Mark P. Taylor

Washington University in St. Louis - John M. Olin Business School

Dean

One Brookings Drive

Campus Box 1156

St. Louis, MO 63130-4899

United States

Centre for Economic Policy Research (CEPR)

London

United Kingdom

  • Washington University in St. Louis - John M. Olin Business School

SCHOLARLY PAPERS

54

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Scholarly Papers (54)

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1.

Exchange Rate Economics: A Survey

IMF Working Paper No. 91/62
Number of pages: 61 Posted: 15 Feb 2006
Ronald MacDonald and Mark P. Taylor
University of Strathclyde in Glasgow - Department of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 1,020 (25,823)

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2.

Technical Trading: Is it Still Beating the Foreign Exchange Market?

Journal of International Economics, Forthcoming
Number of pages: 54 Posted: 18 Apr 2016
Po-Hsuan Hsu, Mark P. Taylor and Zigan Wang
National Tsing Hua University - Department of Quantitative Finance, Washington University in St. Louis - John M. Olin Business School and The University of Hong Kong - School of Economics and Finance
Downloads 1,003 (26,463)
Citation 3

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Foreign exchange, technical analysis, trading rules, data-snooping bias

3.

The Monetary Approach to the Exchange Rate: Rational Expectations, Long-Run Equilibrium and Forecasting

IMF Working Paper No. 92/34
Number of pages: 28 Posted: 15 Feb 2006
Ronald MacDonald and Mark P. Taylor
University of Strathclyde in Glasgow - Department of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 686 (44,850)
Citation 13

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4.

Global Political Risk and Currency Momentum

Number of pages: 95 Posted: 01 Nov 2014 Last Revised: 11 Mar 2016
Ilias Filippou, Arie Eskenazi Gozluklu and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School, University of Warwick and Washington University in St. Louis - John M. Olin Business School
Downloads 570 (56,994)
Citation 8

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Currency Momentum, FX Risk premium, Limits to Arbitrage, Political Risk

5.

Exchange Rate Prediction with Machine Learning and a Smart Carry Portfolio

Number of pages: 77 Posted: 27 Sep 2019 Last Revised: 11 Sep 2020
Ilias Filippou, David Rapach, Mark P. Taylor and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, Saint Louis University, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 555 (58,948)

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Short-horizon exchange rate predictability, Panel predictive regression, Elastic net, Carry trade, Deep neural network

6.

Forty Years, Thirty Currencies and 21,000 Trading Rules: A Large-Scale, Data-Snooping Robust Analysis of Technical Trading in the Foreign Exchange Market

Downloads 377 ( 94,120)
Citation 149

Forty Years, Thirty Currencies and 21,000 Trading Rules: A Large-Scale, Data-Snooping Robust Analysis of Technical Trading in the Foreign Exchange Market

Number of pages: 61 Posted: 31 Oct 2014
Po-Hsuan Hsu and Mark P. Taylor
National Tsing Hua University - Department of Quantitative Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 376 (93,634)
Citation 140

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Data snooping, Foreign exchange, Technical analysis

Forty Years, Thirty Currencies and 21,000 Trading Rules: A Large-Scale, Data-Snooping Robust Analysis of Technical Trading in the Foreign Exchange Market

CEPR Discussion Paper No. DP10018
Number of pages: 63 Posted: 25 Sep 2014
Po-Hsuan Hsu and Mark P. Taylor
National Tsing Hua University - Department of Quantitative Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 1 (793,125)
Citation 2
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data-snooping bias, Foreign exchange, technical analysis, trading rules

7.

Modelling the Yield Curve

IMF Working Paper No. 91/134
Number of pages: 38 Posted: 15 Feb 2006
Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School
Downloads 294 (123,709)

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interest rates, term structure, expectations, risk, market segmentation

8.

Purchasing Power Parity Over Two Centuries: Strengthening the Case for Real Exchange Rate Stability Reply to Cuddington and Liang

Journal of International Money and Finance, October 2000
Number of pages: 6 Posted: 07 Nov 2004
James R. Lothian and Mark P. Taylor
Gabelli School of Business, Fordahm University and Washington University in St. Louis - John M. Olin Business School
Downloads 273 (133,760)
Citation 2

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Real exchange rates, purchasing power parity

9.

