Rasmus Fatum : Citation Profile


Are you Rasmus Fatum?

University of Alberta

14

H index

18

i10 index

579

Citations

RESEARCH PRODUCTION:

22

Articles

52

Papers

1

Chapters

RESEARCH ACTIVITY:

   23 years (1996 - 2019). See details.
   Cites by year: 25
   Journals where Rasmus Fatum has often published
   Relations with other researchers
   Recent citing documents: 59.    Total self citations: 45 (7.21 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfa285
   Updated: 2019-11-10    RAS profile: 2019-08-08    
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Relations with other researchers


Works with:

Yamamoto, Yohei (10)

Zhu, Guozhong (3)

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 (22)

Humpage, Owen (19)

Gnabo, Jean-Yves (17)

McCauley, Robert (15)

Gerlach-Kristen, Petra (15)

Ueda, Kazuo (13)

Égert, Balázs (12)

Villamizar-Villegas, mauricio (12)

Dominguez, Kathryn (11)

Yabu, Tomoyoshi (10)

Cites to:

Bollerslev, Tim (32)

Hutchison, Michael (30)

Neely, Christopher (23)

Andersen, Torben (23)

Humpage, Owen (22)

Dominguez, Kathryn (21)

Diebold, Francis (20)

Taylor, Mark (19)

Ito, Takatoshi (18)

Vega, Clara (18)

Melvin, Michael (15)

Main data


Where Rasmus Fatum has published?


Journals with more than one article published# docs
Journal of International Money and Finance8
Journal of Money, Credit and Banking3
Journal of International Economics2
Journal of Banking & Finance2

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 Dallas11
GRU Working Paper Series / City University of Hong Kong, Department of Economics and Finance, Global Research Unit6
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

Recent works citing Rasmus Fatum (2019 and 2018)


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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2018Does the accumulation of foreign currency reserves affect risk-taking? An event study approach. (2018). Fatum, Rasmus ; Yetman, James. In: BIS Papers chapters. RePEc:bis:bisbpc:96-06.

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2018The costs and benefits of exchange rate protection in China. (2018). Riedel, James. In: Asian-Pacific Economic Literature. RePEc:bla:apacel:v:32:y:2018:i:1:p:3-17.

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2018Monetary policy uncertainty, positions of traders and changes in commodity futures prices. (2018). Gospodinov, Nikolay ; Jamali, Ibrahim. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:2:p:239-260.

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2017The Role for Long-run Target Values of the Exchange Rate in the Bank of Japans Policy Reaction Function. (2017). Kühl, Michael ; Beckmann, Joscha ; Kuhl, Michael. In: The World Economy. RePEc:bla:worlde:v:40:y:2017:i:9:p:1836-1865.

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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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2018FORWARD BIAS, UNCOVERED INTEREST PARITY AND RELATED PUZZLES. (2018). Pippenger, John . In: University of California at Santa Barbara, Economics Working Paper Series. RePEc:cdl:ucsbec:qt1778z416.

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2018FORWARD BIAS, UNCOVERED INTEREST PARITY AND RELATED PUZZLES: THE ROLE OF MONETARY POLICY. (2015). Pippenger, John . In: University of California at Santa Barbara, Economics Working Paper Series. RePEc:cdl:ucsbec:qt2cm6p186.

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2018The Relative Effectiveness of Spot and Derivatives Based Intervention. (2018). Saborowski, Christian ; Nedeljkovic, Milan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7127.

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2018Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis. (2018). Moravcova, Michala ; Kočenda, Evžen. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7239.

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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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2018The RMB Central Parity Formation Mechanism: August 2015 to December 2016. (2018). Cheung, Yin-Wong ; Tsang, Andrew ; Hui, Cho-Hoi. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2018_010.

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2019Accumulation of foreign currency reserves and risk-taking. (2019). Yetman, James ; Fatum, Rasmus. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2019_019.

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2018Predicting risk premia in short-term interest rates and exchange rates. (2018). Kostka, Thomas ; Gräb, Johannes ; Grab, Johannes. In: Working Paper Series. RePEc:ecb:ecbwps:20182131.

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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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2018Intraday effect of news on emerging European forex markets: An event study analysis. (2018). Kočenda, Evžen ; Moravcova, Michala ; Koenda, Even. In: Economic Systems. RePEc:eee:ecosys:v:42:y:2018:i:4:p:597-615.

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2018On the theory of international currency portfolios. (2018). Kumhof, Michael. In: European Economic Review. RePEc:eee:eecrev:v:101:y:2018:i:c:p:376-396.

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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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2017Oral intervention in China: Efficacy of Chinese exchange rate communications. (2017). Zhang, Zhichao ; Li, HE. In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:24-34.

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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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2018Safe-haven and hedge currencies for the US, UK, and Euro area stock markets: A copula-based approach. (2018). Tachibana, Minoru. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:82-96.

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2018Effective sterilized foreign exchange intervention? Evidence from a rule-based policy. (2018). Villamizar-Villegas, mauricio ; Phillips, David ; Kuersteiner, Guido. In: Journal of International Economics. RePEc:eee:inecon:v:113:y:2018:i:c:p:118-138.

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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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2017A stopping time approach to assessing the effectiveness of foreign exchange intervention: An application to Japanese data. (2017). Kitamura, Yoshihiro. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:75:y:2017:i:c:p:32-46.

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2018The RMB central parity formation mechanism: August 2015 to December 2016. (2018). Cheung, Yin-Wong ; Tsang, Andrew ; Hui, Cho-Hoi. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:223-243.

