Yin-Wong Cheung Working Papers

YIN-WONG CHEUNG

Working Papers

UNPUBLISHED RESEARCH PAPERS
2007: with Hiro Ito
          with Clement Yuk-Pang Wong
          with Eiji Fujii
          with Menzie D. Chinn and Eiji Fujii
2006: Return, Trading Volume, and Market Depth in Currency Futures Markets, with Ai-Ru Cheng
Hoarding of International Reserves: Mrs Machlup's Wardrobe and the Joneses, with Xingwang Qian.
2005: A High-Low Model for Forecasting Daily Stock Price Ranges, with Stephen Yan-Leung Cheung and Alan Wan.
Speculative Attacks: A Laboratory Study in Continuous Time, with Daniel Friedman
A Multiple-Horizon Study of the Contributing Role of Trade and Financial Factors in Bilateral
Real Exchange Rate Volatility, with Kon S. Lai.
The End of Chinese Exceptionalism? Why the Yuan Might be Overvalued (But Probably Isn't),with Menzie D. Chinn and Eiji Fujii.
2004:  China's Economic Integration with Pacific Rim Economies, with Menzie Chinn and Eiji Fuji.
2002: The Common-Trend and Transitory Dynamics in Real Exchange Rate Fluctuations, with Kon S. Lai and Mike Bergman.
2001: An Exploratory Analysis of State and Provincial Border Effects, with Kon S. Lai.
2000: Productivity Shocks, Monetary Shocks, and the Short- and Long-Run Dynamics of Exchange Rates and Relative Prices, with Michael Bergman and Kon S. Lai.
1995: Are Macroeconomic Forecasts Informative? Cointegration Evidence from the ASA-NBER Surveys, with Menzie Chinn.PDF
1994: Should Nordic EFTA Join a European Monetary Union? An Empirical Analysis, with Michael M. Hutchison.
Finite-Sample Critical Values of the KPSS Test: A Response Surface Approach, with Kon S. Lai and Tuan Tran.PDF
1993: International Evidence on Market Rationality, with Jia He and Lilian Ng.
1992: Output Dynamics and Exchange Rate Regimes: Evidence from Small European Countries, with Michael Hutchison.
1991: International Evidence on Output Persistence and Comovements, with Kon S. Lai.PDF
1990: Random Coefficient Modeling of Exchange Rate Dynamics, with Peter Pauly, revised.PDF
1988: Speculation, Passive Learning, and Exchange Rate Behavior, with Peter Pauly. A Multivariate ARCH Model of Foreign Exchange Rate Determination, with
          Marc Nerlove, Francis Diebold and Hans van Beeck.


