20
H index
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i10 index
1531
Citations
Michael Melvin : Citation Profile
University of California-San Diego (UCSD) | RESEARCH PRODUCTION: 57 Articles 16 Papers 1 Books 4 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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43 years (1982 - 2025). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Michael Melvin. | Is cited by:
| Cites to:
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Main data
Where Michael Melvin has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| CESifo Working Paper Series / CESifo | 11 |
| NBER Working Papers / National Bureau of Economic Research, Inc | 2 |
Recent works citing Michael Melvin (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Foreign Exchange Fixings and Returns around the Clock. (2024). Mueller, Philippe ; Whelan, Paul ; Krohn, Ingomar. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:1:p:541-578. Full description at Econpapers || Download paper |
| 2025 | Cyclicality of International Reserves, Exchange Rate Flexibility, and Output Volatility. (2025). Qian, Xingwang ; Fujii, Eiji. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11800. Full description at Econpapers || Download paper |
| 2025 | Optimal N-state endogenous Markov-switching model for currency liquidity timing. (2025). Wang, Luqi ; Urga, Giovanni. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:177:y:2025:i:c:s0165188925001034. Full description at Econpapers || Download paper |
| 2025 | Unveiling the gold-oil whirl amidst market uncertainty shocks in China. (2025). Luo, Fangyuan ; Li, Yanjiao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002584. Full description at Econpapers || Download paper |
| 2024 | Unearthing the hedge and safe-haven potential of green investment funds for energy commodities. (2024). Ozkan, Oktay ; Meo, Muhammad Saeed ; Younus, Mehak. In: Energy Economics. RePEc:eee:eneeco:v:138:y:2024:i:c:s014098832400522x. Full description at Econpapers || Download paper |
| 2025 | Foreign exchange markets, climate risks and contextual news: An intraday analysis. (2025). ben Omrane, Walid ; Panah, Pari Gholi ; Ayadi, Mohamed A. In: International Review of Financial Analysis. RePEc:eee:finana:v:102:y:2025:i:c:s1057521925001905. Full description at Econpapers || Download paper |
| 2025 | What triggers intraday price jumps and co-jumps in gold?. (2025). Sobti, Neharika. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925004673. Full description at Econpapers || Download paper |
| 2024 | The price discovery in the renminbi/USD market: Two spot, two swap, and three forward FX rates. (2024). Kitamura, Yoshihiro. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002941. Full description at Econpapers || Download paper |
| 2024 | Quantifying the volatility spillover dynamics between financial stress and US financial sectors: Evidence from QVAR connectedness. (2024). Billah, Syed ; Naeem, Muhammad Abubakr ; Hoque, Mohammad Enamul ; Kapar, Burcu. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003661. Full description at Econpapers || Download paper |
| 2025 | Do hurricanes cause storm on the stock market? The case of US energy companies. (2025). Horvath, Roman ; Kalistov, Anna ; Horvth, Roman ; Moravcov, Michala ; Mikufov, Marta ; Lycsa, Tefan. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007488. Full description at Econpapers || Download paper |
| 2025 | The evolution of the relationship between onshore and offshore RMB markets under asymmetric volatility spillovers. (2025). Li, Jie ; Smallwood, Aaron D. In: Global Finance Journal. RePEc:eee:glofin:v:65:y:2025:i:c:s1044028325000134. Full description at Econpapers || Download paper |
| 2025 | News and intraday retail investor order flow in foreign exchange markets. (2025). Kaourma, Theofilia ; Milidonis, Andreas ; Nishiotis, George ; Panayides, Marios. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:101:y:2025:i:c:s1042443125000368. Full description at Econpapers || Download paper |
| 2025 | Risk and return spillovers among developed and emerging market currencies. (2025). Steenkamp, Daan ; Greenwood-Nimmo, Matthew ; van Jaarsveld, Rossouw. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:98:y:2025:i:c:s1042443124001525. Full description at Econpapers || Download paper |
| 2024 | Are consensus FX forecasts valuable for investors?. (2024). Rubaszek, Michał ; Beckmann, Joscha ; Kwas, Marek. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:268-284. Full description at Econpapers || Download paper |
| 2024 | The profitability of lead–lag arbitrage at high frequency. (2024). Dionne, Georges ; Yergeau, Gabriel ; Poutre, Cedric. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:1002-1021. Full description at Econpapers || Download paper |
| 2025 | Global currency hedging with ambiguity. (2025). Vasiljevi, Nikola ; Ulrych, Urban. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:172:y:2025:i:c:s0378426624002802. Full description at Econpapers || Download paper |
| 2024 | Exchange rate predictability: Fact or fiction?. (2024). Magkonis, Georgios ; Jackson, Karen. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:142:y:2024:i:c:s0261560624000135. Full description at Econpapers || Download paper |