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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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2018Self-selection and treatment effects: Revisiting the effectiveness of foreign exchange intervention. (2018). Pontines, Victor. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:57:y:2018:i:c:p:299-316.

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2018Relationship between stock and currency markets conditional on the US stock returns: A vine copula approach. (2018). Tachibana, Minoru. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:46:y:2018:i:c:p:75-106.

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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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2018Hidden Markov model analysis of extreme behaviors of foreign exchange rates. (2018). Liu, Wei-Han. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:1007-1019.

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2017Foreign exchange intervention in Asian countries: What determine the odds of success during the credit crisis?. (2017). Suardi, Sandy ; Chang, Yuanchen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:370-390.

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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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2017Safe Haven Currency and Market Uncertainty: Yen, renminbi, dollar, and alternatives. (2017). Yuki, MASUJIMA . In: Discussion papers. RePEc:eti:dpaper:17048.

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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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2018International capital flow pressures. (2018). Krogstrup, Signe ; Goldberg, Linda. In: Staff Reports. RePEc:fip:fednsr:834.

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2019Accumulation of Foreign Currency Reserves and Risk-taking. (2019). Yetman, James ; Fatum, Rasmus. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-89.

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2018Evaluating the Unconventional Monetary Policy in Stock Markets : A Semi-parametric Approach. (2018). Shirota, Toyoichiro. In: Discussion paper series. A. RePEc:hok:dpaper:322.

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2018Monetary Policy Announcement and Algorithmic News Trading in the Foreign Exchange Market. (2018). Kumano, Yusuke ; Goshima, Keiichi. In: IMES Discussion Paper Series. RePEc:ime:imedps:18-e-13.

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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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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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2018Taming the Tide of Capital Flows: A Policy Guide. (2018). Ghosh, Atish R ; Qureshi, Mahvash S ; Ostry, Jonathan D. In: MIT Press Books. RePEc:mtp:titles:0262037165.

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2018The Effectiveness of Foreign Exchange Interventions in the Republic of Croatia: The Event Study. (2018). Koki, Draen. In: Occasional Publications. RePEc:osi:chaptr:18-10.

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2018On the Effectiveness of Central Bank Intervention in the Foreign Exchange Market: The Case of Slovakia, 1999–2007. (2018). Odor, Ludovit ; Riiska, William O ; Zeman, Juraj ; Banerjee, Biswajit . In: Comparative Economic Studies. RePEc:pal:compes:v:60:y:2018:i:3:d:10.1057_s41294-017-0039-z.

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2018An Empirical Test for the Effectiveness of Central Bank Interventions in Foreign Exchange Markets: An Application to the Canadian and Swiss Central Banks. (2018). Abbuy, Kwami Edem. In: MPRA Paper. RePEc:pra:mprapa:89647.

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2018Investor Sentiment and Crash Risk in Safe Havens. (2018). GUPTA, RANGAN ; Demirer, Riza ; Bonato, Matteo ; Ben Nasr, Adnen. In: Working Papers. RePEc:pre:wpaper:201804.

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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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2018The impact of pre-announced day-to-day interventions on the Colombian exchange rate. (2018). Villamizar-Villegas, mauricio ; Melo-Velandia, Luis ; Echavarria, Juan J. In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:3:d:10.1007_s00181-017-1299-1.

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2017On the Effectiveness of Central Bank Intervention in the Foreign Exchange Market: The Case of Slovakia, 1999-2007. (2017). Zeman, Juraj ; Odor, Ludovit ; Riiska, William O ; Banerjee, Biswajit . In: Working and Discussion Papers. RePEc:svk:wpaper:1045.

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2018Announcements credibility and government securities: evidence from Colombia. (2018). Galvis Ciro, Juan Camilo ; Anzoátegui Zapata, Juan ; Anzoategui, Juan Camilo . In: Applied Economics Letters. RePEc:taf:apeclt:v:25:y:2018:i:4:p:278-282.

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2018Asymmetric impact of monetary surprises on exchange rate. (2018). Ding, Liang ; Yang, Qianyi. In: Applied Economics. RePEc:taf:applec:v:50:y:2018:i:7:p:789-803.

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2018How do Structural Features Affect Corporate Exposures to Macro-financial Shocks in Open Economies?. (2018). Pedroni, Peter ; Hu, Xingwei ; Gupta, Pranav ; Bhattacharya, Rina. In: Department of Economics Working Papers. RePEc:wil:wileco:2018-10.

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2018Are cryptocurrencies connected to forex? A quantile cross-spectral approach. (2018). Baumohl, Eduard. In: EconStor Preprints. RePEc:zbw:esprep:174884.

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2018Network-based asset allocation strategies. (2018). Výrost, Tomáš ; Lyócsa, Štefan ; Baumohl, Eduard ; Vrost, Tomas. In: EconStor Preprints. RePEc:zbw:esprep:180063.

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2018Exchange rate predictability and dynamic Bayesian learning. (2018). Koop, Gary ; Korobilis, Dimitris ; Beckmann, Joscha ; Schussler, Rainer. In: Annual Conference 2018 (Freiburg, Breisgau): Digital Economy. RePEc:zbw:vfsc18:181523.

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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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paper3
2018Does the accumulation of foreign currency reserves affect risk-taking? An event study approach In: BIS Papers chapters.
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chapter0
2018Accumulation of foreign currency reserves and risk-taking In: BIS Working Papers.
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paper0
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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paper20
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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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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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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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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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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2005Rules versus Discretion in Foreign Exchange Intervention: Evidence from Official Bank of Canada High-Frequency Data In: EPRU Working Paper Series.
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