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Professor Mark Taylor - Selected Peer Review Articles

 “The Opportunity Set: Market Opportunities and the Effective Breadth of a Portfolio”, Journal of Portfolio Management, Winter 2009 +

 

"Real Exchange Rates Over the Past Two Centuries : How Important is the Harrod-Balassa-Samuelson Effect? ", Economic Journal, 118, 1742-1763 2008 +

 

"The Coordination Channel of Foreign Exchange Intervention: A Nonlinear Microstructural Analysis", European Economic Review, 52, 55-76, 2008 +

 

"Commercially Available Order Flow Data and Exchange Rate Movements: "Caveat Emptor"," Journal of Money, Credit and Banking, 40, 583-625, 2008 +

 

"The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis", Journal of Economic Literature, 45, 936-972, 2007 +

 

"Regional Vulnerability: the Case of East Asia", Journal of International Money and Finance, 26, 1292-1310, 2007 +

 

"A Cross-Country Financial Accelerator: Evidence from North America and Europe", Journal of International Money and Finance, 26, 149-165, 2006 +

 

"The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates", Journal of Business, 79, 1193-1224, 2006 +

 

"Long-Run Purchasing Power Parity and the Theory of General Relativity:  The First Tests", Journal of International Money and Finance, 24, 293-316, 2005 +

 

"The Purchasing Power Parity Debate", Journal of Economic Perspectives, 18, 135-158, Fall 2004 +

 

"The Impact of European Central Bank Governing Council Announcements on the Foreign Exchange Market:  A Microstructural Analysis", Journal of International Money and Finance, 23, 1043-51, 2004 +

 

"Asymmetric Arbitrage and Default Premiums Between the U.S. and Russian Financial Markets", International Monetary Fund Staff Papers, 51, 257-275, 2004 +

 

"Nonlinear Dynamics in the Law of One Price: A Broad-Based Empirical Study", Journal of International Money and Finance, 23, 1-25, 2004 +

 

"Is Official Exchange Rate Intervention Effective?", Economica, 71, 1-12, 2004

 

"Nonlinear Permanent-Temporary Decompositions in Macroeconomics and Finance", Economic Journal, 113, 125-39, 2003 +

 

"The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond", Journal of International Economics, 60, 61-83, 2003 +

 

"Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates?" Journal of International Economics, 60, 85-107, 2003 +

 

"Nonlinear Equilibrium Correction in US Real Money Balances, 1869-1997", Journal of Money, Credit and Banking, 35, 787-99, 2003 +

 

"Covered Interest Rate Arbitrage in the Inter-War Period and the Keynes-Einzig Conjecture", Journal of Money, Credit and Banking, 34, 51-75, 2002 +

 

"Official Intervention in the Foreign Exchange Market: Is it Effective and, If So, How Does it Work?" Journal of Economic Literature, 39, 839-68, 2001 +

 

"Nonlinear Mean Reversion in Real Exchange Rates:  Towards a Solution to the Purchasing Power Parity Puzzles", International Economic Review, 42, 1015-1042, 2001 +

 

"Risky Arbitrage, Limits of Arbitrage and Nonlinear Adjustment in the Dividend-Price Ratio", Economic Inquiry, 39, 524-36, 2001 +

 

"Purchasing Power Parity Over Two Centuries:  Strengthening the Case for Real Exchange Rate Stability", Journal of International Money and Finance, 19, 759-64, 2000 +

 

"Non-linear Adjustment, Long Run Equilibrium and Exchange Rate Fundamentals", Journal of International Money and Finance, 19, 33-53, 2000 +

 

"Hot Money, Accounting Labels and the Persistence of Capital Flows to Developing Countries", Journal of Development Economics, 59, 337-64, 1999 +

 

"Moral Hazard, Asset Price Bubbles, Capital Flows, and the East Asian Crisis: The First Tests", Journal of International Money and Finance, 18, 637-57, 1999 +

 

"The Target Zone Model, Non-linearity and Mean-Reversion:  Is the Honeymoon Really Over?" Economic Journal, 109, 96-110, 1999 +

 

"The Behavior of Real Exchange Rates During the Post Bretton Woods Period", Journal of International Economics, 46, 281-312, 1998 +

 

"Real Exchange Rate Behavior:  The Problem of Power and Sample Size", Journal of International Money and Finance, 16, 945-54, 1997 +

 

"The Term Structure of Forward Exchange Premiums and the Forecastability of Spot Exchange Rates:  Correcting the Errors", Review of Economics and Statistics, 79, 353-361,1997 +

 

"Real Exchange Rate Behaviour:  the Recent  Float from the Perspective of the Past Two Centuries", Journal of Political Economy, 104, 488-509, 1996 +

 

"Sand in the Wheels of International Finance:  A Sceptical View", Economic Journal, 105, 173-80, 1995 +

 

"The Economics of Exchange Rates", Journal of Economic Literature, 33, 13-47, 1995 

 

"Macroeconomic Shocks, the ERM, and Tri-Polarity", Review of Economics and Statistics, 77, 321-31, 1995 +

 

"On the Reinterpretation of Money Demand Regressions",  Journal  of  Money, Credit, and Banking, 26, 851-66, 1994 

 

"The Monetary Model of the Exchange Rate: Long Run Relationships, Short Run Dynamics, and  How  to  Beat  a  Random Walk", Journal of International  Money and Finance, 13, 276-90, 1994 +

 

"Modelling the Demand  for  UK  Broad Money, 1871 1913", Review of Economics and Statistics,  75, 112-7, 1993 

 

"Analyzing Credibility in High Inflation Countries: A New Approach", Economic Journal, 103, 329-36, 1993 +

 

"Money Demand, the Cagan Model and the Inflation Tax:  Some Latin American Evidence", Review of Economics and Statistics, 75, 32-7, 1993 +

 

"Modelling  the Yield Curve", Economic  Journal,  102,  524 537,  1992 

 

"The Use of  Technical  Analysis  in the Foreign Exchange Market",  Journal of International Money and Finance, 11, 304 314, 1992 +

 

"The Hyperinflation Model of Money Demand  Revisited",  Journal of  Money, Credit and Banking, 23, 327 51, 1991

 

"Exchange Rates, Policy Convergence and the European Monetary System", Review of Economics and Statistics, 73, 553 58, 1990 +

 

"Charts, Noise and Fundamentals in the Foreign Exchange  Market",  Economic Journal,  100,  49-59, 1990 +

 

"Covered Interest Arbitrage and Market Turbulence", Economic Journal, 99, 376 391, 1989

 

"The Internationalization of Stock Markets  and  the Abolition of  UK Exchange Control", Review of Economics and Statistics, 71, 332-6, 1989 +

 

"Long Run Purchasing Power Parity in the 1920s", European Economic Review, 32, 179-197, 1988  +

 

"What do Investment Managers Know? An  Empirical Analysis of Practitioners’ Predictions", Economica, 55, 185 202, 1988 

 

"Covered Interest Parity: A High Frequency, High Quality Data Study", Economica, 54, 429 -438, 1987 

 

"On Long Run  Solutions  to  Dynamic Econometric  Equations  Under  Rational Expectations", Economic Journal, 97, 215 218, 1987 

 

"The Demand for  Money:  A  Dynamic, Rational Expectations  Model", Economic Journal, 97,  65 76, 1987 +

 

"Testing the Rationality of Buffer Stock Money", Journal of Applied Econometrics, 1, 335 356, 1986 +

 

 

 

‘+’ denotes co-authored paper