| 2024 | Oil price volatility and gold prices volatility asymmetric links with natural resources via financial market fluctuations: Implications for green recovery. (2024). Li, Yang ; Du, Qingfeng. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s030142072300990x. Full description at Econpapers || Download paper |
| 2024 | To fix or not to fix: The representativeness of the WM/R methodology that underpins the FX benchmark rates. A pre-registered report. (2024). Lepone, Andrew ; Galati, Luca ; Benenchia, Matteo. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:84:y:2024:i:c:s0927538x24000623. Full description at Econpapers || Download paper |
| 2025 | Time-varying intra-safe haven currency behaviour: The U.S. dollar, the Swiss franc, and the Japanese yen. (2025). Fang, Zhongzheng ; Park, Keehwan. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:100:y:2025:i:c:s1062976925000171. Full description at Econpapers || Download paper |
| 2024 | Arbitrage opportunities and feedback trading in regulated bitcoin futures market: An intraday analysis. (2024). Wang, Jinghua ; Ngene, Geoffrey M. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:743-761. Full description at Econpapers || Download paper |
| 2024 | Detecting anomalous WM/reuters fixes using Trailing Contextual Anomaly Detection. (2024). Mollica, Vito ; Ibikunle, Gbenga ; Sun, Qiao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pa:s1059056024005045. Full description at Econpapers || Download paper |
| 2024 | Natural resources and sustainable development: Evidence from the dynamic correlation between crude oil and gold market. (2024). Zhang, Xincheng ; Wu, Shaojiang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006579. Full description at Econpapers || Download paper |
| 2025 | Global Shocks and Local Fragilities: A Financial Stress Index Approach to Pakistan’s Monetary and Asset Market Dynamics. (2025). Lpez-Gonzales, Javier Linkolk ; Yousfani, Kinza ; Iftikhar, Hasnain ; Rodrigues, Paulo Canas ; Torres, Elas A. In: Economies. RePEc:gam:jecomi:v:13:y:2025:i:8:p:243-:d:1727765. Full description at Econpapers || Download paper |
| 2025 | An Examination of G10 Carry Trade and Covered Interest Arbitrage Before, During, and After Financial Crises. (2025). Refalo, James ; Danso, Charles Armah. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:4:p:190-:d:1626308. Full description at Econpapers || Download paper |
| 2024 | Investigation of Swedish krona exchange rate volatility by APARCH-Support Vector Regression. (2024). Li, Yushu ; Kim Karlsson, Hyunjoo. In: Working Papers in Economics and Statistics. RePEc:hhs:vxesta:2024_010. Full description at Econpapers || Download paper |
| 2024 | Asymmetries in risk spillovers between currency and stock markets: Evidence from the CoVaR-copula approach. (2024). Wu, Jyh-Lin ; Lai, Yi-Hao ; Wang, Yi-Chiuan. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:63:y:2024:i:3:d:10.1007_s11156-024-01285-1. Full description at Econpapers || Download paper |
| 2024 | COVID-19, the Russia–Ukraine war and the connectedness between the U.S. and Chinese agricultural futures markets. (2024). Zhang, Yongmin ; Sun, Yiru ; Zhao, Yingxue ; Ding, Shusheng ; Shi, Haili. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-02852-6. Full description at Econpapers || Download paper |
| 2024 | RMB exchange rate forecasting using machine learning methods: Can multimodel select powerful predictors?. (2024). Li, Yanyan ; Wang, Xinxin ; Yu, Xing. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:3:p:644-660. Full description at Econpapers || Download paper |
Works by Michael Melvin:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1982 | Expected Inflation, Taxation, and Interest Rates: The Delusion of Fiscal Illusion. In: American Economic Review. [Full Text][Citation analysis] | article | 10 |
| 1983 | Expected Inflation and Interest Rates: Reply. In: American Economic Review. [Full Text][Citation analysis] | article | 0 |
| 2004 | Why has FX trading surged? In: BIS Quarterly Review. [Full Text][Citation analysis] | article | 55 |
| 1996 | DOLLARIZATION IN DEVELOPING COUNTRIES: RATIONAL REMEDY OR DOMESTIC DILEMMA? In: Contemporary Economic Policy. [Full Text][Citation analysis] | article | 6 |
| 2009 | The Dark Side of International Cross‐Listing: Effects on Rival Firms at Home In: European Financial Management. [Full Text][Citation analysis] | article | 6 |
| 2007 | The Dark Side of International Cross-Listing: Effects on Rival Firms at Home.(2007) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2016 | Global Investment Environment of the Post-Quantitative Easing World: The ‘new-old’ and ‘new-new’ Normal In: Pacific Economic Review. [Full Text][Citation analysis] | article | 0 |
| 1996 | Which Single Currency for Western Europe? In: Review of International Economics. [Citation analysis] | article | 1 |
| 2013 | The choice of direct dealing or electronic brokerage in foreign exchange trading In: Borsa Istanbul Review. [Full Text][Citation analysis] | article | 0 |
