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The Illusion of Precision and the Role of the Renminbi in Regional Integration, with Menzie D. Chinn and Eiji Fujii, forthcoming in Monetary and Financial Integration in East Asia: Dreams and Dilemmas, edited by Koichi Hamada, Beate Reszat, and Ulrich Volz.
Purchasing Power Parity, forthcoming in the Princeton Encyclopedia of the World Economy.Exchange Rate Forecasting, forthcoming in the Princeton Encyclopedia of the World Economy.
The Overvaluation of Renminbi Undervaluation, with Menzie D. Chinn and Eiji Fujii, forthcoming in the Journal of International Money and Finance.
Nominal Exchange Rate Flexibility and Real Exchange Rate Adjustment: Evidence from Dual Exchange Rates in Developing Countries, with Kon S. Lai, forthcoming in the Japan and the World Economy.
Does the Chinese Interest Rate Follow the US Interest Rate?, with Dickson Tam and Matthew S. Yiu, forthcoming in the International Journal of Finance and Economics.
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2007: East Asian Equity Markets, Financial Crises, and the Japanese Currency, with Y. L. Cheung and K. C. Ng, Journal of the Japanese
and International Economies 21, 138-152.PDF
An Empirical Model of Daily Highs and Lows, International Journal of Finance and Economics 12, 1-20. (Leading article of the 2007 issue.)PDF2006: Cross-Country Relative Price Volatility: Effects of Market Structure, with Eiji Fujii, Review of International Economics 15, 836-48.PDF
The Chinese Economies in Global Context: The Integration Process and Its Determinants, with Menzie D. Chinn and Eiji Fujii, Journal of the Japanese and International Economies 20, 128-153.PDF
A Reappraisal of the Excess Volatility of Cross-Border relative Prices, with Kon S. Lai, International Economic Journal 20, 495-513.PDF2005: The Suitability of a Greater China Currency Union, with Jude Yuen, Pacific Economic Review 10, 83-103.PDF
Recent Advances in International Finance: Introduction, Pacific Economic Review 10, 1-3.PDFAn Output Perspective on a Northeast Asia Currency Union, with Jude Yuen, in Paul De Grauwe and Jacques Mélitz eds., "Prospects for Monetary Unions after the Euro," Chapter 11, 289-317, The MIT Press.PDF
An Analysis of Hong Kong Export Performance, Pacific Economic Review 10, 323-340.PDF
Exchange Rate Dynamics: Where is the Saddle Path?, with Javier Gardeazabal and Jesús Vázquez, in Yum K. Kwan and Eden S.H. Yu ed. (a volume in honor of Professor Gregory Chow), "Critical Issues in China's Growth and Development," chapter 9, p. 201-16, Ashgate Publishing Company.PDF
What Do We Know about Recent Exchange Rate Models? In-Sample Fit and Out-of-Sample Performance Evaluated, with Menzie D. Chinn and Antonio Garcia Pascual, in Paul De Grauwe ed., "Exchange Rate Economics: What Do we Stand?" Chapter 8, 239-276, The MIT Press.PDF
Exchange Rates and Markov Switching Dynamics, with Ulf G. Erlandsson, Journal of Business and Economic Statistics 23, 314-320.PDF
Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive? with Menzie D. Chinn and Antonio Garcia Pascual, Journal of International Money and Finance 24, 1150-1175.PDF
Dimensions of Financial Integration in Greater China: Money Markets, Banks and Policy Effects, with Menzie D. Chinn and Eiji Fujii, International Journal of Finance and Economics 10, 117-132.PDF
2004: Real Exchange Rate Dynamics: An Alternative Approach, with Ulf G. Erlandsson, in Sandrine Lardic and Valérie Mignon eds.,
"Recent Developments on Exchange Rates," Chapter 3, 45-57, Palgrave MacMillan.PDF
Testing for Output Convergence: A Re-Examination, with Antonio Garcia Pascual, Oxford Economic Papers 56, 45-63.PDF
Dissecting the PPP puzzle: The unconventional roles of nominal exchange rate and price adjustments, with Kon S. Lai and Mike Bergman, Journal of International Economics 64, 135-150.PDF
Market Structure, Technology Spillovers, and the Persistence of Productivity Differences, with Antonio Garcia Pascual, International Journal of Applied Economics 1, 1-23. (Leading article of the inauguration issue)PDF
How Do UK Foreign Exchange Dealers Think their Market Operates, with Menzie Chinn and Ian Marsh, International Journal of Finance and Economics 9, 289-306.PDF
2003: Sectoral Trends and Cycles in Germany, with Frank Westermann, Empirical Economics 28, 141-156.PDF
China, Hong Kong, and Taiwan: A Quantitative Assessment of Real and Financial Integration, with Menzie D. Chinn and Eiji Fujii, China Economic Review 14, 281-303.PDF
