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Flood, Robert P.

Works: 123 works in 529 publications in 1 language and 4,562 library holdings
Roles: Honoree, Dedicatee
Classifications: HG3881, 332
Publication Timeline
Publications about Robert P Flood
Publications by Robert P Flood
Most widely held works by Robert P Flood
International finance and financial crises essays in honor of Robert P. Flood, Jr. by Peter Isard( file )
8 editions published between 1999 and 2000 in English and held by 842 libraries worldwide
International Finance and Financial Crises: Essays in Honor of Robert P. Flood, Jr. contains the proceedings of a conference held in honor of Robert P. Flood, Jr. Bob Flood has made important contributions to many areas of economic analysis, including regime switching, speculative attacks, bubbles, stock market volatility, macro models with nominal rigidities, dual exchange rates, target zones, and rules versus discretion in monetary policy. Contributors were invited to address any of the topics or others of their choosing. The results include five papers on topics in international finance; two of these papers, as well as the panel discussion, focus on speculative attacks and financial crises. The other three take new directions in exploring topics in which existing models leave much to be desired
Speculative bubbles, speculative attacks, and policy switching by Robert P Flood( Book )
11 editions published between 1994 and 1997 in English and held by 428 libraries worldwide
Financial integration a new methodology and an illustration by Robert P Flood( file )
23 editions published between 2003 and 2004 in English and held by 298 libraries worldwide
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 rates across assets. Expected risk-free rates are allowed to vary freely over time, constrained only by the fact that they must be equal across (risk-adjusted) assets in well integrated markets. Assets are allowed to have standard risk characteristics, and are constrained by a factor model of covariances over short time periods. We find that implied expected risk-free rates vary dramatically over time, unlike short interest rates. Further, internal integration in the S&P 500 market is never rejected and is generally not rejected in the NASDAQ. Integration between the NASDAQ and the S&P, however, is always rejected dramatically
Getting shut out of the international capital markets it doesn't take much by Robert P Flood( file )
6 editions published in 2006 in English and held by 223 libraries worldwide
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 obligations, for example, can shut down lending
International risk sharing during the globalization era by Robert P Flood( file )
10 editions published between 2004 and 2009 in English and held by 220 libraries worldwide
Though theory suggests financial globalization should improve international risk sharing, empirical support has been limited. We develop a simple welfare-based measure that captures how far countries are from the ideal of perfect risk sharing. We then take it to data and find international risk sharing has, indeed, improved during globalization. Improved risk sharing comes mostly from the convergence in rates of consumption growth among countries rather than from synchronization of consumption at the business cycle frequency. Our finding explains why many existing measures fail to detect improved risk sharing-they focus only on risk sharing at the business cycle frequency
A model of stochastic process switching by Robert P Flood( file )
4 editions published in 1982 in English and held by 213 libraries worldwide
Perspectives on the recent currency crisis literature by Robert P Flood( Book )
25 editions published between 1998 and 2001 in English and Undetermined and held by 129 libraries worldwide
Abstract: In the 1990s, currency crises in Europe, Mexico and Southeast Asia have drawn worldwide attention to speculative attacks on government-controlled exchange rates. To improve our understanding of these events, researchers have undertaken new theoretical and empirical work. In this paper, we provide some perspective on this work and relate it to earlier research in the area. Then we derive the optimal commitment to a fixed exchange rate and propose a common framework for analyzing currency crises that draws from both the early first-generation work and the more recent second-generation approach. The cross-generational framework stresses the important role of speculators and also recognizes that the government's commitment to a fixed exchange rate is constrained by other policy goals. In the final section we study the crisis prediction literature and find that some crises may be particularly difficult to predict using currently popular methods
Fixes : of the forward discount puzzle by Robert P Flood( Book )
15 editions published between 1994 and 1995 in English and held by 107 libraries worldwide
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 puzzle.' Using data from the European Monetary System, we find that a large part of the forward discount puzzle vanishes for regimes of fixed exchange rates. That is, deviations from uncovered interest parity appear to vary in a way which is dependent upon the exchange rate regime. By using the many EMS realignments, we are also able to quantify the peso problem.'