A: UCSC Working Paper Series

2005:  Speculative Attacks: A Laboratory Study in Continuous Time, with Daniel Friedman.
2003:  The Chinese Economies in Global Context: The Integration Process and Its Determinants, with Menzie D. Chinn, and  Eiji Fujii.PDF
Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive? with Menzie D. Chinn, and Antonio Garcia Pascual.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.PDF
An Analysis of Hong Kong Export Performance.PDF
China, Hong Kong, and Taiwan: A Quantitative Assessment of Real and Financial Integration, with Menzie D. Chinn and Eiji Fujii.PDF
2002:  Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive? with Menzie D. Chinn, and Antonio Garcia Pascual.PDF
2001:  Sectoral Trends and Cycles in Germany, with Frank Westermann.PDF
Hong Kong Output Dynamics: An Empirical Analysis.PDF
A Note on the Power of Money-Output Causality Tests, with Eiji Fujii.
2000:  Currency Traders and Exchange Rate Dynamics: A Survey of the U.S. Market, with Menzie Chinn.PDF
Equity Price Dynamics Before and After the Introduction of the Euro: A Note, with Frank Westermann.PDF
A Note on the Power of Money-Output Causality Tests, with Eiji Fujii.
1999:  Foreign Exchange Traders in Hong Kong, Japan, and Singapore: A Survey Study, with Clement Yuk-Pang Wong.
A Survey of Market Practitioners' Views on Exchange Rate Dynamics, with Clement Yuk Pang Wong.
Information Flows Between the Eurodollar Spot and Futures Markets, with Hung-Gay Fung.
Marcoeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders, with Menzie Chinn.
Traders, Market Microstructure and Exchange Rate Dynamics, with Menzie Chinn.
Which Measure of Aggregate Output Should We Use?, with Eiji Fujii.PDF
Market Structure and the Persistence of Sectoral Real Exchange Rates,with Menzie Chinn and Eiji Fujii.PDF
An Analysis of German Effects on the Austrian Business Cycles, with Frank WestermannPDF
A Note on the Power of Money-Output Causality Tests, with Eiji Fujii.
1998:  Are Macroeconomic Forecasts Informative?  Cointegration Evidence from the ASA-NBER Surveys, with Menzie Chinn.PDF
Economic Growth and Stationarity of Real Exchange Rates: Evidence from Some Fast Growing Asian Countries, with Kon S. Lai.
Macroeconomics Determinants of Long-Term Stock Market Comovements Among Major EMS Counties, with Kon S. Lai.PDF
Parity Reversion in Real Exchange Rates During the Post-Bretton Woods Period, with Kon S. Lai.PDF
1997:  On Cross-Country Differences in the Persistence of Real Exchange Rates, with Kon S. Lai.PDF
The Performance of Trading Rules on Four Asian Currency Exchange Rates, with Clement Yuk-Pang Wong.PDF
Foreign Exchange Markets in Hong Kong, Japan, and Singapore, with Clement Yuk-Pang Wong.
Where Are the Global Sources of Rational Variation in International Equity Returns?, with Jia He and Lilian Ng.
1996:  A Comparison of Learning and Replicator Dynamics Using Experimental Data, With Daniel Friedman.
Parity Revision in Real Exchange Rates During the Post-Bretton Woods Period, with Kon S. Lai.PDF
Are Macroeconomic Forecasts Informative? Cointegration Evidence from the ASA-NBER Surveys, with Menzie Chinn.PDF
International Evidence on the Stock Market and Aggregate Economic Activity, with Lilian Ng.
1995: Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models, with Menzie Chinn.PDF
Bandwidth Selection, Prewhitening, and Power of the Phillips-Perron Test, with Kon S. Lai.PDF
Stock Market Volatility and Fractional Integration.PDF
Where Are the Global Sources of Rational Variation in International Equity Returns?, with Jia He and Lilian Ng.
Common Predictable Components in Regional Stock Markets, with Jia He and Lilian Ng.
Further Investigation of the Uncertain Unit Root in GNP, with Menzie Chinn.PDF
1994:  Deterministic, Stochastic, and Segmented Trends in Aggregate Output: A Cross-Country Analysis, with Menzie D. Chinn. (revision of 266)
Equity Price Variation in Pacific Basin Countries, with Lilian Ng.
Should Nordic EFTA Join a European Monetary Union? An Empirical Analysis, with Michael Hutchison.PDF
How Sensitive are Trends to Data Definition? Results for East Asian and G-5 countries, with Menzie Chinn and Tuan Tran.PDF
Further Investigation of the Uncertain Unit Root in GNP, with Menzie Chinn.PDF
Purchasing Power Parity Under the European Monetary System, with Hung-Gay Fung, Kon S. Lai and Wai-Chung Lo.PDF
A Search for Long Memory in International Stock Market Returns, with Kon S. Lai.PDF
A Causality-in-Variance Test and Its Applications to Financial Market Prices, with Lilian K. Ng.
Lag Order and Critical Values of Unit Root Tests: Two Essays, with Kon S. Lai.
Learning in Evolutionary Games: Some Laboratory Results, with Daniel Friedman.
1993: Stock Market Volatility and Fractional Integration.PDF
Deterministic, Stochastic, and Segmented Trends in Analysis, with Menzie D. Chinn.
Lag Order and the Finite Sample Behavior of the Augmented Dickey-Fuller Test, with Kon S. Lai.PDF
Pacific Basin Stock Markets and Real Activity, with Jia He and Lilian Ng.PDF
Aggregate Output Dynamics in the 20th Century.
Long-Run Determinants of Stock Market Comovements in EMS Countries, with Kon S. Lai.PDF
1992:  Do Gold Market Returns Have Long Memory?, 1992, with Kon S. Lai.PDF
Are There Long Cycles in Foreign Stock Returns, with Kon S. Lai and Michael S. Lai.
On Maximum-Likelihood Estimation of the Differencing Parameter of Fractionally-Integrated Noise With Unknown Mean, with Francis X. Diebold.
Tests for Fractional Integration: A Monte Carlo Investigation.
1991:  Exchange Rate Risk Premiums, Expectations, and the Kalman Filter.
A Causality in Variance Test and its Application to the U.S./Japan Stock Markets, with Lilian K. Ng.
Correlations in the U.S. and Japan Stock Markets Before and After the October 1987 Crash, with Lilian K. Ng.
Stock Price Dynamics and Firm Size: An Empirical Investigation, with Lilian K. Ng.PDF
The Finite-Sample Properties of Johansen's Likelihood Ratio Tests for Cointegration, with Kon S. Lai.PDF
International Evidence on Output Persistence and Comovements, with Kon S. Lai.
1990:  Long Memory in Foreign Exchange Rates.
Long-Run Purchasing Power Parity During the Recent Float, with Kon S. Lai.PDF
The Dynamics of S&P 500 Index and S&P 500 Futures Intraday Price Volatilities, with Lilian K. Ng.PDF
A Fractional Cointegration Analysis of Purchasing Power Parity, with Kon S. Lai.PDF