A Price-Based Assessment of Economic Integration: The Implications for Monetary Arrangements in East Asia, with Menzie D. Chinn and Eiji Fujii, in Choong Yong Ahn, Takatoshi Ito, Masahiro Kawai, and Yung Chul Park eds., "Financial Development and Integration in East Asia," chapter 6, 174-205, KIEP.PDF
2002: Hong Kong Output Dynamics: An Empirical Analysis, Pacific Economic Review 7, 465-487.PDF
Output Dynamics of the G7 Countries: Stochastic Trends and Cyclical Movements, with Frank Westermann, Applied Economics 34, 2239-2247.PDF
Effects of U.S. inflation on Hong Kong and Singapore, with Jude Yuen, Journal of Comparative Economics 30, 603-619.PDF
2001:Currency Traders and Exchange Rate Dynamics: A Survey of the U.S. Market, with Menzie Chinn, Journal of International Money and Finance 20, 439-471.PDF
Long Memory and Nonlinear Mean Reversion in Japanese Yen-Based Real Exchange Rates, with Kon S. Lai, Journal of International Money and Finance 20, 115-132.PDF
Equity Price Dynamics Before and After the Introduction of the Euro: A Note, with Frank Westermann, Multinational Finance Journal 5, 113-128.PDF
Market Structure and the Persistence of Sectoral Real Exchange Rates, with Menzie Chinn and Eiji Fujii, International Journal of Finance & Economics 6, 95-114.PDF
Business Cycles in Switzerland: An Empirical Analysis of the German and the U.S. Effects, with Frank Westermann, pp. 219-230, in EMU,Financial Markets and the World Economy, Thomas Moser and Bern Schips (Eds), Kluwer Academic Publishers, Boston.PDF
A Note on the Power of Money-Output Causality Tests, with Eiji Fujii, Oxford Bulletin of Economics and Statistics 63, 247-261.PDF2000:Does Austria Respond to the German or the U.S. Business Cycle? with Frank Westermann, International Journal of Finance & Economics 5, 33-42.PDF
Which Measure of Aggregate Output Should We Use?, with Eiji Fujii, Journal of Macroeconomics 22, 253-269.PDF
On the Purchasing Power Parity Puzzle, with Kon S. Lai, Journal of International Economics 52, 321-330.PDF
A Survey of Market Practitioners' Views on Exchange Rate Dynamics, with Clement Yuk-Pang Wong, Journal of International Economics 51, 401-419.PDF
On Cross-Country Differences in the Persistence of Real Exchange Rates, with Kon S. Lai, Journal of International Economics 50, 375-397. Reprinted in "New Developments in Exchange Rate Economics," 2002, edited by Lucio Sarno and Mark P. Taylor, in the International Library of Critical Writings in Economics Series #148, Edward Elgar Publishing Ltd.PDF
The Overreacting Behavior of the Real Exchange Rate Dynamics, with Kon S. Lai, in W.S. Chan, W.K. Li, and H. Tong eds., "Statistics and Finance: An Interface", p. 303-318.PDF
Special Issue on Asset Price Dynamics and Risk Management, Multinational Finance Journal 4, 155-157.PDF
1999:Macroeconomic Determinants of Long-Term Stock Market Comovements Among Major EMS Countries, with Kon S. Lai, Applied Financial Economics 9, 73-85.PDF (Citation of Excellence Award, offered by the ANBAR Electronic Intelligence, WWW.anbar.co.uk/awards/citations)
Foreign Exchange Traders in Hong Kong, Japan, and Singapore: A Survey Study, with Clement Yuk-Pang Wong, in Theodore Bos and Thomas A Fetherston eds., Advances in Pacific Basin Financial Markets, Volume V, 111-134.PDF
An Analysis of German Effects on the Austrian Business Cycle, with Frank Westermann, Weltwirtschaftliches Archiv 135, 522-531.PDF
1998:Economic Growth and Stationarity of Real Exchange Rates: Evidence from Some Fast-Growing Asian Countries, with Kon S. Lai, Pacific-Basin Finance Journal 6,
61-76.PDF
Parity Revision in Real Exchange Rates During the Post-Bretton Woods Period, with Kon S. Lai, The Journal of International Money and Finance 17, 597-614.PDF
Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models, with Menzie Chinn, Journal of International Money and Finance 17, 813-830.PDF
International Evidence on the Stock Market and Aggregate Economic Activity, with Lilian Ng, Journal of Empirical Finance 5, 281-296.PDF
A Comparison of Learning and Replicator Dynamics Using Experimental Data, with Daniel Friedman, Journal of Economic Behavior and Organization 35, 263-280.PDF
Power of the Augmented Dickey-Fuller Test with Information-Based Lag Selection, with Kon S. Lai, Journal of Statistical Computation and Simulation 60, 57-65.PDF
The Hong Kong Foreign Exchange Market, HKCER Letters 50, 1-2.PDF1997:Common Predictable Components in Regional Stock Markets, with Jia He and Lilian Ng, Journal of Business & Economic Statistics 15, 35-42.PDF
Further Investigation of the Uncertain Unit Root in GNP, with Menzie Chinn, Journal of Business & Economic Statistics 15, 68-75.PDF
