yamada, Masahiro. In: NBER Working Papers. RePEc:nbr:nberwo:27036.

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2020Revisiting Exchange Rate Rules. (2020). , Kathryn. In: IMF Economic Review. RePEc:pal:imfecr:v:68:y:2020:i:3:d:10.1057_s41308-020-00120-6.

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2019Investor Sentiment and Crash Risk in Safe Havens. (2019). GUPTA, RANGAN ; Demirer, Riza ; Bonato, Matteo ; ben Nasr, Adnen. In: Journal of Economics and Behavioral Studies. RePEc:rnd:arjebs:v:10:y:2019:i:6:p:97-108.

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2019Monetary Policy Announcements and Stock Returns: Some Further Evidence from India. (2019). Hiremath, Gourishankar S ; Khuntia, Sashikanta. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:17:y:2019:i:4:d:10.1007_s40953-019-00158-y.

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2020Time Varying Efficiency in Indian Sectors: An Event Study on Demonetization. (2020). Paul, Samit. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:18:y:2020:i:1:d:10.1007_s40953-019-00171-1.

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2019Macroeconomic surprises, market environment, and safe-haven currencies. (2019). Zanetti, Attilio ; Schlegel, Martin ; Jaggi, Adrian. In: Swiss Journal of Economics and Statistics. RePEc:spr:sjecst:v:155:y:2019:i:1:d:10.1186_s41937-019-0031-9.

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2019The Relative Effectiveness of Spot and Derivatives‐Based Intervention. (2019). Saborowski, Christian ; Nedeljkovic, Milan. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:51:y:2019:i:6:p:1455-1490.

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2019The dynamic impact of FX interventions on financial markets. (2019). Menkhoff, Lukas ; Stohr, Tobias ; Rieth, Malte. In: Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy. RePEc:zbw:vfsc19:203504.

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Works by Rasmus Fatum:


