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Internationally Integrated Financial Markets

Special issue on the Global Financial Crisis, co-edited with Kristin Forbes, Journal of International Economics, Vol.88, Issue 2,  pp.215-436, November 2012.

 “Carried Away,” 2008, Milken Institute Review Q1, pp.38-45. 

World Trade and Payments: An Introduction (with Richard Caves and Ronald Jones),  Tenth ed. (Addison Wesley Longman: Boston, MA), 2007. Esp. Chapter 20.

"Measuring International Capital Mobility: A Review," American Economic Review 82, no.2 (May 1992), 197-202.

"Political vs. Currency Premia in International Real Interest Differentials: A Study of Forward Rates for 24 Countries," with Alan MacArthur, European Economic Review 32 (June 1988), 1083-1121. Reprinted in Exchange Rate Economics, Vol.II, ed. by R.MacDonald & M.Taylor, Int. Library of Critical Writings in Ec., (Edward Elgar Publishing, U.K.) 1992.

"Quantifying International Capital Mobility in the 1980's,"   Chapter 8 in National Saving and Economic Performance, D. Bernheim and J. Shoven, eds., (University of Chicago Press: Chicago), 1991, 227-260.  [Page 238 contains the "Zen" calculation, that one should expect to need at least 49-100 years of data to statistically reject a random walk in the real exchange rate.]  NBER WP No. 2856, 1989.  Reprinted in Dilip Das, ed., International Finance: Contemporary Issues (Routledge, London), 1993.  And in Frankel, On Exchange Rates, 1993.

"International Financial Integration, Relations among Interest Rates and Exchange Rates, and Monetary Indicators," in International Financial Integration and the Conduct of U.S. Monetary Policy, edited by C.Pigott (Federal Reserve Bank of New York: NY), 1991, 17-49. 

 "International Capital Mobility: What Do Saving-InvestmentCorrelations Tell Us?"  with Michael Dooley and Donald Mathieson, 1987 International Monetary Fund Staff Papers, 34, no.3, 503-530.   NBER WP 2043, 1986.  

"International Capital Mobility and Crowding Out in the U.S. Economy:  Imperfect Integration of Financial Markets or of Goods Markets?" in How Open Is the U.S. Economy?, edited by R. Hafer (Lexington:  Lexington Books), FRB St. Louis, 1986, 33-67.   NBER WP 1773.

RESEARCH APPLYING INTERNATIONAL MEAN-VARIANCE OPTIMIZATION (1979-86):

"The Implications of Mean-Variance Optimization for Four Questions in International Macroeconomics," Journal of International Money and Finance, 5, March 1986, S53-75.  NBER WP 1617, May 1985.

"Do Asset Demand Functions Optimize Over the Mean and Variance of Real Returns? A Six Currency Test" with Charles Engel, Journal of International Economics 17, December 1984, 309323.  NBER WP 1051, Dec. 1982.

"In Search of the Exchange Risk Premium: A Six-Currency Test Assuming Mean-Variance Optimization,"Journal of International Money and Finance 1, December 1982, 255-274.  Reprinted in Exchange Rate Economics, Vol.II, edited by R.MacDonald and M.Taylor, International Library of Critical Writings in Economics (Edward Elgar Publ., Hants, U.K.), 1992.

"Estimation of Portfolio-Balance Functions that are Mean-Variance Optimizing: The Mark and the Dollar," 1983, European Economic Review 23, no.3, September, 315-327   Fed.Res. IFDP 188., 1981  

"A Test of Perfect Substitutability in the Foreign Exchange Market," Southern Economic Journal, October 1982, vol. 48.   Federal Reserve Board International Financial Discussion Paper 149, Augsut 1979. 

"The Diversifiability of Exchange Risk,"  1979, Journal of International Economics 9, August, 379-393.

 

See also: Internationally Integrated Financial Markets