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Author:Engel, Charles 

Conference Paper
Why money announcements move interest rates: an answer from the foreign exchange market

Proceedings , Issue 6 , Pages 1-36

Working Paper
Relative price volatility: what role does the border play?

We reexamine the effect of the U.S.-Canadian border on integration of markets. The paper updates work from our earlier paper, Engel and Rogers (1996). We consider alternative measures of deviations from the law of one price. We pay special attention to the effect of the U.S.-Canada free trade agreement on market integration. Our conclusions are unchanged: markets in the U.S. and Canada are more segmented than can be explained by the physical distance between the two locations. Formal trade barriers do not appear to explain much of that segmentation.
International Finance Discussion Papers , Paper 623

Working Paper
Why is the forward exchange rate forecast biased? A survey of recent evidence

Forward exchange rate unbiasedness is rejected in tests from the current floating exchange rate era. This paper surveys advances in this area since the publication of Hodrick's (1987) survey. It documents that the change in the future exchange rate is generally negatively related to the forward premium. Properties of the expected forward forecast error are reviewed. Issues such as the relation of uncovered interest parity to real interest parity, and the implications of uncovered interest parity for cointegration of various quantities are discussed. The modeling and testing for risk premiums ...
Research Working Paper , Paper 95-06

Working Paper
International trade in durable goods: understanding volatility, cyclicality, and elastics

Data for OECD countries document: 1. imports and exports are about three times as volatile as GDP; 2. imports and exports are pro-cyclical, and positively correlated with each other; 3. net exports are counter-cyclical. Standard models fail to replicate the behavior of imports and exports, though they can match net exports relatively well. Inspired by the fact that a large fraction of international trade is in durable goods, we propose a two-country two-sector model, in which durable goods are traded across countries.> ; Our model can match the business cycle statistics on the volatility and ...
Globalization Institute Working Papers , Paper 03

Working Paper
Tests of mean-variance efficiency of international equity markets

Research Working Paper , Paper 90-05

Report
A test of international CAPM

Research Paper , Paper 8822

Working Paper
The U.S. current account deficit and the expected share of world output

We investigate the possibility that the large current account deficits of the U.S. are the outcome of optimizing behavior. We develop a simple long-run world equilibrium model in which the current account is determined by the expected discounted present value of its future share of world GDP relative to its current share of world GDP. The model suggests that under some reasonable assumptions about future U.S. GDP growth relative to the rest of the advanced countries--more modest than the growth over the past 20 years--the current account deficit is near optimal levels. We then explore the ...
Working Paper Series , Paper 2006-38

Conference Paper
Relative returns on equities in Pacific Basin countries

Proceedings , Issue Sep

Journal Article
Exchange rate regimes and volatility

Economic Review , Volume 78 , Issue Q III , Pages 43-58

Journal Article
Challenges to stock market efficiency: evidence from mean reversion studies

Economic Review , Volume 76 , Issue Sep , Pages 21-35

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