| 2008 | Automating Exchange Rate Target Zones: Intervention via an Electronic Limit Order Book In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2009 | Bank of England Interest Rate Announcements and the Foreign Exchange Market In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 20 |
| 2010 | Bank of England Interest Rate Announcements and the Foreign Exchange Market.(2010) In: International Journal of Central Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | article | |
| 2009 | Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 30 |
| 2009 | Exchange rate management in emerging markets: Intervention via an electronic limit order book.(2009) In: Journal of International Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | article | |
| 2009 | The Crisis in the Foreign Exchange Market In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 173 |
| 2009 | The Crisis in the Foreign Exchange Market.(2009) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 173 | paper | |
| 2009 | The crisis in the foreign exchange market.(2009) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 173 | article | |
| 2010 | Active Currency Investing and Performance Benchmarks In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2013 | Forecasting Exchange Rates: An Investor Perspective In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 12 |
| 2013 | Forecasting Exchange Rates: an Investor Perspective.(2013) In: Handbook of Economic Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | chapter | |
| 2016 | When Carry Goes Bad: The Magnitude, Causes, and Duration of Currency Carry Unwinds In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2017 | When Carry Goes Bad: The Magnitude, Causes, and Duration of Currency Carry Unwinds.(2017) In: Financial Analysts Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2020 | Retaining Alpha: The Effect of Trade Size and Rebalancing Frequency on FX Strategy Returns In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2020 | Retaining alpha: The effect of trade size and rebalancing frequency on FX strategy returns.(2020) In: Journal of Financial Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2020 | Chinese Exchange Rate Policy: Lessons for Global Investors In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2022 | Chinese Exchange Rate Policy: Lessons for Global Investors.(2022) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2022 | Trading with the Informed and against the Uninformed: Flows and Positioning in the Global Currency Market In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2004 | A Yen is Not a Yen: TIBOR/LIBOR and the Determinants of the Japan Premium In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 21 |
| 2000 | Public Information Arrival, Exchange Rate Volatility, and Quote Frequency. In: Economic Journal. [Full Text][Citation analysis] | article | 118 |
| 1996 | Public Information Arrival, Exchange Rate Volatility, and Quote Frequency.(1996) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 118 | paper | |
| 2004 | Explaining the dollar/euro exchange rate: the role of policy uncertainty, asymmetric information, and hedging opportunities In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] | paper | 1 |
| 1989 | Dollar currency in Latin America : A Bolivian application In: Economics Letters. [Full Text][Citation analysis] | article | 14 |
| 2003 | A stock market boom during a financial crisis?: ADRs and capital outflows in Argentina In: Economics Letters. [Full Text][Citation analysis] | article | 29 |
| 2007 | Explaining the early years of the euro exchange rate: An episode of learning about a new central bank In: European Economic Review. [Full Text][Citation analysis] | article | 2 |
| 2005 | Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 117 |
| 2008 | Excess demand and price formation during a Walrasian auction In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 5 |
| 2002 | Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen? In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 71 |
| 2015 | Equity hedging and exchange rates at the London 4p.m. fix In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 42 |
| 1994 | Bid--ask spreads and volatility in the foreign exchange market : An empirical analysis In: Journal of International Economics. [Full Text][Citation analysis] | article | 129 |
| 1994 | Sources of meteor showers and heat waves in the foreign exchange market In: Journal of International Economics. [Full Text][Citation analysis] | article | 45 |
| 2002 | Before and after international cross-listing: an intraday examination of volume and volatility In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 17 |
| 1989 | Do centrally planned exchange rates behave differently from capitalist rates? In: Journal of Comparative Economics. [Full Text][Citation analysis] | article | 3 |
| 1991 | Trade balance news and exchange rates: Is there a policy signal? In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 31 |
| 2001 | Once-in-a-generation yen volatility in 1998: fundamentals, intervention, and order flow In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 67 |