The Purchasing Power Parity Debate

Downloads 247 (147,958)
Citation 136

The Purchasing Power Parity Debate

NBER Working Paper No. w10607
Number of pages: 34 Posted: 09 Jul 2004 Last Revised: 27 Jun 2010
Alan M. Taylor and Mark P. Taylor
University of California, Davis - Department of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 198 (182,360)
Citation 4

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The Purchasing Power Parity Debate

Number of pages: 36 Posted: 07 Sep 2004
Alan M. Taylor and Mark P. Taylor
University of California, Davis - Department of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 49 (467,882)
Citation 12
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Purchasing power parity, exchange rates, real exchange rates, nonlinearity, long-run equilibrium

10.

Why is it so Difficult to Beat the Random Walk Rorecast of Exchange Rates?

Number of pages: 56 Posted: 27 Feb 2003
Lutz Kilian and Mark P. Taylor
Federal Reserve Banks - Federal Reserve Bank of Dallas and Washington University in St. Louis - John M. Olin Business School
Downloads 247 (147,958)

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Purchasing power parity; real exchange rate; random walk; economic models of exchange rate determination; long-horizon regression tests

11.

The Out-of-Sample Performance of Carry Trades

Downloads 229 (159,194)

The Out-of-Sample Performance of Carry Trades

Number of pages: 55 Posted: 26 Apr 2018 Last Revised: 20 Sep 2019
Po-Hsuan Hsu, Mark P. Taylor and Zigan Wang
National Tsing Hua University - Department of Quantitative Finance, Washington University in St. Louis - John M. Olin Business School and The University of Hong Kong - School of Economics and Finance
Downloads 228 (159,426)

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Foreign Exchange; Trading Rules; Carry Trade; Data-Snooping Bias

The Out-of-Sample Performance of Carry Trades

CEPR Discussion Paper No. DP15052
Number of pages: 56 Posted: 28 Jul 2020 Last Revised: 16 Aug 2020
Po-Hsuan Hsu, Mark P. Taylor and Zigan Wang
National Tsing Hua University - Department of Quantitative Finance, Washington University in St. Louis - John M. Olin Business School and The University of Hong Kong - School of Economics and Finance
Downloads 1 (793,125)
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carry trade, Data-snooping bias, foreign exchange

12.

Prospect Theory and Currency Returns: Empirical Evidence

Downloads 211 (172,016)

Prospect Theory and Currency Returns: Empirical Evidence

Number of pages: 70 Posted: 10 Jul 2020 Last Revised: 18 Sep 2020
Qi Xu, Roman Kozhan and Mark P. Taylor
Zhejiang University - School of Economics and Academy of Financial Research, University of Warwick - Warwick Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 209 (173,318)

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foreign exchange, currency returns, prospect theory, limits to arbitrage

Prospect Theory and Currency Returns: Empirical Evidence

CEPR Discussion Paper No. DP15306
Number of pages: 73 Posted: 22 Sep 2020
Roman Kozhan, Mark P. Taylor and Qi Xu
University of Warwick - Warwick Business School, Washington University in St. Louis - John M. Olin Business School and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 2 (778,998)
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currency returns, foreign exchange, Limits to Arbitrage, prospect theory

13.

Importance of Transaction Costs for Asset Allocations in FX Markets

Number of pages: 110 Posted: 24 Mar 2018 Last Revised: 20 Apr 2020
Thomas Andreas Maurer, Luca Pezzo and Mark P. Taylor
The University of Hong Kong, University of New Orleans and Washington University in St. Louis - John M. Olin Business School
Downloads 193 (186,761)
Citation 4

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Transaction Costs, Mean-Variance, Optimization, Asset Allocation, Foreign Exchange, Carry Trade

14.

Dissecting Volatility Risks in Currency Markets

Number of pages: 78 Posted: 05 Nov 2015
Ingmar Nolte, Mark P. Taylor and Qi Xu
Lancaster University - Department of Accounting and Finance, Washington University in St. Louis - John M. Olin Business School and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 176 (202,678)
Citation 3

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Foreign Exchange, Carry Trade, Momentum, Volatility, Jump-Diffusion,Short-Run Long-Run Volatility

15.

Intervention, Interest Rates, and Charts: Three Essays in International Finance

IMF Working Paper No. 91/106
Number of pages: 31 Posted: 15 Feb 2006
Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School
Downloads 175 (203,649)

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16.

