Research, by Topic Area (return to list)

On Applied Methodology:

• "Forecasting Commodity Prices with Mixed Frequency Data: An OLS-Based Generalized ADL Approach" (2011) with Wen Jen Tsay

• "Monitoring Structural Changes in Factor Models" (work-in-progress) with Wen Jen Tsay

• "Risk versus Expectations in Exchange Rates: A Macro-Finance Approach" (update coming soon!) with Byron Kwok Ping Tsang (previous version: "A Macro-Finance Approach to Exchange Rate Determination", 2009)

• "Home Bias in Currency Forecasts" (2010) with Byron Kwok Ping Tsang and Wen Jen Tsay

• "What Does the Yield Curve Tell Us About Exchange Rate Predictability?" (2008; final version 07/2011) with Byron Kwok Ping Tsang. Forthcoming in Review of Economics and Statistics (Online Appendix)

• "The Search for Stationarity in Real Exchange Rates: An Unobserved Component Regime-Switching Approach" with Bruce Wang

• "Monetary Policy, Learning, and Global Risk Factors" (work-in-progress) with Byron Kwok Ping Tsang and Wen Jen Tsay

• "FX Options and Financial Crisis" (working-in-progress) with Ranganai Gwati

• "Forecasting Inflation using Commodity Price Aggregates" with Stephen J. Turnovksy and Eric Zivot. Final version submitted at Journal of Econometrics

• "Are Commodity Currencies an Exception to the Rule?" (2012) with Kenneth Rogoff , forcoming in Journal of Global Economics, Vol. 1.

• "Can Exchange Rates Forecast Commodity Prices?" (2010) with Kenneth Rogoff and Barbara Rossi. Quarterly Journal of Economics, Vol. 125, No. 3, pp.1145–1194

  - See also NBER Working Paper w13901, March 2008; Nov 2008 version.

  - Data & Codes (updated 10/2009)

  - NBER Digest (07/2008); VOX writeup (09/2008); WSJ reference: "Bad Crop: Commodity Currencies" (11/2008)

• "Predicting Agri-Commodity Prices: an Asset-Pricing Approach" (2011) with Kenneth Rogoff and Barbara Rossi, in Global Uncertainty and the Volatility of Agricultural Commodities Prices, ed. B. Munier. IOS.

• "Commodity Currencies" (2003) with Kenneth Rogoff.  Journal of International Economics, Vol.60, No. 1, 133-6

• "Risk and Returns in Exchange Rates: Evidence from Commodity Currencies" with Chang-Jin Kim and SeongTae Kim

• "Exchange Rates and Fundamentals: Evidence from Commodity Economies" with Erica Clower

• "What Makes a Commodity Currency?" (work-in-progress) with Dong Won Lee

• "Commodity Currencies and Volatility Forecasts" (work-in-progress) with Wun Ho Lee

On Monetary Policy and Adaptive Learning:

• "Adaptive Learning and Monetary Policy in an Open Economy: Lessons from Japan" (2008) with Pisut Kulthanavit, Pacific Economic Review, Vol. 13, Issue 4, p405.

• "Monetary Policy Design under Imperfect Knowledge: An Open Economy Analysis" with Pisut Kulthanavit, revise and resubmit JMCB.

• "International Risk Sharing: Does What You Think Matter?" (work-in-progress)

• "Growth and Inequality in a Small Open Economy" (2010) with Stephen Turnovsky, Journal of Macroeconomics, Vol. 32, No. 2, pp.497-514

• "Labor Market Density and Increasing Returns to Scale: How Strong is the Evidence?" with Noah Weisberger and Edwin Wong.

• "Accounting for Differences in Economic Growth" (1996) Bosworth, B, S. Collins, and Y. Chen, in Structural Adjustment and Economic Reform: East Asia, Latin America, and Central and Eastern Europe, ed. A. Kohsaka and K. Ohno.