| 2009 | The global financial crisis: Causes, threats and opportunities. Introduction and overview In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 16 |
| 1984 | Trade concentration, openness, and deviations from purchasing power parity In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 3 |
| 1986 | Risk in international lending: A dynamic factor analysis applied to France and Mexico In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 3 |
| 2012 | International Money and Finance In: Elsevier Monographs. [Full Text][Citation analysis] | book | 4 |
| 1993 | On the possibility of a yen currency bloc for Pacific-Basin countries: A stochastic dominance approach In: Pacific-Basin Finance Journal. [Full Text][Citation analysis] | article | 2 |
| 2014 | Little guys, liquidity, and the informational efficiency of price: Evidence from the Tokyo Stock Exchange on the effects of small investor participation In: Pacific-Basin Finance Journal. [Full Text][Citation analysis] | article | 10 |
| 1997 | U.S. protectionist policy and stock prices of U.S. import-competing and Korean and Taiwanese export-oriented firms In: Pacific-Basin Finance Journal. [Full Text][Citation analysis] | article | 2 |
| 2024 | Investing through Fed regime changes in the post-crisis period In: Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2004 | DOES CORPORATE GOVERNANCE MATTER IN THE MARKET RESPONSE TO MERGER ANNOUNCEMENTS? EVIDENCE FROM THE U.S. AND GERMANY In: Advances in Financial Economics. [Full Text][Citation analysis] | chapter | 0 |
| 1992 | Economic fundamentals and a yen currency area for Asian Pacific Rim countries In: Proceedings. [Citation analysis] | article | 0 |
| 1992 | Economic fundamentals and a yen currency area for Asian Pacific Rim countries In: Proceedings. [Citation analysis] | article | 0 |
| 2005 | Tokyo insiders and the informational efficiency of the yen|dollar exchange rate In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 9 |
| 2006 | Explaining trading volume in the euro In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 7 |
| 1998 | Twice a day or continuously? Observation frequency and inference on foreign exchange volatility persistence In: Atlantic Economic Journal. [Full Text][Citation analysis] | article | 2 |
| 1990 | The choice of an invoicing currency in international trade and the balance of trade impact of currency depreciation In: Open Economies Review. [Full Text][Citation analysis] | article | 10 |
| 1985 | The Choice of an Exchange Rate System and Macroeconomic Stability. In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 54 |
| 1991 | Coca Dollars and the Dollarization of South America. In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 10 |
| 2007 | Exchange Rates and FOMC Days In: Journal of Money, Credit and Banking. [Citation analysis] | article | 13 |
| 2007 | Exchange Rates and FOMC Days.(2007) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 2000 | Information, Announcement, and Listing Effects of ADR Programs and German-U.S. Stock Market Integration In: Multinational Finance Journal. [Full Text][Citation analysis] | article | 1 |
| 1983 | An Alternative Approach to International Capital Flows In: NBER Chapters. [Full Text][Citation analysis] | chapter | 1 |
| 1997 | Is There Private Information in the FX Market? The Tokyo Experiment In: NBER Working Papers. [Full Text][Citation analysis] | paper | 29 |
| 1999 | Japans Big Bang and the Transformation of Financial Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 1983 | The Vanishing Liquidity Effect of Money on Interest: Analysis and Implications for Policy. In: Economic Inquiry. [Citation analysis] | article | 41 |
| 1985 | A Country Risk Index: Econometric Formulation and an Application to Mexico. In: Economic Inquiry. [Citation analysis] | article | 2 |
| 1991 | Exchange Rate Systems and Investor Preferences. In: Economic Inquiry. [Citation analysis] | article | 1 |
| 1996 | Foreign Exchange Market Bid-Ask Spreads and the Market Price of Social Unrest. In: Oxford Economic Papers. [Full Text][Citation analysis] | article | 22 |
| 2025 | Seasonal affective disorder and currency markets In: Annals of Operations Research. [Full Text][Citation analysis] | article | 0 |
| 1983 | The Determinants of Co-Authorship: An Analysis of the Economics Literature. In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 76 |
| 1989 | The U.S. Budget Deficit and the Foreign Exchange Value of the Dollar. In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 2 |
| 2003 | The Global Transmission of Volatility in the Foreign Exchange Market In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 89 |
| 1988 | The Dollarization of Latin America as a Market-Enforced Monetary Reform: Evidence and Implications. In: Economic Development and Cultural Change. [Full Text][Citation analysis] | article | 19 |
| 1990 | Property Rights, Development, and Velocity in Developing Countries. In: Economic Development and Cultural Change. [Full Text][Citation analysis] | article | 1 |
| 1990 | South African political unrest, oil prices, and the time varying risk premium in the gold futures market In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 63 |
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