B: City University of Hong Kong Working Paper Series

2002:  Hong Kong Output Dynamics: An Empirical Analysis.PDF
1997:  The Performance of Trading Rules on Four Asian Currency Exchange Rates, with Clement Yuk-Pang Wong.PDF
Individual Learning in Normal Form Games: Some Laboratory Results, with Daniel Friedman.PDF
Bandwidth Selection, Prewhitening, and Power of the Phillips-Perron Test, with Kon S. Lai.PDF
Foreign Exchange Markets in Hong Kong, Japan, and Singapore, with Clement, Yuk-Pang, Wong.
On Cross-Country Differences in the Persistence of Real Exchange Rates, With Kon S. Lai.PDF
Macroeconomic Determinants of Long-Term Stock Market Comovements Among EMS Countries, with Kon S. Lai.PDF
Parity Revision in Real Exchange Rates During the Post-Bretton Woods Period, with Kon S. Lai.PDF
1996:  The Performance of Trading Rules on Four Asian Currency Exchange Rates, with Clement Yuk-Pang Wong.PDF
International Evidence on the Stock Market and Aggregate Economic Activity, with Lilian Ng.
Further Investigation of the Uncertain Unit Root in GNP, with Menzie Chinn.PDF
Stock Market Volatility and Fractional Integration.PDF
1995:  A Search for Long Memory in International Stock Market Returns, with Kon S. Lai.PDF
Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models, with Menzie Chinn.PDF
Deterministic, Stochastic, and Segmented Trends in Aggregate Output: A Cross-Country Analysis, with Menzie D. Chinn.
Information Flows Between the Eurodollar Spot and Futures Markets, with Hung-Gay Fung.
Common Predictable Components in Regional Stock Markets, with Jia He and Lilian Ng.
1994:  Lag Order and Critical Values of Unit Root Tests: Two Essays, with Kon S. Lai.
Purchasing Power Parity Under the European Monetary System, with Hung-Gay Fung, Kon S. Lai and Wai-Chung Lo.PDF
A Causality-in-Variance Test and Its Applications to Financial Market Prices, with Lilian K. Ng.

C: Technical Report, Asia-Pacific Financial & Forecasting Research Centre, City University of Hong Kong

1995:  Where Are the Global Sources of Rational Variation in International Equity Returns?, with Jia He and Lilian Ng.
1994:  Equity Price Variation in Pacific Basin Countries, with Lilian K. Ng.

