Publications, Completed Papers, and Work-in-Progress (by Topic Area)

COMPLETED PAPERS AND PAPERS UNDER REVIEW

• "FX Options and Excess Returns" (Nov 2012) with Ranganai Gwati. Online Appendix

• "Mixed Frequency Regressions: Estimation, Monitoring, and Forecasting" with Wen Jen Tsay (previous title: "Forecasting Commodity Prices with Mixed Frequency Data: An OLS-Based Generalized ADL Approach")

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

• "Home Bias in Currency Forecasts" with Kwok Ping Tsang and Wen Jen Tsay

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

• "Monetary Policy Design under Imperfect Knowledge: An Open Economy Analysis" with Pisut Kulthanavit

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

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

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

PUBLICATIONS 

• "What Does the Yield Curve Tell Us About Exchange Rate Predictability?" (2013) with Kwok Ping Tsang, Review of Economics and Statistics, March 2013, Vol. 95, No. 1: 185–205 (Online Appendix)

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

• "Are Commodity Currencies an Exception to the Rule?" (2012) with Kenneth Rogoff, Global Journal of Economics, Vol. 1, No. 1 (June 2012)

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

• "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)

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

• "Adaptive Learning and Monetary Policy in an Open Economy: Lessons from Japan" (2008) with Pisut Kulthanavit. Pacific Economic Review, Vol. 13, Issue 4, pp.405-430.

• "Commodity Currencies" (2003) with Kenneth Rogoff. Journal of International Economics, Vol. 60, No.1, pp.133-160.

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

WORK-IN-PROGRESS:

• "Monitoring Structural Changes in Factor Models" with Wen Jen Tsay

• "Monetary Policy, Learning, and Global Risk Factors" with Kwok Ping Tsang and Wen Jen Tsay

• "What Makes a Commodity Currency?" with Dong Won Lee

• "Commodity Currencies and Volatility Forecasts" with Wun Ho Lee