Working Papers
GDP and Temperature: Evidence on Cross-Country Response Heterogeneity (with K.A. Berg and C.C. Curtis). Revised from the original 11 August 2021 version.
Selected published papers.
(Downloadable. These papers are copyrighted by the
journal publisher and are not to be reproduced without the copyright holder
permission)
46) Uncertainty, Long-Run, and Monetary Policy Risks
in a Two-Country Macro Model (with K.A. Berg) Appendix International Economic Review,
forthcoming
45) Global Temperature Shocks and Real Exchange Rates (with S.O. Lee, J. Nauerz, J. Rawls, and Z. Wei), Journal of Climate Finance, 1 (2022), 1-13.
44) Demographics
and Monetary Policy Shocks, (with K.A. Berg, C.C. Curtis, and S. Lugauer), Journal of Money, Credit, and Banking May
2021. Online Appendix.
Data and Replication Codes for Local
Projections
Data
and Replication Code on Survey of Consumer Finance Facts
Data
and Replication Code for the Model
43) Where's the Risk? The Forward Premium Bias, the Carry-Trade Premium, and Risk-Reversals in General Equilibrium (with K.A. Berg), Journal of International Money and Finance, 95, July (2019), pp. 297-316. . Appendix
42) Identifying
Exchange Rate Common Factors (with R. Greenaway-McGrevy, D. Sul and JY Wu), International
Economic Review, Vol.
59, No. 4, November 2018, pp. 2193-2218.
41) Global Macro Risks in Currency Excess Returns (with K.A. Berg), Journal of Empirical Finance, 45 (2018) 300-315.
40) Measures of Global Uncertainty and Carry Trade Excess Returns, (with K.A. Berg), Journal of International Money and Finance, 88 (2018), 212-227. Appendix--GMM standard errors
39) Precautionary Saving
of Chinese and US Households (with H. Choi and S. Lugauer), Journal
of Money, Credit, and Banking, (June,
2017). Online Appendix
38) Demographics and
Aggregate Household Saving in Japan, China, and India (with C. Curtis and
S. Lugauer), Journal of Macroeconomics, March 2017.
37) Third-Country Effects
on the Exchange Rate (with K.A. Berg), July 2015, Journal of International Economics
36) Demographic
Patterns and Household Saving in China (with C. Curtis and S. Lugauer),
(April 2015) 7(2): 58-94. American Economic Journal: Macroeconomics.
35) Factor Model Forecasts of Exchange Rates (with C. Engel and K.D. West), Econometric Reviews, 34 (2015): 32-55. Appendix A and Appendix B
34) Linkages Between
Exchange Rate Policy and Macroeconomic Performance (with V. Sokolov and
B.J. Lee), Pacific Economic Review.
33) The Role of Household Saving in the
Economic Rise of China (with S. Lugauer), HKIMR working paer version.
Published in
Yin-Wong Cheung and Frank Westermann, eds., Global
Interdependence, Decoupling and Recoupling, CES-ifo seminar series (MIT
Press), restricted
access.
32) Business
Cycles, Consumption and Risk-Sharing: How Different is China?(with C.
Curtis), in Yin-Wong Cheung,Vikas Kakkar,and Guonan Ma, eds., The Evolving Role of Asia in Global Finance.
Presentation Slides.
31) Bias
Reduction in Dynamic Panel Data Models by Common Recursive Mean Adjustment
(with C.Y. Choi and D. Sul) Oxford
Bulletin of Economics, 72,5 (2010): 567-599
30) A Multinomial Logit
Approach to Exchange Rate Policy Classification with an Application to Growth
(with J. Dubas and B.J. Lee) Journal of
International Money and Finance, 29 (2010), 1438-1462.
29) Changing Monetary Policy
Rules, Learning, and Real Exchange Rate Dynamics Journal
of Money, Credit, and Banking, September 2009, 1047-1070.
28) When Are Pooled Panel-Data Regression Forecasts of Exchange Rates More Accurate than Time-Series Regression Forecasts? (with D. Sul), in Jessica James, Ian Marsh, and Lucio Sarno, eds., Handbook of Exchange Rates.
27) Endogenous Discounting, the World Saving Glut and the U.S. Current Account (with H. Choi and D. Sul), Journal of International Economics, 75, May 2008, 30-53.
26) Exchange Rate Models Are Not As
Bad As You Think (with C. Engel and K.D. West), NBER Macroeconomics Annual 2007.
25) Official
Interventions and the Forward Premium Anomaly 2007, (with Y.K. Moh), Journal of Empirical Finance, 14, 499-522.