D: Technical Working Papers, National Bureau of Economic Research

1996:  Further Investigation of the Uncertain Unit Root in GNP, with Menzie Chinn.PDF

E: Working Paper Series, National Bureau of Economic Research

2007:  The Overvaluation of Renminbi Undervaluation, with Menzie D. Chinn and Eiji Fujii.PDF
2003:  The Chinese Economies in Global Context: The Integration Process and Its Determinants, with Menzie D. Chinn and Eiji Fujii.PDF
2002:  Empirical Exchange Rate Models of the Nineties:Are Any Fit to Survive? with Menzie D. Chinn and Antonio Garcia Pascual.PDF
2000:  How Do UK Foreign Exchange Dealers Think their Market Operates, with Menzie Chinn and Ian Marsh.PDF
1999:  Are Macroeconomic Forecasts Informative? Cointegration Evidence from the ASA-NBER Surveys, with Menzie Chinn.PDF
Market Structure and the Persistence of Sectoral Real Exchange Rates, with Menzie Chinn and Eiji Fujii.PDF
Traders, Market Microstructure and Exchange Rate Dynamics, with Menzie Chinn.PDF
Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders, with Menzie Chinn.PDF
1997:  Integration, Cointegration, and the Forecast Consistency of Structural Exchange Rate Models, with Menzie Chinn.PDF

F: CESifo Working Paper Series, CESifo Reprint Series Munich

2007:  Does the Chinese Interest Rate Follow the US Interest Rate?, with Dickson Tam and Matthew S. Yiu.PDF
The Overvaluation of Renminbi Undervaluation, with Menzie D. Chinn and Eiji Fujii.PDF
2006:  Reprint, Exchange Rates and Markov Switching Dynamics, with Ulf G. Erlandsson.PDF
A Reappraisal of the Excess Volatility of Cross-Border relative Prices, with Kon S. Lai.PDF
An Empirical Model of Daily Highs and Lows.PDF
2005:  Reprint, The Suitability of a Greater China Currency Union, with Jude Yuen.PDF
Nominal Exchange Rate Flexibility and Real Exchange Rate Adjustment: Evidence from Dual Exchange Rates in Developing Countries, with Kon S. Lai.PDF
Cross-Country Relative Price Volatility: Effects of Market Structure, with Eiji Fujii.PDF
2004:  Reprint, Dissecting the PPP puzzle: The unconventional roles of nominal exchange rate and price adjustments, with Kon S. Lai and Mike Bergman.PDF
Reprint, China, Hong Kong, and Taiwan: A Quantitative Assessment of Real and Financial Integration, with Menzie D. Chinn and Eiji Fujii.PDF
Exchange Rates and Markov Switching Dynamics, with Ulf G. Erlandsson.PDF
An Output Perspective on a Northeast Asia Currency Union, with Jude Yuen.PDF
The Suitability of a Greater China Currency Union, with Jude Yuen.PDF
Exchange Rate Dynamics: Where is the Saddle Path?, with Javier Gardeazabal and Jesús Vázquez.PDF
2003:Reprint, Output Dynamics of the G7 Countries: Stochastic Trends and Cyclical Movements, with Frank Westermann.PDF
Reprint, Sectoral Trends and Cycles in Germany, with Frank Westermann.PDF
Dissecting the PPP puzzle: The unconventional roles of nominal exchange rate and price adjustments, with Kon S. Lai and Mike Bergman.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.PDF
China, Hong Kong, and Taiwan: A Quantitative Assessment of Real and Financial Integration, with Menzie D. Chinn and Eiji Fujii.PDF
2002:Reprint, Hong Kong Output Dynamics: An Empirical Analysis.PDF
Reprint, Effects of U.S. inflation on Hong Kong and Singapore, with Jude Yuen.PDF
Effects of U.S. inflation on Hong Kong and Singapore, with Jude Yuen.PDF
2001:Reprint, Currency Traders and Exchange Rate Dynamics: A Survey of the U.S. Market, with Menzie Chinn.PDF
Reprint, On Cross-Country Differences in the Persistence of Real Exchange Rates, with Kon S. Lai.PDF
Equity Price Dynamics Before and After the Introduction of the Euro: A Note, with Frank Westermann.PDF
Hong Kong Output Dynamics: An Empirical Analysis.PDF
Sectoral Trends and Cycles in Germany, with Frank Westermann.PDF
Market Structure, Technology Spillovers, and the Persistence of Productivity Differences, with Antonio Garcia Pascual.PDF
2000:  Currency Traders and Exchange Rate Dynamics: A Survey of the U.S. Market", with Menzie Chinn.PDF
Testing for Output Convergence: A Re-Examination, with Antonio Garcia Pascual.PDF
1999:On Cross-Country Differences in the Persistence of Real Exchange Rates, with Kon S. Lai.PDF
Output Dynamics of the G7 Countries: Stochastic Trends and Cyclical Movements, with Frank Westermann.PDF