YearTitleTypeCited
2005The Effectiveness of Official Foreign Exchange Intervention in a Small Open Economy: The Case of the Canadian Dollar In: Staff Working Papers.
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2018Does the accumulation of foreign currency reserves affect risk-taking? An event study approach In: BIS Papers chapters.
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2018Accumulation of foreign currency reserves and risk-taking In: BIS Working Papers.
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2019Accumulation of foreign currency reserves and risk-taking.(2019) In: GRU Working Paper Series.
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2020Accumulation of foreign currency reserves and risk-taking.(2020) In: Journal of International Money and Finance.
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2019Accumulation of Foreign Currency Reserves and Risk-taking.(2019) In: Discussion paper series.
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2006Evaluating Foreign Exchange Market Intervention: Self-Selection, Counterfactuals and Average Treatment Effects In: Santa Cruz Center for International Economics, Working Paper Series.
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2006Evaluating Foreign Exchange Market Intervention: Self-Selection, Counterfactuals and Average Treatment Effects.(2006) In: Santa Cruz Department of Economics, Working Paper Series.
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2010Evaluating foreign exchange market intervention: Self-selection, counterfactuals and average treatment effects.(2010) In: Journal of International Money and Finance.
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2008Evaluating Foreign Exchange Market Intervention: Self-selection, Counterfactuals and Average Treatment Effects.(2008) In: Working Papers.
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2006Evaluating Foreign Exchange Market Intervention: Self-Selection, Counterfactuals and Average Treatment Effects.(2006) In: EPRU Working Paper Series.
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2003Effectiveness of Official Daily Foreign Exchange Market Intervention Operations in Japan In: Santa Cruz Center for International Economics, Working Paper Series.
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2003Effectiveness of Official Daily Foreign Exchange Market Intervention Operations in Japan.(2003) In: Santa Cruz Department of Economics, Working Paper Series.
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2003Effectiveness of Official Daily Foreign Exchange Market Intervention Operations in Japan.(2003) In: Santa Cruz Department of Economics, Working Paper Series.
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2006Effectiveness of official daily foreign exchange market intervention operations in Japan.(2006) In: Journal of International Money and Finance.
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2002Effectiveness of official daily foreign exchange market intervention operations in Japan.(2002) In: Pacific Basin Working Paper Series.
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2003Effectiveness of Official Daily Foreign Exchange Market Intervention Operations in Japan.(2003) In: NBER Working Papers.
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2003Do Exchange Rates Respond to Day-to-Day Changes in Monetary Policy Expectations? Evidence from the Federal Funds Futures Market In: Santa Cruz Center for International Economics, Working Paper Series.
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2003Do Exchange Rates Respond to Day-to-Day Changes in Monetary Policy Expectations? Evidence from the Federal Funds Futures Market.(2003) In: Santa Cruz Department of Economics, Working Paper Series.
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2003Do Exchange Rates Respond to Day-to-Day Changes in Monetary Policy Expectations? Evidence from the Federal Funds Futures Market..(2003) In: EPRU Working Paper Series.
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2002Post-Plaza intervention in the DEM/USD exchange rate In: Canadian Journal of Economics.
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2002Post–Plaza intervention in the DEM/USD exchange rate.(2002) In: Canadian Journal of Economics/Revue canadienne d'économique.
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2000Beggar Thy Neighbor or Beggar Thy Domestic Firms? Evidence from 2000-2011 Chinese Customs Data In: GRU Working Paper Series.
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2018Beggar Thy Neighbor or Beggar Thy Domestic Firms? Evidence from 2000-2011 Chinese Customs Data.(2018) In: GRU Working Paper Series.
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2018Beggar thy neighbor or beggar thy domestic firms? Evidence from 2000 to 2011 Chinese customs data.(2018) In: Journal of International Economics.
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2015Beggar thy neighbor or beggar thy domestic firms? evidence from 2000-2011 Chinese customs data.(2015) In: Globalization Institute Working Papers.
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2001Is the Renminbi a safe haven? In: GRU Working Paper Series.
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2017Is the Renminbi a safe haven?.(2017) In: Journal of International Money and Finance.
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2016Is the Renminbi a safe haven?.(2016) In: Globalization Institute Working Papers.
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2016Is the Renminbi a Safe Haven?.(2016) In: Working Papers.
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2002Do Oil Endowment and Productivity Matter for Accumulation of International Reserves? In: GRU Working Paper Series.
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2016Do oil endowment and productivity matter for accumulation of international reserves?.(2016) In: Globalization Institute Working Papers.
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2017The Exchange Rate Effects of Macro News after the Global Financial Crisis In: GRU Working Paper Series.
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2019The exchange rate effects of macro news after the global Financial Crisis.(2019) In: Journal of International Money and Finance.
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2017The Exchange Rate Effects of Macro News after the Global Financial Crisis.(2017) In: Globalization Institute Working Papers.
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2019Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields In: GRU Working Paper Series.
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2019Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields.(2019) In: Globalization Institute Working Papers.
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2019Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields.(2019) In: IMES Discussion Paper Series.
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2020Reserves and Risk: Evidence from China In: GRU Working Paper Series.
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2000On the effectiveness of sterilized foreign exchange intervention In: Working Paper Series.
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2003Is sterilised foreign exchange intervention effective after all? an event study approach In: Economic Journal.
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1999Is Sterilized Foreign Exchange Intervention Effective After All? An Event Study Approach..(1999) In: EPRU Working Paper Series.
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2009Real-time effects of central bank intervention in the euro market In: Journal of International Economics.
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2007Real-Time Effects of Central Bank Interventions in the Euro Market.(2007) In: EPRU Working Paper Series.
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2008Monetary policy news and exchange rate responses: Do only surprises matter? In: Journal of Banking & Finance.
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2005Monetary Policy News and Exchange Rate Responses: Do Only Surprises Matter?.(2005) In: EPRU Working Paper Series.
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2014Large versus small foreign exchange interventions In: Journal of Banking & Finance.
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2008Daily effects of foreign exchange intervention: Evidence from official Bank of Canada data In: Journal of International Money and Finance.
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2005Daily Effects of Foreign Exchange Intervention: Evidence from Official Bank of Canada Data.(2005) In: EPRU Working Paper Series.
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2013The intraday effects of central bank intervention on exchange rate spreads In: Journal of International Money and Finance.
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2015Foreign exchange intervention when interest rates are zero: Does the portfolio balance channel matter after all? In: Journal of International Money and Finance.
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2010Foreign exchange intervention when interest rates are zero: does the portfolio balance channel matter after all?.(2010) In: Globalization Institute Working Papers.
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2010Foreign Exchange Intervention When Interest Rates Are Zero: Does the Portfolio Balance Channel Matter After All?.(2010) In: EPRU Working Paper Series.
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2016Intra-safe haven currency behavior during the global financial crisis In: Journal of International Money and Finance.
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2014Intra-safe haven currency behavior during the global financial crisis.(2014) In: Globalization Institute Working Papers.
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2012Asymmetries and state dependence: The impact of macro surprises on intraday exchange rates In: Journal of the Japanese and International Economies.
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2010Asymmetries and state dependence: the impact of macro surprises on intraday exchange rates.(2010) In: Globalization Institute Working Papers.
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2006One monetary policy and 18 central bankers: The European monetary policy as a game of strategic delegation In: Journal of Monetary Economics.
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2012Does foreign exchange intervention volume matter? In: Globalization Institute Working Papers.
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2010Does foreign exchange reserve decumulation lead to currency appreciation? In: Globalization Institute Working Papers.
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2010Does Foreign Exchange Reserve Decumulation Lead to Currency Appreciation?.(2010) In: EPRU Working Paper Series.
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2010Does Foreign Exchange Reserve Decumulation Lead to Currency Appreciation?.(2010) In: Working Papers.
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2010Does Foreign Exchange Reserve Decumulation Lead to Currency Appreciation?.(2010) In: NBER Working Papers.
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2010Are the intraday effects of central bank intervention on exchange rate spreads asymmetric and state dependent? In: Globalization Institute Working Papers.
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2010Are the Intraday Effects of Central Bank Intervention on Exchange Rate Spreads Asymmetric and State Dependent?.(2010) In: Discussion Papers.
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2020Reserves and Risk: Evidence from China In: Globalization Institute Working Papers.
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2020Reserves and Risk : Evidence from China In: Discussion paper series.
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2005Foreign Exchange Intervention and Monetary Policy in Japan, 2003-2004 In: Hi-Stat Discussion Paper Series.
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2009Official Japanese Intervention in the JPY/USD Exchange Rate Market: Is It Effective and Through Which Channel Does It Work? In: IMES Discussion Paper Series.
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2009Official Japanese Intervention in the JPY/USD Exchange Rate Market: Is It Effective, and through Which Channel Does It Work?.(2009) In: Monetary and Economic Studies.
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2009Official Japanese Intervention in the JPY/USD Exchange Rate Market: Is It Effective and Through Which Channel Does It Work?.(2009) In: EPRU Working Paper Series.
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2005Foreign exchange intervention and monetary policy in Japan, 2003–04 In: International Economics and Economic Policy.
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2002ECB Foreign Exchange Intervention and the EURO: Institutional Framework, News, and Intervention In: Open Economies Review.
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2002ECB Foreign Exchange Intervention and the Euro: Institutional Framework, News and Intervention..(2002) In: EPRU Working Paper Series.
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2002Is Foreign Exchange Market Intervention an Alternative to Monetary Policy? Evidence from Japan. In: EPRU Working Paper Series.
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