Faust, Jon, John H. Rogers, Eric Swanson, and Jonathan H. Wright. (2003). “Identifying the Effects of
Monetary Policy Shocks on Exchange Rates Using High Frequency Data.” Journal of the European
Economic Association 1, 1031-1057.
Flannery, Mark J., and Aris A. Protopapadakis. (2002). “Macroeconomic Factors Do Influence Aggregate
Stock Returns.” Review of Financial Studies 15, 751-782.
Galati, Gabriele, William Melick, and Marian Micu (2005). “Foreign Exchange Market Intervention and
Expectations: An Empirical Study of the Dollar/Yen Exchange Rate.” Journal of International Money and
Finance 24, 982-1011.
Hausman, Jerry A. (1978). “Specification Tests in Econometrics. Econometrica 46, 1251-1271.
Hausman, Jerry A. (1983). “Specification and Estimation of Simultaneous Equation Models.” In
Handbook of Econometrics Vol. I, edited by Zvi Griliches and Michael D. Intriligator. Amsterdam: North
Holland.
Kim, Soyoung, and Nouriel Roubini. (2000). “Exchange Rate Anomalies in the Industrial Countries: A
Solution with a Structural VAR Approach.” Journal of Monetary Economics 45, 561-586.
Krueger, Joel T., and Kenneth N. Kuttner. (1996). “The Federal Funds Futures Rate as a Predictor of
Federal Reserve Policy.” Journal of Futures Markets 16, 865-879.
Kuttner, Kenneth N. (2001). “Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds
Futures Market.” Journal of Monetary Economics 47, 523-544.
Lewis, Karen K. (1995). “Are Foreign Exchange Intervention and Monetary Policy Related, and Does It
Really Matter?” Journal of Business 68, 185-214.
Mishkin, Frederic S. (1982). “Does Anticipated Monetary Policy Matter? An Econometric Investigation.”
Journal of Political Economy 90, 22-51.
Newey, Whitney K., and Kenneth .D. West. (1987). “A Simple, Positive Semi-Definite,
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica 55, 703-708.
Piazzesi, Monika, and Eric T. Swanson. (2004). “Futures Prices as Risk-Adjusted Forecasts of Monetary
Policy.” NBER Working Paper 10547.
Sack, Brian P. (2002). “Extracting the Expected Path of Monetary Policy from Futures Rates.” Journal of
Futures Markets 34, 733-754.
Sack, Brian P., Eric T. Swanson, and Refet S. Gurkaynak. (2002). “Market-based Measures of Monetary
Policy Expectations.” Board of Governors of the Federal Reserve System FEDS Working Paper 2002-40.
Simpson, Marc W.; Sanjay Ramchander and Mukesh Chaudry (2005). “The Impact of Macroeconomic
Surprises on Spot and Forward Foreign Exchange Markets.” Journal of International Money and Finance
24, 693-718.
21