G: HKIMR Working Paper

2006:  Does the Chinese Interest Rate Follow the US Interest Rate?, with Dickson Tam and Matthew S. Yiu.PDF
The Illusion of Precision and the Role of the Renminbi in Regional Integration, with Menzie D. Chinn and Eiji Fujii.PDF
An Empirical Model of Daily Highs and Lows.PDF
Reappraisal of the Excess Volatility of Cross-Border relative Prices, with Kon S. Lai.PDF
2005:  Cross-Country Relative Price Volatility: Effects of Market Structure, with Eiji Fujii.PDF
An Output Perspective on a Northeast Asia Currency Union, with Jude Yuen.PDF
Empirical Exchange Rate Models of the Nineties: Any Fit to Survive? with Menzie D. Chinn and Antonio Garcia Pascual.PDF
The Chinese Economies in Global Context: The Integration Process and Its Determinants, with Menzie D. Chinn and Eiji Fujii.PDF
Exchange Rates and Markov Switching Dynamics, with Ulf G. Erlandsson.PDF
2004:  The Suitability of a Greater China Currency Union, with Jude Yuen.PDF
Testing for Output Convergence: A Re-Examination, with Antonio Garcia Pascual.PDF
2003:  China, Hong Kong, and Taiwan: A Quantitative Assessment of Real and Financial Integration, with Menzie D. Chinn and Eiji Fujii.PDF
Dissecting the PPP Puzzle: The Unconventional Roles of Nominal Exchange Rate and Price Adjustments, with Kon S. Lai and Michael Bergman.PDF
An Analysis of Hong Kong Export Performance.PDF
East Asian Equity Markets, Financial Crises, and the Japanese Currency, with Y.L. Cheung and K.C. Ng.PDF
2001:  Effects of U.S. inflation on Hong Kong and Singapore, with Jude Yuen.PDF
2000:  Hong Kong Output Dynamics: An Empirical Analysis.PDF

H: IMF Working Paper

2004:  Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive? With Menzie Chinn and Antonio Garcia Pascual.PDF

I: Others

2004:  An Output Perspective on A Northeast Asia Currency Union, KIEP CNAEC Research Series 04-06.PDF
2000:  Parity Convergence Of Real Exchange Rates: What Role Does Price Adjustment Play? With Kon S. Lai And Michael Bergman, University Of Hong Kong, Economics & Finance Workshop, Discussion Paper Series #298
1999:  How Do UK Foreign Exchange Dealers Think Their Market Operates, with Menzie Chinn and Ian Marsh, Centre for Financial markets Research Discussion Paper No. 14, University of StrathclydePDF
How Do UK Foreign Exchange Dealers Think their Market Operates, with Menzie Chinn and Ian Marsh, Centre for Economic Policy Research Discussion Paper No. 2230.PDF
1998:  Does Austria Respond to the German or the U.S. Business Cycles? with Frank Westermann, Occasional Paper, Center for German and European Studies.PDF
The Hong Kong Foreign Exchange Market, HKCER Letters 50, 1-2.
1997:  Should the Nordic Countries Join a European Monetary Union? An Empirical Analysis, with U. Michael Bergman and Michael M. Hutchison, EPRU Working Paper # 1997-21.
1994:  Pacific Basin Stock Market Variability, City Economist, Vol. 4. No. 1.
1990:  On Maximum-Likelihood Estimation of the Differencing Parameter of Fractionally-Integrated Noise With Unknown Mean, with Francis X. Diebold, Institute for Empirical Macroeconomics Discussion Paper 34.

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