Robert P. Flood

An empirical exploration of exchange-rate target-zones

This paper develops a simple methodology to test for asset integration, and applies it within and between American stock markets. Our technique relies on estimating and comparing expected risk-free...

Flood, Robert P., Rose, Andrew K., Mathieson, Donald J.

Why have a target zone?: A comment

Flood, Robert P., Spencer, Michael G.

A model of the joint distribution of banking and currency crises

Flood, Robert P., Marion, Nancy P.

A NEW APPROACH TO ASSET INTEGRATION: METHODOLOGY AND MYSTERY

Real aspects of exchange rate regime choice with collapsing fixed rates

This paper develops a new methodology to test financial market integration. Our technique is based on an intertemporal asset-pricing model, and relies on estimating and comparing expected discount...

Flood, Robert P., Hodrick, Robert J.

Collapsing exchange-rate regimes : Some linear examples

Getting Shut Out of the International Capital Markets: It Doesn't Take Much

Robert P. Flood, Nancy P. Marion

We use a simple model of international lending to show that an emerging market borrower who might default can be shut out of international capital markets without warning. A modest haircut on...

Uncovered Interest Parity in Crisis: The Interest Rate Defense in the 1990s

A Model of the Joint Distribution of Banking and Exchange-Rate Crises

Interest rate policy , Exchange rates , Financial crisis , Developed countries , Developing countries , Economic models ,

Holding International Reserves in an Era of High Capital Mobility

Banking , Financial crisis , Economic models ,

Process Consistency and Monetary Reform: Further Evidence and Implications

Reserves , Capital flows , Economic models ,

A Systematic Banking Collapse in a Perfect Foresight World

In this paper we provide additional evidence that process consistency may have materialized as a restrictive constraint on the money generation process. In addition to recomputing the time series of...

Explanations of Exchange Rate Volatility and Other Empirical Regularities in Some Popular Models of the Foreign Exchange Market

In this paper we present a model in which a systematic banking collapse is possible in a perfect foresight, general equilibrium context. Our aim is to determine con3itions under which a collapse will...

Robert P. Flood

The present paper is intended to accomplish two tasks. First, models predicting overshooting and magnification, respectively, will be checked for their consistency with two key empirical...

A Model of Stochastic Process Switching

Two Notes on Indeterminacy Problems

In this paper we develop a rational expectations exchange rate model which is capable of confronting explicitly agents' beliefs about a future switch in exogenous driving processes. In our set-up the...

Robert P. Flood, Peter M. Garber, Louis O. Scott

In this paper we show, in an example, that the arbitrary behavior which results in an indeterminacy in the time path of a flexible exchange rate and is associated with "badly behaved" speculation has...

Real Aspects of Exchange Rate Regime Choice with Collapsing Fixed Rates

Asset Price Volatility, Bubbles, and Process Switching

Typical evaluations of the choice of exchange rate regime employ a criterion function that depends on the real performance of the economy, and they focus on regimes that are expected to last...

Testable Implications of Indeterminacies in Models with Rational Expectations

Evidence of excess volatilities of asset prices compared with those of market fundamentals is often attributed to speculative bubbles. This study examines the sense in which speculative bubbles could...

The Linkage Between Speculative Attack and Target Zone Models of Exchange Rates

The possibility that movements in market prices of assets or goods may be caused by self-fulfilling prophecies, called bubbles or sunspots, has long intrigued market observers. If bubbles or sunspots...

Anticipated Exchange Rate Reforms

In this paper we generalize the target zone exchange rate as model formalized by Krugman (1988b) to include finite-sized interventions in defense of the zone. The main contributions of these pages...

Robert P. Flood, Pierre-Richard AgÃ©nor

Exchange rate policy , Developing countries , Exchange rate unification , Parallel exchange markets , Economic models ,

Speculative Attacks and Models of Balance of Payments Crises

Robert P. Flood, Pierre-Richard AgÃ©nor, Jagdeep S. Bhandari

Balance of payments , Exchange rate regimes , Economic models ,

Activist Policy in the Open Economy.

Flood, Robert P

On Testing for Speculative Bubbles.

Capital Mobility and the Choice of Exchange Rate System.

Flood, Robert P

Exchange Rate Dynamics, Sticky Prices and the Current Account.

Engel, Charles M, Flood, Robert P

Fixing exchange rates A virtual quest for fundamentals

Flood, Robert P., Rose, Andrew K.

Process consistency and monetary reform : Some further evidence

A pitfall in estimation of models with rational expectations

Bank credit, money and inflation in open economics : Michele Frattianni and Karel Tavernier, eds., supplement to kredit und kapital heft 3 (Duncker & Humblot, Berlin, 1976) 624, DM 78

Purchasing power parity and the theory of general relativity: the first tests

Coakley, Jerry, Flood, Robert P., Fuertes, Ana M., Taylor, Mark P.