Real Exchange Rates, Non-Linearities and Balassa-Samuelson Effects

Frank J. Petrilli Center for Research in International Finance Working Paper No. Lothian01
Number of pages: 33 Posted: 04 Nov 2004
James R. Lothian and Mark P. Taylor
Gabelli School of Business, Fordahm University and Washington University in St. Louis - John M. Olin Business School
Downloads 175 (203,649)

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Purchasing power parity, real exchange rate, nonlinear dynamics, Harrod-Balassa-Samuelson effect, productivity differentials

17.

The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond

Downloads 119 (277,559)
Citation 60

The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond

NBER Working Paper No. w8601
Number of pages: 39 Posted: 17 Nov 2001 Last Revised: 24 Oct 2010
Richard Clarida, Lucio Sarno, Mark P. Taylor and Giorgio Valente
Columbia University - Graduate School of Arts and Sciences - Department of Eco, University of Cambridge - Judge Business School, Washington University in St. Louis - John M. Olin Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 82 (357,581)
Citation 1

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The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond

Number of pages: 40 Posted: 23 Apr 2002
Richard Clarida, Lucio Sarno, Mark P. Taylor and Giorgio Valente
Columbia University - Graduate School of Arts and Sciences - Department of Eco, University of Cambridge - Judge Business School, Washington University in St. Louis - John M. Olin Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 37 (523,700)
Citation 4
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Foreign exchange, term structure, forecasting, non-linearity, Markov switching

18.

Long-Run Purchasing Power Parity and the Dollar-Sterling Exchange Rate in the 1920s

IMF Working Paper No. 90/118
Number of pages: 25 Posted: 15 Feb 2006
Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School
Downloads 117 (280,885)
Citation 1

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19.

International Liquidity Swaps: Is the Chiang Mai Initiative Efficiently Pooling Reserves?

International Journal of Finance and Economics, Vol. 13, No. 4, 2008
Number of pages: 24 Posted: 17 May 2006 Last Revised: 10 Apr 2011
Emanuel Kohlscheen and Mark P. Taylor
Bank for International Settlements (BIS) and Washington University in St. Louis - John M. Olin Business School
Downloads 112 (289,659)
Citation 1

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insurance, international reserves, liquidity, sovereign risk, swaps

20.

End-User Order Flow and Exchange Rate Dynamics

Deutsche Bundesbank Discussion Paper No. 05/2007
Number of pages: 28 Posted: 10 Jul 2008
Mark P. Taylor, Markus A. Schmidt and Stefan Reitz
Washington University in St. Louis - John M. Olin Business School, Deutsche Bundesbank and University of Giessen
Downloads 102 (308,945)

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foreign exchange, market microstructure, end-user order flow

21.

U.S. Populist Rhetoric and Currency Returns

Downloads 96 (321,282)

U.S. Populist Rhetoric and Currency Returns

WBS Finance Group Research Paper
Number of pages: 81 Posted: 19 Jun 2020 Last Revised: 08 Jan 2021
Ilias Filippou, Arie Eskenazi Gozluklu, My T. Nguyen and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School, University of Warwick, University of Warwick - Warwick Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 95 (325,892)

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Populism, Foreign Exchange market, Textual Analysis

U.S. Populist Rhetoric and Currency Returns

CEPR Discussion Paper No. DP15054
Number of pages: 87 Posted: 28 Jul 2020 Last Revised: 16 Aug 2020
Ilias Filippou, Arie Eskenazi Gozluklu, My T. Nguyen and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School, University of Warwick, University of Warwick - Warwick Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 1 (793,125)
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Foreign exchange market, populism, textual analysis

22.

Japanese and Federal Reserve Intervention in the Yen-US Dollar Market: A Coordination Channel of FX Operations?

Number of pages: 29 Posted: 10 Jul 2008
Mark P. Taylor and Stefan Reitz
Washington University in St. Louis - John M. Olin Business School and University of Giessen
Downloads 85 (346,740)

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foreign exchange intervention, coordination channel, market microstructure, nonlinear mean reversion

23.

The Coordination Channel of Foreign Exchange Intervention: The Australian Case

Number of pages: 27 Posted: 10 Jul 2008
Mark P. Taylor, Jan C. Ruelke and Stefan Reitz
Washington University in St. Louis - John M. Olin Business School, WHU - Otto Beisheim School of Management and University of Giessen
Downloads 83 (351,645)

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foreign exchange intervention, coordination channel, market microstructure, nonlinear mean reversion

24.

