Search Results - person:"Evans, Martin"

Meese-Rogoff Redux : Micro-Based Exchange Rate Forecasting

Evans, Martin D. D.; Lyons, Richard K. - 2021

This paper compares the true, ex-ante forecasting performance of a micro-based model against both a standard macro model and a random walk. In contrast to existing literature, which is focused on longer horizon forecasting, we examine forecasting over horizons from one day to one month (the...

Persistent link: https://www.econbiz.de/10013243968

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Meese-Rogoff Redux : Micro-Based Exchange Rate Forecasting

Evans, Martin D.D. - 2005

Book / Working Paper

Meese-Rogoff Redux : Micro-Based Exchange Rate Forecasting

Evans, Martin D. D.; Lyons, Richard K. - 2005

Book / Working Paper

Understanding Order Flow

Evans, Martin D. D.; Lyons, Richard K. - 2021

This paper develops a model for understanding end-user order flow in the FX market. The model addresses several puzzling findings. First, the estimated price-impact of flow from different end-user segments is, dollar-for-dollar, quite different. Second, order flow from segments traditionally...

Persistent link: https://www.econbiz.de/10013248266

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Understanding Order Flow

Evans, Martin D. D. - 2005

Book / Working Paper

A Modern Look at Asset Pricing and Short-Term Interest Rates

Evans, Martin D. D.; Wachtel, Paul - 2021

This paper uses modern asset pricing theory to examine the behavior of short-term nominal interest rates over the past 25 years. The analysis investigates whether variation in the stochastic behavior of output and inflation can explain movements in the rate of interest. Our results reveal that...

Persistent link: https://www.econbiz.de/10013227862

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A Modern Look At Asset Pricing and Short-Term Interest Rates

Evans, Martin D. - 1990

Book / Working Paper

Do Expected Shifts in Inflation Policy Affect Real Rates?

Evans, Martin D. D.; Lewis, Karen K. - 2021

This paper presents a new explanation for the negative correlation between ex post real interest rates and inflation found in earlier empirical studies. We begin by showing that there is a strong negative correlation between the permanent movements in ex post real interest rates and inflation....

Persistent link: https://www.econbiz.de/10013232738

Are different-currency assets imperfect substitutes?

Evans, Martin D. D.; Lyons, Richard K. - 2003

This paper provides a new test for whether different-currency assets are imperfect substitutes. The test exploits that under floating rates, changing public currency demand has no direct effect on monetary fundamentals, current or future. Price effects from imperfect substitutability are clearly...

Persistent link: https://www.econbiz.de/10011508058

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Are Different-Currency Assets Imperfect Substitutes?

Evans, Martin D. D.; Lyons, Richard K. - 2021

Book / Working Paper

Order Flow and Exchange Rate Dynamics

Evans, Martin D. D.; Lyons, Richard K. - 2021

Macroeconomic models of nominal exchange rates perform poorly. In sample, R2 statistics as high as 10 percent are rare. Out of sample, these models are typically out-forecast by a na‹ve random walk. This paper presents a model of a new kind. Instead of relying exclusively on macroeconomic...

Persistent link: https://www.econbiz.de/10013221288

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Order Flow and Exchange Rate Dynamics

Evans, Martin D. D. - 2002

Book / Working Paper

Order Flow and Exchange Rate Dynamics

Evans, Martin D.D. - 1999

Book / Working Paper

Exchange Rate Fundamentals and Order Flow

Evans, Martin D. D.; Lyons, Richard K. - 2021

We address whether transaction flows in foreign exchange markets convey fundamental information. Our GE model includes fundamental information that first manifests at the micro level and is not symmetrically observed by all agents. This produces foreign exchange transactions that play a central...

Persistent link: https://www.econbiz.de/10013224432

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Exchange Rate Fundamentals and Order Flow

Evans, Martin D. D. - 2007

Book / Working Paper

Comparing tax and benefit microsimulation models: A guide for analysts in low- and middle-income countries

Abramovsky, Laura; Evans, Martin; Iddrisu, Abdul Malik; … - 2026

Persistent link: https://www.econbiz.de/10015675838

Comparing tax and benefit microsimulation models : a guide for analysts in low- and middle-income countries

Abramovsky, Laura; Evans, Martin; Iddrisu, Abdul Malik; … - 2026

Tax and benefit microsimulation models (MSMs) and fiscal incidence analyses (FIAs) are important tools for understanding how fiscal policies affect households across the income distribution. They are used to assess who bears the burden of taxation, who benefits from public spending, and how...

Persistent link: https://www.econbiz.de/10015668565