Martin D D Evans
Biographic Data
| ID | 5737264 |
|---|---|
| NAME | Martin D D Evans |
| GIVEN NAMES | Martin D D |
| FAMILY NAME | Evans |
| SIGNATURE | EVANS M D D |
| AFFILIATIONS | Georgetown University and NBER |
| ORCID | 0000-0001-9366-3054 |
| VERIFIED | Yes |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 8 |
| WORKS AS AUTHOR | 2 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2002 |
| LATEST PUBLICATION YEAR | 2003 |
| H-INDEX | 2 |
Real risk, inflation risk, and the term structure
I present a model for the term structures of nominal and real interest rates in the UK that incorporates Markov‐switching and allows for non‐neutralities, nonlinear dynamics, and flexibility in the dynamics of the risk premia. The model is used to assess how accurately the term structure reflects changing expectations of future yields and inflation. I find that variations in inflation expected over the next two to three years are very accurately …
Order Flow and Exchange Rate Dynamics
This paper presents an exchange rate model of a new kind. Instead of relying exclusively on macroeconomic determinants, the model includes a determinant from the field of microstructure financeorder flow. Order flow is a determinant because it conveys information. This is a radically different approach to exchange rates. It is also strikingly successful. Our model of daily deutsche mark/dollar log changes produces an R2 statistic above 60 percent…
Order Flow and Exchange Rate Dynamics
This paper presents an exchange rate model of a new kind. Instead of relying exclusively on macroeconomic determinants, the model includes a determinant from the field of microstructure financeorder flow. Order flow is a determinant because it conveys information. This is a radically different approach to exchange rates. It is also strikingly successful. Our model of daily deutsche mark/dollar log changes produces an R2 statistic above 60 percent…
Real risk, inflation risk, and the term structure
I present a model for the term structures of nominal and real interest rates in the UK that incorporates Markov‐switching and allows for non‐neutralities, nonlinear dynamics, and flexibility in the dynamics of the risk premia. The model is used to assess how accurately the term structure reflects changing expectations of future yields and inflation. I find that variations in inflation expected over the next two to three years are very accurately …
Order Flow and Exchange Rate Dynamics
This paper presents an exchange rate model of a new kind. Instead of relying exclusively on macroeconomic determinants, the model includes a determinant from the field of microstructure financeorder flow. Order flow is a determinant because it conveys information. This is a radically different approach to exchange rates. It is also strikingly successful. Our model of daily deutsche mark/dollar log changes produces an R2 statistic above 60 percent…
Real risk, inflation risk, and the term structure
I present a model for the term structures of nominal and real interest rates in the UK that incorporates Markov‐switching and allows for non‐neutralities, nonlinear dynamics, and flexibility in the dynamics of the risk premia. The model is used to assess how accurately the term structure reflects changing expectations of future yields and inflation. I find that variations in inflation expected over the next two to three years are very accurately …
Econometrics (2 works) · Economics (2 works) · Monetary Policy and Economic Impact (2 works) · Computer Science (1 work) · Diverse Specialized Academic Research (1 work) · Economic theories and models (1 work) · Economic, financial, and policy analysis (1 work) · Exchange rate (1 work) · Finance (1 work) · Finance (1 work)