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The Frank J. Petrilli Center for Research in International Finance

 

CRIF Working Paper Series

2010

CRIF10001 [ABSTRACT PAPER]

Title: Why Money Matters: A Fourth Natural Experiment.

Author: James R. Lothian.

2009

CRIF09006 [ABSTRACT PAPER]

Title: U.S. Monetary Policy and the Financial Crisis.

Author: James R. Lothian.

CRIF09005 [ABSTRACT PAPER]

Title: The Signaling Hypothesis Revisited: Evidence from Foreign IPOs.

Authors: Bill B. Francis, Iftekhar Hasan, James R. Lothian.and Xian Sun.

CRIF09004 [ABSTRACT PAPER]

Title: Cyclical Government Spending, Income Inequality and Welfare in Small Open Economies".

Authors: Guay Lim and Paul D. McNelis.

CRIF09003 [ABSTRACT PAPER]  

Title: Milton Friedman's Monetary Economics and the Quantity-Theory Tradition.

Authors: James R. Lothian.

CRIF09002 [ABSTRACT PAPER]  

Title: Irving Fisher and the UIP Puzzle.

Authors: Rachel A.J. Campbell, Kees G. Koedijk, James R. Lothian and Ronald J. Mahieu.

CRIF09001[ABSTRACT PAPER]

Title: A Bayesian Comparison of the Classical Gold Standard and the Great Moderation.

Authors: Gabrial Flagan, James R. Lothian and Paul D. McNelis.

2008

CRIF084001 [ABSTRACT PAPER]

Title: Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod-Balassa-Samuelson Effect?

Authors: James R. Lothian, Mark P. Taylor [A revised version of Working Paper CRIF04001; published in the Economic Journal, October 2008].

2007

CRIF07003 [ABSTRACT PAPER]  

Title: Have Absolute Price Levels Converged for Developed Economies? The Evidence since 1870

Authors: Lein Lein Chen, Seungmook Choi, John Devereux

CRIF07002 [ABSTRACT PAPER]  

Title: Searching for Balassa Samuelson in Post-War Data

Authors: Lein Lein Chen, Seungmook Choi, John Devereux

CRIF07001 [ABSTRACT PAPER]  

Title: Fiscal and Current Account Balances in a Model With Sticky Prices and Distortionary Taxes

Authors: Guay Lim, Paul D. McNelis

2006

CRIF06003 [ABSTRACT PAPER]  

Title: Renminbi Revaluation, Euro Appreciation and Chinese Markets: What Can We Learn From Data?

Authors: Paul D. McNelis, Salij N. Neftçi

CRIF06002 [ABSTRACT PAPER]  

Title: The Use of Loan Loss Provisions for Earnings, Capital Management and Signalling by Australian Banks

Authors: Asokan Anandarajan, Iftekhar Hasan, Cornelia McCarthy

CRIF06001 [ABSTRACT PAPER]  

Title: The Role of Earnings and Book Values in Pricing Stocks: Evidence from Turkey

Authors: Asokan Anandarajan, Iftekhar Hasan, Ihsan Isik, Cornelia McCarthy

2005

CRIF05002 [ABSTRACT PAPER]  

Title: Institutions, Capital Flows and Financial Integration

Authors: James R. Lothian

CRIF05001 [ABSTRACT PAPER]  

Title: Uncovered Interest-Rate Parity over the Past Two Centuries

Authors: James R. Lothian, Liuren Wu

2004

CRIF04001 [ABSTRACT PAPER]  

Title: Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod-Balassa-Samuelson Effect?

Authors: James R. Lothian, Mark P. Taylor

2003

CRIF03002  [ABSTRACT PAPER]  

Title: The Economics of International Monies

Authors: Gerald P. Dwyer Jr. and James R. Lothian

CRIF03003  [ABSTRACT PAPER]  

Title: The Behavior of Money and Other Economic Variables: Two Natural Experiments

Authors: James R. Lothian and Cornelia H. McCarthy

2002

CRIF02001 [ABSTRACT PAPER]  

Title: The Internationalization of Money and Finance and the Globalization of Financial Markets

Authors: James R. Lothian

CRIF02002 [ABSTRACT PAPER]  

Title: Has International Financial Integration Increases?

Authors: Lawrence G. Goldberg, James R. Lothian, and John Okunev

CRIF02003 [ABSTRACT PAPER]  

Title: International Money and Common Currencies in Historical Perspective

Authors: Gerald P. Dwyer Jr. and James R. Lothian

CRIF02004 [ABSTRACT PAPER]  

Title: Real Exchange Rate Behavior Under Floating and Fixed Regimes

Authors: James R. Lothian and Cornelia H. McCarthy

CRIF02005 [ABSTRACT PAPER]  

Title: Equity Returns and Inflation: The Puzzlingly Long Lags

Authors: James R. Lothian and Cornelia H. McCarthy

CRIF02006 [ABSTRACT PAPER]  

Title: Currency Union and Real Exchange Rate Behavior

Authors: James R. Lothian and Cornelia H. McCarthy

CRIF02007 [ABSTRACT PAPER]  

Title: Time-Changed LÚvy Processes and Option Pricing

Authors: Peter Carr and Liuren Wu

CRIF02008 [ABSTRACT PAPER]  

Title: Finite Moment Log Stable Process and Option Pricing

Authors: Peter Carr and Liuren Wu

CRIF02009 [ABSTRACT PAPER]  

Title: What Type of Process Underlies Options? A Simple Robust Test

Authors: Peter Carr and Liuren Wu

CRIF02010 [ABSTRACT PAPER]  

Title: Static Hedging of Standard Options

Authors: Peter Carr and Liuren Wu

CRIF02011 [ABSTRACT PAPER]  

Title: Accounting for Biases in Black-Scholes

Authors: David Backus, Silverio Foresi, and Liuren Wu

CRIF02012 [ABSTRACT PAPER]  

Title: Predictable Changes in Yields and Forward Rates

Authors: David Backus, Silverio Foresi, Abon Mozumdar, and Liuren Wu

CRIF02013 [ABSTRACT PAPER]  

Title: Asset Pricing under the Quadratic Class

Authors: Markus Leippold and Liuren Wu

CRIF02014 [ABSTRACT PAPER]  

Title: Design and Estimation of Quadratic Term Structure Models

Authors: Markus Leippold and Liuren Wu

CRIF02015 [ABSTRACT PAPER]  

Title: Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?

Authors: Massoud Heidari and Liuren Wu

CRIF02016 [ABSTRACT PAPER]  

Title: Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rate and Interest Rate Derivatives

Authors: Massoud Heidari and Liuren Wu

CRIF02017 [ABSTRACT PAPER]  

Title: Time-Varying Arrival Rates of Informed and Uninformed Trades

Authors: David Easley, Robert Engle, Maureen O'Hara, and Liuren Wu

CRIF02018 [ABSTRACT PAPER]  

Title: Contagion in Financial Markets

Authors: David Backus, Silverio Foresi, and Liuren Wu

CRIF02019 [ABSTRACT PAPER]  

Title: Jumps and Dynamic Portfolio Decisions

Authors: Liuren Wu

CRIF02020 [ABSTRACT PAPER]  

Title: A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs

Authors: Gautam Goswami, Milind Shrinkhande, and Liuren Wu