Individual Learning in Normal Form Games: Some Laboratory Results, with Daniel Friedman, Games and Economic Behavior 19, 46-76.PDF
Bandwidth Selection, Prewhitening, and Power of the Phillips-Perron Test, with Kon S. Lai, Econometric Theory 13, 679-691.PDF
What Are the Global Sources of Rational Variation in International Equity Returns?, with Jia He and Lilian Ng, Journal of International Money and Finance 16, 821-836.PDF
Information Flows Between Eurodollar Spot and Futures Markets, with Hung-Gay Fung, Multinational Finance Journal 1, 255-271.PDF
The Performance of Trading Rules on Four Asian Currency Exchange Rates, with Clement Yuk-Pang Wong, Multinational Finance Journal 1, 1-22. (Leading article of the inauguration issue)PDF1996:Deterministic, Stochastic, and Segmented Trends in Aggregate Output: A Cross-Country Analysis, with Menzie D. Chinn, Oxford Economic Papers 48, 134-162.PDF
A Causality-in-Variance Test and Its Application to Financial Market Prices, with Lilian Ng, Journal of Econometrics 72, 33-48.PDF
Stock Market Volatility and Fractional Integration, International Journal of Finance & Economics 1, 263-273.PDF1995:Lag Order and Critical Values of the Augmented Dickey-Fuller Test, with Kon S. Lai, Journal of Business & Economic Statistics 13, 277-280.PDF
Estimating Finite Sample Critical Values for Unit Root Tests Using Pure Random Walk Processes: A Note, with Kon S. Lai, Journal of Time Series Analysis 16, 493-498.PDF
Purchasing Power Parity Under the European Monetary System, with Hung-Gay Fung, Kon S. Lai and Wai-Chung Lo, Journal of International Money and Finance 14, 179-189.PDF
Search for Long Memory in International Stock Market Returns, with Kon S. Lai, Journal of International Money and Finance 14, 597-615.PDF
Lag Order and Critical Values of A Modified Dickey-Fuller Test, with Kon S. Lai, Oxford Bulletin of Economics and Statistics 57, 411-419.PDF
How Sensitive are Trends to Data Definition? Results for East Asian and G-5 countries, with Menzie Chinn and Tuan Tran, Applied Economics Letters 2, 1-6.PDF
Equity Price Variation in Pacific Basin Countries, with Lilian Ng, in Theodore Bos and Thomas A. Fetherston eds., Advances in Pacific Basin Financial Markets, Volume I, p. 211-227. Also abstracted in the Proceedings of the First Annual Conference on Global Financial Issues, p. 66.PDF
1994:Pacific Basin Stock Markets and Real Activity, with Jia He and Lilian Ng, Pacific-Basin Finance Journal 2, 349-373. Also abstracted in The CFA Digest, 1994 Fall, 11-13.PDF
On Maximum-Likelihood Estimation of the Differencing Parameter of Fractionally-Integrated Noise With Unknown Mean, with Francis X. Diebold, Journal of Econometrics 62, 301-316.PDF
Aggregate Output Dynamics in the 20th Century, Economics Letters 45, 15-22.PDF
Mean Reversion in Real Exchange Rates, with Kon S. Lai, Economics Letters 46, 251-256.PDF1993:Long Memory in Foreign Exchange Rates, Journal of Business & Economic Statistics 11, 93-102.PDF
A Fractional Cointegration Analysis of Purchasing Power Parity, with Kon S. Lai, Journal of Business & Economic Statistics 11, 103-112.PDF
Exchange Rate Risk Premiums, Journal of International Money and Finance 12, 182-194.PDF
Tests for Fractional Integration: A Monte Carlo Investigation, Journal of Time Series Analysis 14, 331-345.PDF
Long-Run Purchasing Power Parity During the Recent Float, with Kon S. Lai, Journal of International Economics 34, 181-192.PDF
Are There Long Cycles in Foreign Stock Returns?, with Kon S. Lai and Michael Lai, Journal of International Financial Markets, Institutions & Money 3, 33-47.PDF
Do Gold Market Returns Have Long Memory?, with Kon S. Lai, Financial Review 28, 181-202.PDF
Finite-Sample Sizes of Johansen's Likelihood Ratio Tests for Cointegration, with Kon S. Lai, Oxford Bulletin of Economics and Statistics 55, 313-328.PDF
The Predictable Variation of International Equity Returns and Global Real Activity, with Jia He and Lilian Ng, Proceedings of the 20th Annual European Finance Association Meeting.PDF1992:International Evidence on Output Persistence From Postwar Data, with Kon S. Lai, Economics Letters 38, 435-441.PDF
Stock Price Dynamics and Firm Size: An Empirical Investigation, with Lilian Ng, Journal of Finance XLVII, 1985-1997. Also abstracted in The CFA Digest, 1993 Spring, 21-22.PDF
Interactions Between the U.S. and Japan Stock Market Indices, with Lilian Ng, Journal of International Financial Markets, Institutions & Money 2, 51-70.PDF1990:The Dynamics of S&P 500 Index and S&P 500 Futures Intraday Price Volatilities, with Lilian Ng, Review of Futures Markets 9, 458-486.PDF