Purchasing Power Parity and the Real Exchange Rate

Number of pages: 40 Posted: 22 Aug 2001
Mark P. Taylor and Lucio Sarno
Washington University in St. Louis - John M. Olin Business School and University of Cambridge - Judge Business School
Downloads 80 (359,346)
Citation 2
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Foreign exchange, purchasing power parity, real exchange rate

25.

International Capital Crunches: The Time-Varying Role of Informational Asymmetries

Downloads 64 (406,165)
Citation 8

International Capital Crunches: The Time-Varying Role of Informational Asymmetries

IMF Working Paper No. 02/43
Number of pages: 26 Posted: 30 Jan 2006
Ashoka Mody and Mark P. Taylor
International Monetary Fund (IMF) - Research Department and Washington University in St. Louis - John M. Olin Business School
Downloads 47 (476,460)

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Capital flows, disequilibrium, rationing, asymmetric information

International Capital Crunches: The Time-Varying Role of Informational Asymmetries

Number of pages: 27 Posted: 14 Mar 2003
Ashoka Mody and Mark P. Taylor
International Monetary Fund (IMF) - Research Department and Washington University in St. Louis - John M. Olin Business School
Downloads 17 (653,540)
Citation 3
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Capital flows, disequilibrium, rationing, asymmetric information

26.

Foreign Exchange News and Currency Reversals

Number of pages: 64 Posted: 19 Jun 2020
Ilias Filippou, Mark P. Taylor and Zigan Wang
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis - John M. Olin Business School and The University of Hong Kong - School of Economics and Finance
Downloads 60 (419,485)

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FX News, Currency Risk Premium, Currency Reversals

27.

Official Intervention in the Foreign Exchange Market: Is it Effective, and, If so, How Does it Work?

Number of pages: 43 Posted: 28 Feb 2001
Mark P. Taylor and Lucio Sarno
Washington University in St. Louis - John M. Olin Business School and University of Cambridge - Judge Business School
Downloads 55 (437,174)
Citation 22
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Non-Linear Dynamics, Purchasing Power Parity, Real Exchange Rate, Test Power, Unit Root Test

28.

The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates: Correcting the Errors

NBER Working Paper No. w4442
Number of pages: 35 Posted: 26 Apr 2001 Last Revised: 21 Feb 2021
Richard Clarida and Mark P. Taylor
Columbia University - Graduate School of Arts and Sciences - Department of Eco and Washington University in St. Louis - John M. Olin Business School
Downloads 47 (467,888)

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29.

European Policy Convergence and the EMS

IMF Working Paper No. 90/104
Number of pages: 18 Posted: 15 Feb 2006
Ronald MacDonald and Mark P. Taylor
University of Strathclyde in Glasgow - Department of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 44 (480,550)

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30.

The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates

Number of pages: 45 Posted: 26 Apr 2005
Richard Clarida, Lucio Sarno, Mark P. Taylor and Giorgio Valente
Columbia University - Graduate School of Arts and Sciences - Department of Eco, University of Cambridge - Judge Business School, Washington University in St. Louis - John M. Olin Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 42 (489,295)
Citation 1
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Term structure of interest rates, markov switching, forecasting

31.

Unexpected Currency Volatility and Global Technological Innovation Activities

Number of pages: 78 Posted: 22 Apr 2020
Po-Hsuan Hsu, Mark P. Taylor, Zigan Wang and Qi Xu
National Tsing Hua University - Department of Quantitative Finance, Washington University in St. Louis - John M. Olin Business School, The University of Hong Kong - School of Economics and Finance and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 41 (493,756)

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Foreign Exchange Volatility, Technological Innovation, Patents, R&D

32.

Is Official Exchange Rate Intervention Effective?

Downloads 39 (502,880)
Citation 27

Is Official Exchange Rate Intervention Effective?

Number of pages: 16 Posted: 10 Apr 2003
Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School
Downloads 20 (631,046)
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Real exchange rate, official intervention, non-linearity, mean reversion

Is Official Exchange Rate Intervention Effective?

Number of pages: 11 Posted: 26 Mar 2004
Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School
Downloads 19 (638,479)
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33.