Fixing exchange rates : a virtual quest for fundamentals by Robert P Flood( Book )
23 editions published between 1992 and 2002 in English and Undetermined and held by 107 libraries worldwide
Abstract: 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 suggests that exchange rate models based only on macroeconomic fundamentals are unlikely to be very successful. It also suggests that there is no clear tradeoff between reduced exchange rate volatility and macroeconomic stability
Issues concerning nominal anchors for monetary policy by Robert P Flood( Book )
14 editions published in 1994 in English and held by 103 libraries worldwide
Abstract: This paper presents a selective survey of issues relevant to the choice of nominal anchors for monetary policy. Section I reviews long price-level histories for the United Kingdom and United States, which reveal that the price level behaved very differently following WWII in these countries than it had done in previous post-war experiences. In particular following WWII the responsibilities of monetary policy expanded to encompass a business-cycle stabilization role and the nominal anchor shifted from the fixed anchor or price-level stability to the moving anchor of inflation-rate stability. The remaining sections of the paper review, in the context of a variety of models, some of the considerations that are relevant to setting the average inflation rate in countries without a fixed nominal anchor
Estimating the expected marginal rate of substitution : exploiting idiosyncratic risk by Robert P Flood( Book )
13 editions published in 2004 in English and held by 85 libraries worldwide
"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 strategy is general, and allows the EMRS to vary arbitrarily over time. A novel feature of our technique is that it relies upon exploiting idiosyncratic risk, since theory dictates that idiosyncratic shocks earn the EMRS. We apply our methodology to two different data sets: monthly data from 1994 through 2003, and daily data for 2003. Both data sets include assets from three different markets: the New York Stock Exchange, the NASDAQ, and the Toronto Stock Exchange. For both monthly and daily frequencies, we find plausible estimates of EMRS with considerable precision and time-series volatility. We then use these estimates to test for asset integration, both within and between stock markets. We find that all three markets seem to be internally integrated in the sense that different assets traded on a given market share the same EMRS. The technique is also powerful enough to reject integration between the three stock markets, and between stock and money markets"--National Bureau of Economic Research web site
Speculative attacks : fundamentals and self-fulfilling prophecies by Robert P Flood( Book )
12 editions published in 1996 in English and held by 85 libraries worldwide
Abstract: 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 sterilized by the domestic monetary authority, we incorporate a stochastic risk premium, and we allow for some price stickiness. The modified model shows that macroeconomic policies inconsistent in the longer run with a fixed exchange rate can push the economy inevitably towards a currency crisis, but it also demonstrates how a government currently following consistent macroeconomic policies can suddenly face a speculative attack triggered by a large shift in speculative opinion. However, the ability of a sudden shift in speculative opinion to trigger an attack is bounded by the position of fundamentals. Thus an attack does not require a later change in policies to make it profitable
Collapsing exchange rate regimes : another linear example by Robert P Flood( Book )
10 editions published in 1995 in English and held by 84 libraries worldwide
Abstract: 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 disruption caused by the attack. This assumption is grossly at odds with actual experience where monetary-base implications of the attacks are usually sterilized. Such sterilization renders the standard monetary-approach attack model unable to provide intellectual guidance to recent attack episodes. In this paper we describe the problems with the standard model and develop a version of the portfolio-balance exchange rate model that allows the study of episodes with sterilization. Sterilized attacks may be regarded as a laboratory test of the monetary versus portfolio-balance exchange rate models. The monetary model fails the test. These issues are motivated by reference to the December 1994 collapse of the Mexican peso
Speculative attacks and models of balance-of-payments crises by Pierre-Richard Agénor( Book )
14 editions published in 1991 in English and held by 79 libraries worldwide
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 developed. The basic framework is then extended to deal with a variety of issues, such as: alternative post-collapse regimes, uncertainty, real sector effects, external borrowing and capital controls, imperfect asset substitutability, sticky prices, and endogenous policy switches. Empirical evidence on the collapse of exchange rate regimes is also examined, and the major implications of the analysis for macroeconomic policy discussed
Gold monetization and gold discipline by Robert P Flood( Book )
3 editions published in 1981 in English and held by 79 libraries worldwide
The size and timing of devaluations in capital-controlled developing economies by Robert P Flood( Book )
10 editions published in 1994 in English and held by 79 libraries worldwide
Exchange-rate regimes in transition : Italy 1974 by Robert P Flood( Book )
4 editions published in 1981 in English and held by 77 libraries worldwide
An empirical exploration of exchange rate target-zones by Robert P Flood( Book )
14 editions published between 1990 and 1991 in English and held by 72 libraries worldwide
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 the European Monetary System are used to explore the importance of non-linearities in the relationship between the exchange rates and fundamentals. Many implications of existing "target-zone" exchange rate models are tested; little support is found for existing non-linear models of limited exchange rate flexibility
The linkage between speculative attack and target zone models of exchange rates by Robert P Flood( Book )
12 editions published between 1989 and 2002 in English and held by 62 libraries worldwide
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 consist of linking the recent developments in the theory of target zones to the mirror-image theory of speculative attacks on asset price fixing regimes and in using aspects of that linkage to give an intuitive interpretation to the smooth pasting" condition usually invoked as a terminal condition
Risk neutrality and the two-tier foreign exchange market : evidence from Belgium by Robert P Flood( Book )
10 editions published in 1989 in English and held by 58 libraries worldwide
Most of the literature on two-tier exchange markets is built around models in which domestic policy can exert a powerful influence on the spread between the current account exchange rate and the capital account exchange rate. We show that if optimizing agents are risk neutral, domestic policy has no significant influence on the spread. Our work with Belgian data suggests that a nsk neutral specification for Belgian residents acting in the two-tier market is hard to reject, and we also find evidence that domestic variables do not affect the Belgian spread
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Alternative Names
Flood, Bob 1949-
Flood, R. 1949-
Flood, R. P. 1949-
Flood, Robert 1949-
Flood, Robert Philip 1949- jun
Flood, Robert Philip Jr 1949-
Flood, Robert Philip jun. 1949-
English (239)
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