24) Unbiased
Estimation of the Half-Life to PPP Convergence in Panel Data (with C.Y.
Choi and D. Sul), Journal of Money,
Credit, and Banking, June, 38, 2006: 921-938
23) Dynamic
Seemingly Unrelated Cointegrating Regressions (with M. Ogaki and D. Sul), Review of Economic Studies, July, 72,
2005: 797-820.
22) Cointegration Vector Estimation by Panel DOLS
and Long-Run Money Demand (with
D. Sul), Oxford Bulletin of Economics and
Statistics, December 2003,65, 665-680. Technical Appendix (Previously
entitled A Computationally Simple Cointegration Vector Estimator for Panel
Data.) Gauss programs and data.
21) Price
Index Convergence among United States Cities (with S.G. Cecchetti and R. Sonora). International Economic Review., November 2002. (Previously
circulated under the title "Price Level Convergence among United States
Cities: Lessons for the European Central Bank.") Gauss
Programs and Data
20) Nominal
Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton
Woods Panel, (with D. Sul), Journal
of International Economics, 53, 2001, 29-52. Gauss
Programs and Data
19) Asset
Pricing under Distorted Beliefs: Are Equity Returns Too Good to be True?
(with S.G. Cecchetti and P-s Lam), American
Economic Review, 90, 2000, 787-805.
18) Rethinking
Deviations from Uncovered Interest Parity: The Role of Covariance Risk and
Noise (with Y. Wu), 1998, Economic
Journal,108, 1686-1706. Data File Description
17) Understanding
Spot and Forward Exchange Rate Regressions (with W. Hai and Y Wu) 1997, Journal of Applied Econometrics, 12,
715-34. Gauss Programs and Data
16) The
Economic Content of Indicators of Developing Country Creditness
(with N.Haque, M.S. Kumar, and D.J. Mathieson), International
Monetary Fund Staff Papers, 43(4) December 1996: 688-724.
15) Alternative Long-Horizon Exchange Rate Predictors(with J. Chen), International Journal of Finance and Economics, 1,4 October 1996: 229--250.
14) Exchange Rates and
Fundamentals: Evidence on Long-Horizon Predictability, 1995, American
Economic Review, 85,1, 201-218.
13) Testing
Volatility Restrictions on Intertemporal Marginal Rate of Substitution Implied
by Euler Equations and Asset Returns, (with S.G. Cecchetti and P-s Lam), Journal of Finance, 49, 1994.
12) The
Equity Premium and the Risk-Free Rate: Matching the moments (with S.G.
Cecchetti and P-s. Lam) 1993, Journal of
Monetary Economics, 31, 21-45.
11) Some Evidence in Favor of a Monetary Rational Expectations Exchange Rate Model with Imperfect Capital Substitutability (with R.A. Driskill and S.M. Sheffrin), International Economic Review, 33,1 February (1992): 223-237.
10) Testing the CAPM with Time-Varying Risks and Returns (with J.N. Bodurtha Jr), Journal of Finance, 46,4 September (1991): 1485-1505.
9) Mean
Reversion in Equilibrium Asset Prices (with S.G. Cecchetti and P-s. Lam)
1990, American Economic Review, 80,
398-418.
8) Evaluating
Empirical Tests of Asset Pricing Models: Alternative Interpretations (with
S.G. Cecchetti) 1990, Papers and
Proceedings of the American Economic Association, 48-51.
7) Real and Nominal Exchange Rates in the Long Run: An Empirical Investigation, Journal of International Economics, 28, February (1990): 115-136.
6) Time-Varying Betas and Risk Premia in teh Pricing of Forward Foreign Exchange Contracts, Journal of Financial Economics, 22,2 December (1988): 335-354.
5) International Transmission of Real Business Cycles, (with R. Cantor), International Economic Review, 29,3 August (1988): 493-507.
4) International Debt and World Business Fluctuations (with R. Cantor), ), Journal of International Money and Finance, 6,2 June (1987): 153-65.
3) On Time Varying Risk Premia in the Foreign Exchange Market: An Econometric Analysis, Journal of Monetary Economics, 6,1 July (1985): 3-18.
2) A Note on International Real Interest Rate Differentials, Review of Economics and Statistics, 67,4 November (1985): 681-84.
1)Some Evidence on the International Inequality of Real Interest Rates, Journal of International Money and Finance, 4,2 June (1985): 189-208.
Presentation
Slides
Hesburgh Slides Detroit May 2023
Discussion
Lustig and Richmond, Midwest Finance Association, March 2017.
Discussion
of Husted, Rogers, and Sun
IU Seminar
GDP and Temperature.pdf