Exchange-rate regimes in transition: Italy 1974

Flood, Robert P., Marion, Nancy P.

Dynamic Macroeconomic Stability with or without Equilibrium in Money and Labour Markets.

Burmeister, Edwin, Flood, Robert P, Turnovsky, Stephen J

Multi-country tests for price level bubbles

Flood, Robert P., Garber, Peter M., Scott, Louis O.

On the equivalence of solutions in rational expectations models

Burmeister, Edwin, Flood, Robert P., Garber, Peter M.

Asset Price Volatility, Bubbles, and Process Switching.

Comments on speculation and the volatility of foreign currency exchange rates

Uncovered Interest Parity in Crisis

Special Section on Data Issues: Preface

This paper tests for uncovered interest parity (UIP) using daily data for 23 developing and developed countries during the crisis-strewn 1990s. We find that UIP works better on average in the 1990s...

Robert P. Flood

Explanations of exchange-rate volatility and other empirical regularities in some popular models of the foreign exchange market

Why so Glum? The Meese-Rogoff Methodology Meets the Stock Market

A Model of Stochastic Process Switching.

This paper applies the Meese-Rogoff (1983a) methodology to the stock market. We compare the out-of-sample forecasting accuracy of various time-series and fundamentals-based models of aggregate stock...

'Real exchange rate overshooting and the output cost of bringing down inflation' by Buiter and Miller

'Real exchange rate overshooting and the output cost of bringing down inflation' by Buiter and Miller

An interest rate defense of a fixed exchange rate?

Flood, Robert P., Jeanne, Olivier

Self-fulfilling risk predictions:: an application to speculative attacks

Flood, Robert P., Marion, Nancy P.

Collapsing exchange rate regimes: Another linear example

Flood, Robert P., Garber, Peter M., Kramer, Charles

Exchange rate expectations in dual exchange markets

Uncovered Interest Parity in Crisis: The Interest Rate Defence in the 1990s

Exchange Rate and Price Dynamics with Asymmetric Information.

This Paper tests for uncovered interest parity (UIP) using daily data for twenty-three developing and developed countries through the crisis-strewn 1990s. We find that UIP works better on average in...

Understanding Exchange Rate Volatility without the Contrivance of Macroeconomics.

Gold monetization and gold discipline

Exchange-rate regimes in transition: Italy 1974

A model of stochastic process switching

Is the EMS the perfect fix? An empirical exploration of exchange rate target zones

Robert P. Flood, Andrew K. Rose, Donald J. Mathieson

European Economic Community ; Foreign exchange rates

Backward looking and forward looking solutions to monetary models of inflation with rational expectations

Fixing Exchange Rates: A Virtual Quest for Fundamentals

Fixes: Of the Forward Discount Puzzle

Fixed exchange rates are less volatile than floating rates. The volatility of macroeconomic variables, such as money and output, does not change very much across exchange rate regimes, however. This...

Understanding Exchange Rate Volatility Without the Contrivance of Macroeconomics

Regressions of ex-post changes in floating exchange rates on appropriate interest differentials typically imply that the high interest rate currency tends to appreciate - the `forward discount...

An Interest Rate Defence of a Fixed Exchange Rate?

Exchange rate regimes differ primarily by the activity of the exchange rate, not observable macroeconomic ‘fundamentals’. Fixed exchange rates are typically stable and floating exchange rates are...

Flood, Robert P, Jeanne, Olivier

Defending a government's exchange-rate commitment with active interest rate policy is not an option in the Krugman-Flood-Garber (KFG) model of speculative attacks. In that model, the interest rate is...

Financial Integration: A New Methodology and an Illustration

Estimating the Expected Marginal Rate of Substitution: Exploiting Idiosyncratic Risk

This Paper develops a simple new methodology to test for asset integration and applies it within and between American stock markets. Our technique is tightly based on a general intertemporal...

The Linkage between Speculative Attack and Target Zone Models of Exchange Rates.

This Paper develops a simple but general methodology to estimate the expected intertemporal marginal rate of substitution or ‘EMRS’, using only data on asset prices and returns. Our empirical...

Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle.

The Transmission of Disturbances under Alternative Exchange-Rate Regimes with Optimal Indexing.

Flood, Robert P, Marion, Nancy Peregrim

Fixes: Of the Forward Discount Puzzle.

Special Section on Data Issues: Preface

Regressions of ex post changes in floating exchange rates on appropriate interest differentials typically imply that the high-interest rate currency tends to appreciate, the 'forward discount...

Robert P. Flood

Uncovered Interest Parity in Crisis

A Theory of Optimum Currency Areas: Revisited

This paper tests for uncovered interest parity (UIP) using daily data for 23 developing and developed countries during the crisis-strewn 1990s. We find that UIP works better on average in the 1990s...

