Working Papers

• PPP Strikes Out: The effect of common factor shocks on the real exchange rate (with D. Sul), June 2008. Presentation Slides

• Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics revised, September 2007. Learning Presentation Slides

• A Multinomial Logit Approach to Exchange Rate Policy Classification with an Application to Growth (with J. Dubas and B.J. Lee) August 2006, (formerly circulated under the title of Effective Exchange Rate Classifications and Growth).

• The Power of Long-Horizon Predictive Regression Tests (with D. Sul), June 2004, revised October 2006.

• Bias Reduction in Dynamic Panel Data Models by Common Recursive Mean Adjustment (with C.Y. Choi and D. Sul), revised, June 2008.

• Asymptotic Power Advantages of Long-Horizon Regression Tests (with D. Sul), April 2002, Revised September 2002.

Forthcoming Papers

Selected published papers.

(Downloadable. These papers are copyrighted by the journal publisher and are not to be reproduced without the copyright holder’s permission)

• 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.

• Exchange Rate Models Are Not As Bad As You Think (with C. Engel and K.D. West), NBER Macroeconomics Annual 2007.

• Official Interventions and the Forward Premium Anomaly, 2007, (with Y.K. Moh), Journal of Empirical Finance, 14, 499-522.

• 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.

• Dynamic Seemingly Unrelated Cointegrating Regressions (with M. Ogaki and D. Sul), Review of Economic Studies, July, 72, 2005: 797-820.

• 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.

• 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

• 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

• 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.

• Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise (with Y. Wu), 1998, Economic Journal,108, 1686-1706. Data, Data File Description

• 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

• Real Exchange Rate Prediction over Long Horizons (with D.Y. Choi) 1997, Journal of International Economics, 43, 29-60.

• Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability 1995, American Economic Review, 85, 201-218. Gauss Programs and Data

• 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.

• Mean Reversion in Equilibrium Asset Prices (with S.G. Cecchetti and P-s. Lam) 1990, American Economic Review, 80, 398-418.

• Evaluating Empirical Tests of Asset Pricing Models: Alternative Interpretations (with S.G. Cecchetti) 1990, Papers and Proceedings of the American Economic Association, 48-51.

Presentation Slides

· IMF Institute March 2008 Endogenous Money and Exchange Rates

· Discussion of Farhi and Gabaix on Rare Disasters NBER Monetary Economics Program Meeting, April 2008.

· Discussion of Chakraborty--Deckle on U.S. Current Account Wisconsin Conference on Current Account Sustainability, May 2008.