Forward-Looking Policy Rules and Currency Premia

Downloads 36 (516,883)

Forward-Looking Policy Rules and Currency Premia

Number of pages: 77 Posted: 01 Jul 2019
Ilias Filippou and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 36 (528,837)

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Foreign exchange; currency risk premium; Taylor rules; data snooping bias

Forward-Looking Policy Rules and Currency Premia

CEPR Discussion Paper No. DP13835
Number of pages: 66 Posted: 30 Jul 2019
Ilias Filippou and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
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currency risk premium, data snooping bias, foreign exchange, Taylor rules

34.

Purchasing Power Parity

Number of pages: 17 Posted: 28 Sep 2003
Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School
Downloads 35 (521,832)
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35.

Option or Obligation? The Determinants of Labour Supply Preferences in Britain

Number of pages: 19 Posted: 20 Sep 2003
René Böheim and Mark P. Taylor
Johannes Kepler University and Washington University in St. Louis - John M. Olin Business School
Downloads 35 (521,832)
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36.

End-User Order Flow and Exchange Rate Dynamics

Bundesbank Series 1 Discussion Paper No. 2007,05
Number of pages: 44 Posted: 08 Jun 2016
Stefan Reitz, Markus A. Schmidt and Mark P. Taylor
German Federal Bank - Economics Department, Deutsche Bundesbank and Washington University in St. Louis - John M. Olin Business School
Downloads 32 (537,363)

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Foreign exchange, market microstructure, end-user order flow

37.

Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study

Number of pages: 41 Posted: 21 Jun 2002
Lucio Sarno, Mark P. Taylor and Ibrahim Chowdhury
University of Cambridge - Judge Business School, Washington University in St. Louis - John M. Olin Business School and University of Oxford
Downloads 27 (565,224)
Citation 3
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Law of one price, purchasing power parity, real exchange rate, threshold non-linearity, mean reversion

38.

Official Foreign Exchange Intervention as a Coordinating Signal in the Dollar-Yen Market

Number of pages: 10 Posted: 14 Mar 2005
Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School
Downloads 26 (571,519)
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39.

Financial Intermediation and the Role of Price Discrimination in a Two-Tier Market

Bundesbank Series 1 Discussion Paper No. 2009,13
Number of pages: 36 Posted: 08 Jun 2016
Stefan Reitz, Markus A. Schmidt and Mark P. Taylor
German Federal Bank - Economics Department, Deutsche Bundesbank and Washington University in St. Louis - John M. Olin Business School
Downloads 25 (577,858)

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foreign exchange, market microstructure, pricing behavior

40.

A Cross-Country Financial Accelerator: Evidence from North America and Europe

CEPR Discussion Paper No. 5037
Number of pages: 29 Posted: 13 Sep 2005
Ashoka Mody, Lucio Sarno and Mark P. Taylor
International Monetary Fund (IMF) - Research Department, University of Cambridge - Judge Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 25 (577,858)
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Financial accelerator, credit cycle, international business cycles, Kalman filter

41.

Common Vulnerabilities

Number of pages: 35 Posted: 18 Mar 2003
Ashoka Mody and Mark P. Taylor
International Monetary Fund (IMF) - Research Department and Washington University in St. Louis - John M. Olin Business School
Downloads 23 (590,737)
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Currency crisis, vulnerability, contagion, dynamic factor analysis

42.

Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates?

Number of pages: 42 Posted: 13 Nov 2001
Lutz Kilian and Mark P. Taylor
Federal Reserve Banks - Federal Reserve Bank of Dallas and Washington University in St. Louis - John M. Olin Business School
Downloads 23 (590,737)
Citation 12
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Purchasing power parity, real exchange rate, random walk, economic models of exchange rate determination, long-horizon regression tests

43.

On the Nonlinear Influence of Reserve Bank of Australia Interventions on Exchange Rates

Bundesbank Series 1 Discussion Paper No. 2010,08
Number of pages: 48 Posted: 08 Jun 2016
Jan C. Ruelke and Mark P. Taylor
WHU - Otto Beisheim School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 20 (610,640)

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Foreign exchange intervention, market microstructure, smooth transition, nonlinear mean reversion

44.

