20
H index
30
i10 index
1495
Citations
Michael Melvin : Citation Profile
University of California-San Diego (UCSD) | RESEARCH PRODUCTION: 55 Articles 19 Papers 1 Books 2 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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40 years (1982 - 2022). 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 |
| Working Papers / Department of Economics, W. P. Carey School of Business, Arizona State University | 3 |
| NBER Working Papers / National Bureau of Economic Research, Inc | 2 |
Recent works citing Michael Melvin (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | The foreign exchange market. (2023). Sushko, Vladyslav ; Rime, Dagfinn ; Chaboud, Alain. In: BIS Working Papers. RePEc:bis:biswps:1094. Full description at Econpapers || Download paper |
| 2023 | The effect of interconnectivity on stock returns during the Global Financial Crisis. (2023). Tabak, Benjamin ; Silva, Thiago ; Berri, Paulo Victor. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000633. Full description at Econpapers || Download paper |
| 2023 | Uniform and Lp convergences for nonparametric continuous time regressions with semiparametric applications. (2023). Wang, Bin ; Kim, Jihyun ; Bu, Ruijun. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1934-1954. Full description at Econpapers || Download paper |
| 2023 | Following the leaders? A study of co-movement and volatility spillover in BRICS currencies. (2023). Roy, Saikat Sinha ; Das, Suman. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s0939362522000425. Full description at Econpapers || Download paper |
| 2023 | Do the carry trades respond to geopolitical risks? Evidence from BRICS countries. (2023). Yilmaz, Muhammed Hasan ; Guney, Ibrahim Ethem ; Emirmahmutoglu, Furkan ; Cepni, Oguzhan. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s0939362522000620. Full description at Econpapers || Download paper |
| 2023 | Turkey: From a thriving economic past towards a rugged future? - An empirical analysis on the Turkish financial markets. (2023). Kiohos, Apostolos ; Nikas, Christos ; Stoupos, Nikolaos. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122001091. Full description at Econpapers || Download paper |
| 2023 | Information flows and the law of one price. (2023). Talavera, Oleksandr ; Tran, VU ; Fan, Rui. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004161. Full description at Econpapers || Download paper |
| 2023 | Trading gap in holidays and price transmission: Evidence from cross-listed stocks on the A-share and H-share markets. (2023). Rao, Yulei ; Peng, Diefeng ; Guo, Shijun ; Bao, Wei. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001321. Full description at Econpapers || Download paper |
| 2023 | Information shares for markets with partially overlapping trading hours. (2023). Schweikert, Karsten ; Dimpfl, Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001681. Full description at Econpapers || Download paper |
| 2023 | Market-making with search and information frictions. (2023). Zetlin-Jones, Ariel ; Venkateswaran, Venky ; Shourideh, Ali ; Lester, Benjamin. In: Journal of Economic Theory. RePEc:eee:jetheo:v:212:y:2023:i:c:s0022053123001102. Full description at Econpapers || Download paper |
| 2023 | Commodity price effects on currencies. (2023). Cheung, Yin-Wong ; Wang, Wenhao. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:130:y:2023:i:c:s0261560622001486. Full description at Econpapers || Download paper |
| 2023 | Reserves and risk: Evidence from China. (2023). Yamamoto, Yohei ; Hattori, Takahiro ; Fatum, Rasmus. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:134:y:2023:i:c:s0261560623000451. Full description at Econpapers || Download paper |
| 2023 | Linear and nonlinear asymmetric relationship in crude oil, gold, stock market and exchange rates: An evidence from the UAE. (2023). Ray, Subhajyoti. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003446. Full description at Econpapers || Download paper |
| 2023 | Price efficiency of the foreign exchange rates of BRICS countries: A comparative analysis. (2023). Sheng, Hsia Hua ; Rasheed, Abdul A ; Diniz-Maganini, Natalia. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:4:y:2023:i:1:s2666143822000357. Full description at Econpapers || Download paper |
| 2023 | International transmission of exchange rate volatility: Evidence from FIEs’ investments in China. (2023). Xu, Yangfei ; Li, Baoxin ; Dai, Yanke. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:68:y:2023:i:c:s1042444x23000166. Full description at Econpapers || Download paper |
| 2023 | Return–volume nexus in financial markets: A survey of research. (2023). Yamani, Ehab. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000363. Full description at Econpapers || Download paper |
| 2023 | An Empirical Examination of Asymmetry on Exchange Rate Spread Using the Quantile Autoregressive Distributed Lag (QARDL) Model. (2023). SAHIN, Afsin. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:1:p:38-:d:1027286. Full description at Econpapers || Download paper |
| 2023 | On the Geographical Dispersion of Euro Currency Trading: An Analysis of the First 20 Years and a Comparison to the RMB. (2023). Westermann, Frank. In: Comparative Economic Studies. RePEc:pal:compes:v:65:y:2023:i:2:d:10.1057_s41294-022-00196-1. Full description at Econpapers || Download paper |
| 2023 | A dynamic analysis of the demand for life insurance during the 2008 financial crisis: evidence from the panel Survey of Consumer Finances. (2023). Wang, Ning. In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:48:y:2023:i:4:d:10.1057_s41288-021-00262-2. Full description at Econpapers || Download paper |