Robert P. Flood, Joshua Aizenman

Monetary unions , Exchange rates , Labor mobility , Flexible exchange rates ,

An Empirical Exploration of Exchange Rate Target-Zones

Robert P. Flood, Donald J. Mathieson, Andrew K. Rose

Exchange rates , Target zones , European Monetary System , Interest rates , Economic models ,

Exchange Rate Regime Choice

Issues Concerning Nominal Anchors for Monetary Policy

Exchange rate regimes , Exchange rate policy ,

Robert P. Flood, Michael Mussa

Monetary policy , Prices , Inflation , Economic stabilization ,

Policy Implications of "Second-Generation" Crisis Models

Self-Fulfilling Risk Predictions - An Application to Speculative Attacks

Monetary policy , Currencies , Exchange rates , Economic models ,

Perspectives on the Recent Currency Crisis Literature

Exchange risk , Currencies , Mexico , Devaluation , Economic models ,

An Interest Rate Defense of a Fixed Exchange Rate?

Currencies , Economic models ,

Robert P. Flood, Olivier Jeanne

Exchange rate regimes , Fiscal policy ,

Financial Integration: A New Methodology and an Illustration

The Transmission of Disturbances under Alternative Exchange-Rate Regimeswith Optimal Indexing

This paper develops a simple methodology to test for asset integration, and applies it within and between American stock markets. Our technique relies on estimating and comparing expected risk-free...

Foreword

Robert P Flood

Gold Monetization and Gold Discipline

The paper develops a general stochastic macroeconomic model which can be used to study the international transmission of disturbances under alternative exchange-rate systems. Four types of...

Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle

The paper is a study of the price level and relative price effects of a policy to monetize gold and fix its price at a given future time and at the then prevailing nominal price. Price movements are...

Money and the Open Economy Business Cycle: A Flexible Price Model

This paper develops an open-economy macroeconomic model which can be used to interpret the observed fluctuations in output, inventories,prices,and exchange rates in the medium-sized economies of the...

An Evaluation of Recent Evidence on Stock Market Bubbles

This paper develops an open-economy model of the business cycle. The nominal prices in the model are flexible and monetary nonneutrality is developed using information confusion about the sources of...

Robert P. Flood, Robert J. Hodrick, Paul Kaplan

Several recent studies have attributed a large part of asset price volatility to self-fulfilling expectations. Such an explanation is unattractive to many since it allows allocations that need bear...

Monetary Policy Strategies

Robert P. Flood, Peter Isard

The paper considers the merits of rules and discretion for monetary policy when the structure of the macroeconomic model and the probability distributions of disturbances are not well defined. It is...

An Empirical Exploration of Exchange Rate Target-Zones

Robert P. Flood, Andrew K. Rose, Donald J. Mathieson

In the context of a flexible-price monetary exchange rate model and the assumption of uncovered interest parity, we obtain a measure of the fundamental determinant of exchange rates. Daily data for...

Speculative Attacks and Models of Balance-of-Payments Crises

Pierre-Richard Agenor, Jagdeep S. Bhandari, Robert P. Flood

This paper reviews recent developments in the theoretical and empirical analysis of balance-of-payments crises. A simple analytical model highlighting the process leading to such crises is first...

Fixing Exchange Rates: A Virtual Quest for Fundamentals

Fixes: Of The Forward Discount Puzzle

Fixed exchange rates are less volatile than floating rates. But the volatility of macroeconomic variables such as money and output does not change very much across exchange rate regimes. This...

Collapsing Exchange Rate Regimes: Another Linear Example

Regressions of ex post changes in floating exchange rates on appropriate interest differentials typically imply that the high- interest rate currency tends to appreciate, the `forward discount...

Robert P. Flood, Peter M. Garber, Charles Kramer

In the literature on speculative attacks on a fixed exchange rate, it is usually assumed that the monetary authority responsible for fixing the exchange rate reacts passively to the monetary...

Speculative Attacks: Fundamentals and Self-Fulfilling Prophecies

Robert P. Flood, Nancy P. Marion

We develop a modified understand better the 1994 Mexican peso crisis as well as aspects of the European currency crises in 1992-93. We introduce the assumption that the speculative attack is...

Financial Integration: A New Methodology and an Illustration

Gold Monetization and Gold Discipline.

This paper develops a simple new methodology to test for asset integration and applies it within and between American stock markets. Our technique is tightly based on a general intertemporal...

Market Fundamentals versus Price-Level Bubbles: The First Tests.

An Economic Theory of Monetary Reform.

Exchange Rate Economics: What's Wrong with the Conventional Macro Approach?

Robert P. Flood, Mark P. Taylor

Inflation Targeting and Business Cycle Synchronization