Non-Linear Equilibrium Correction in Us Real Money Balances, 1869-1997

Number of pages: 31 Posted: 09 Apr 2002
David A. Peel, Lucio Sarno and Mark P. Taylor
Lancaster University - Management School, University of Cambridge - Judge Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 19 (617,362)
Citation 4
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Demand for money, adjustment costs, equilibrium correction, non-linear dynamics

45.

Are There Thresholds of Current Account Adjustment in the G7?

NBER Working Paper No. w12193
Number of pages: 60 Posted: 26 Oct 2012
Richard Clarida, Manuela Goretti and Mark P. Taylor
Columbia University - Graduate School of Arts and Sciences - Department of Eco, International Monetary Fund (IMF) and Washington University in St. Louis - John M. Olin Business School
Downloads 14 (652,237)
Citation 1

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46.

The Coordination Channel of Foreign Exchange Intervention: A Nonlinear Microstructural Analysis

Bundesbank Series 1 Discussion Paper No. 2006,08
Number of pages: 52 Posted: 08 Jun 2016
Stefan Reitz and Mark P. Taylor
German Federal Bank - Economics Department and Washington University in St. Louis - John M. Olin Business School
Downloads 9 (689,052)
Citation 3

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foreign exchange intervention, coordination channel, market microstructure, nonlinear mean reversion

47.

Exchange Rate Prediction with Machine Learning and a Smart Carry Trade Portfolio

CEPR Discussion Paper No. DP15305
Number of pages: 117 Posted: 22 Sep 2020
Ilias Filippou, David Rapach, Mark P. Taylor and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 7 (703,819)
Citation 1
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carry trade, deep neural network, Elastic Net, exchange rate predictability

48.

Common Macro Factors and Currency Premia

CEPR Discussion Paper No. DP10016
Number of pages: 78 Posted: 25 Sep 2014
Ilias Filippou and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 1 (757,682)
Citation 3
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Carry Trade, Factor Analysis, Foreign Exchange, Forward Premium Puzzle, Momentum

49.

The Real Effects of Exchange Rate Risk on Corporate Investment: International Evidence

CEPR Discussion Paper No. DP15053
Number of pages: 68 Posted: 28 Jul 2020 Last Revised: 16 Aug 2020
Mark P. Taylor, Zigan Wang and Qi Xu
Washington University in St. Louis - John M. Olin Business School, The University of Hong Kong - School of Economics and Finance and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 0 (775,736)
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corporate investment, Exchange rate, uncertainty

50.

Modelling Portfolio Capital Flows in a Global Framework: Multilateral Implications of Capital Controls

CEPR Discussion Paper No. DP11689
Number of pages: 32 Posted: 12 Dec 2016
Gianna Boero, Zeyyad Mandalinci and Mark P. Taylor
University of Warwick - Department of Economics, Queen Mary University of London and Washington University in St. Louis - John M. Olin Business School
Downloads 0 (775,736)
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capital controls, emerging markets, Global VAR (GVAR), Portfolio Capital Flows

51.

Private Consumption Behaviour, Liquidity Constraints and Financial Deregulation in France: A Nonlinear Analysis

Posted: 11 Sep 2000
Eric Girardin, Lucio Sarno and Mark P. Taylor
University Aix-Marseille 2 - GREQAM, University of Cambridge - Judge Business School and Washington University in St. Louis - John M. Olin Business School

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consumption, credit, liquidity constraints, Euler equation, financial liberalization, nonlinearity

52.

Estimating Growth Equations for Previously Centrally Planned Economies: Dealing with Dubious Data and Disparate Information

Posted: 20 May 1999
Edward E. Leamer and Mark P. Taylor
University of California at Los Angeles and Washington University in St. Louis - John M. Olin Business School

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53.

Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries

JOURNAL OF POLITICAL ECONOMY, Vol. 104, No. 3, June 1996
Posted: 28 Jun 1998
James R. Lothian and Mark P. Taylor
Gabelli School of Business, Fordahm University and Washington University in St. Louis - John M. Olin Business School

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54.

The Term Structure of Forward Exchange Premiums and the Forecastability of Spot Exchange Rates: Correcting the Errors

Review of Economics and Statistics, Vol. 79, No. 3, August 1997
Posted: 30 Mar 1998
Richard Clarida and Mark P. Taylor
Columbia University - Graduate School of Arts and Sciences - Department of Eco and Washington University in St. Louis - John M. Olin Business School

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