| 2023 | Foreign Exchange Intervention: A New Database. (2023). Heidland, Tobias ; Fratzscher, Marcel ; Schmeling, Maik ; Sarno, Lucio ; Menkhoff, Lukas. In: IMF Economic Review. RePEc:pal:imfecr:v:71:y:2023:i:4:d:10.1057_s41308-022-00190-8. Full description at Econpapers || Download paper |
| 2023 | The words have power: the impact of news on exchange rates. (2023). Shugliashvili, Teona. In: FFA Working Papers. RePEc:prg:jnlwps:v:5:y:2023:id:5.006. Full description at Econpapers || Download paper |
| 2023 | Journal of industrial and business economics—Economia e politica industriale: a historical sketch of the first fifty years. (2023). Mariotti, Sergio. In: Economia e Politica Industriale: Journal of Industrial and Business Economics. RePEc:spr:epolin:v:50:y:2023:i:1:d:10.1007_s40812-022-00244-y. Full description at Econpapers || Download paper |
| 2023 | Law of one price and return on Arbitrage Trading: Bitcoin vs. Ethereum. (2023). Shynkevich, Andrei. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:3:d:10.1007_s12197-023-09631-0. Full description at Econpapers || Download paper |
| 2023 | Heterogeneous Behavior and Volatility Transmission in the Forex Market using High-Frequency Data. (2023). Shira, Ruba Khalid ; Lamouchi, Rim Ammar. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:13:y:2023:i:3:f:13_3_3. Full description at Econpapers || Download paper |
| 2023 | Uncovered equity returns parity in non?euro Central European EU member countries. (2023). Sywak, Monika ; Soper, Carolyne ; Orlowski, Lucjan. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:307-315. Full description at Econpapers || Download paper |
| 2023 | The effectiveness of crude oil futures hedging during infectious disease outbreaks in the 21st century. (2023). Teo, Jiajun ; Go, Youhow ; Chan, Kam Fong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1559-1575. 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 |
| The Political Economy of Japans Big Bang In: Working Papers. [Full Text][Citation analysis] | paper | 1 | |
| A Yen is not a Yen: TIBOR/LIBOR and the determinants of the Japan Premium In: Working Papers. [Full Text][Citation analysis] | paper | 24 | |
| 2004 | A Yen is Not a Yen: TIBOR/LIBOR and the Determinants of the Japan Premium.(2004) In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | article | |
| A Stock Market Boom During a Financial Crisis? ADRs and capital outflows in Argentina In: Working Papers. [Full Text][Citation analysis] | paper | 35 | |
| 2003 | A stock market boom during a financial crisis?: ADRs and capital outflows in Argentina.(2003) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | article | |
| 2004 | Why has FX trading surged? In: BIS Quarterly Review. [Full Text][Citation analysis] | article | 54 |
| 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 | 29 |
| 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: 29 | article | |
| 2009 | The Crisis in the Foreign Exchange Market In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 168 |
| 2009 | The Crisis in the Foreign Exchange Market.(2009) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 168 | 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: 168 | 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 | 10 |
| 2013 | Forecasting Exchange Rates: an Investor Perspective.(2013) In: Handbook of Economic Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | 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 | 0 |
| 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 | 0 |
| 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: 0 | article | |
| 2020 | Chinese Exchange Rate Policy: Lessons for Global Investors In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 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: 0 | 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 |
| 2000 | Public Information Arrival, Exchange Rate Volatility, and Quote Frequency. In: Economic Journal. [Full Text][Citation analysis] | article | 115 |
| 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: 115 | 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 |
| 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 | 110 |
| 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 | 35 |
| 1994 | Bid--ask spreads and volatility in the foreign exchange market : An empirical analysis In: Journal of International Economics. [Full Text][Citation analysis] | article | 133 |
| 1994 | Sources of meteor showers and heat waves in the foreign exchange market In: Journal of International Economics. [Full Text][Citation analysis] | article | 42 |
| 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 | 30 |
| 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 | 66 |
| 2009 | The global financial crisis: Causes, threats and opportunities. Introduction and overview In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 15 |
| 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 | 3 |
| 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 |
| 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.(1992) In: Proceedings. [Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2005 | Tokyo insiders and the informational efficiency of the yen|dollar exchange rate In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 8 |
| 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 | 9 |
| 1985 | The Choice of an Exchange Rate System and Macroeconomic Stability. In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 52 |
| 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 |
| 1983 | The Determinants of Co-Authorship: An Analysis of the Economics Literature. In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 77 |
| 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 | 86 |
| 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 | 18 |
| 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 | 57 |
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