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Flood, Robert P.

Works: 109 works in 638 publications in 1 language and 6,894 library holdings
Roles: Author, Honoree, Dedicatee
Classifications: HB1, 330
Publication Timeline
Publications about Robert P Flood
Publications by Robert P Flood
Most widely held works about Robert P Flood
Most widely held works by Robert P Flood
Speculative bubbles, speculative attacks, and policy switching by Robert P Flood( Book )
13 editions published between 1994 and 1997 in English and held by 452 libraries worldwide
International finance and financial crises : essays in honor of Robert P. Flood, Jr. by Peter Isard( Book )
14 editions published between 1999 and 2000 in English and Undetermined and held by 237 libraries worldwide
This book contains the proceedings of a conference held in honor of Robert P. Flood Jr. Contributors to the conference were invited to address many of the topics that Robert Flood has explored including regime switching, speculative attacks, bubbles, stock market voloatility, macro models with nominal rigidities, dual exchange rates, target zones, and rules versus discretion in monetary policy. The results, contained in this volume, include five papers on topics in international finance
Perspectives on the recent currency crisis literature by Robert P Flood( Book )
25 editions published in 1998 in English and Undetermined and held by 108 libraries worldwide
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
Fixing exchange rates : a virtual quest for fundamentals by Robert P Flood( Book )
28 editions published between 1992 and 2000 in English and Undetermined and held by 95 libraries worldwide
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
Fixes : of the forward discount puzzle by Robert P Flood( Book )
19 editions published between 1994 and 1995 in English and Undetermined and held by 92 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.'
Financial integration : a new methodology and an illustration by Robert P Flood( Book )
29 editions published between 2003 and 2004 in English and held by 91 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
Issues concerning nominal anchors for monetary policy by Robert P Flood( Book )
17 editions published in 1994 in English and Undetermined and held by 84 libraries worldwide
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
Speculative attacks : fundamentals and self-fulfilling prophecies by Robert P Flood( Book )
15 editions published in 1996 in English and held by 72 libraries worldwide
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
The size and timing of devaluations in capital-controlled developing economies by Robert P Flood( Book )
11 editions published in 1994 in English and held by 65 libraries worldwide
Collapsing exchange rate regimes : another linear example by Robert P Flood( Book )
11 editions published in 1995 in English and held by 64 libraries worldwide
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
Estimating the expected marginal rate of substitution : exploiting idiosyncratic risk by Robert P Flood( Book )
18 editions published between 2004 and 2005 in English and held by 63 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
Speculative attacks and models of balance-of-payments crises by Pierre-Richard Agénor( Book )
17 editions published in 1991 in English and Undetermined and held by 63 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
An empirical exploration of exchange rate target-zones by Robert P Flood( Book )
16 editions published between 1990 and 1991 in English and held by 55 libraries worldwide
In the context of a flexible-price monetary 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 nonlinearities 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 nonlinear models of limited exchange rate flexibility
Uncovered interest parity in crisis : the interest rate defense in the 1990s by Robert P Flood( Book )
17 editions published in 2001 in English and Undetermined and held by 48 libraries worldwide
This Paper tests for uncovered interest parity (UIP) using daily data for twenty-three developing and developed countries through the crisis-strewn 1990s. We find that UIP works better on average in the 1990s than in previous eras in the sense that the slope coefficient from a regression of exchange rate changes on interest differentials yields a positive coefficient (which is sometimes insignificantly different from unity). UIP works systematically worse for fixed and flexible exchange rate countries than for crisis countries, but we find no significant differences between rich and poor countries. Finally, we find evidence that varies considerably across countries and time, but is usually weakly consistent with an effective ‘interest rate defense’ of the exchange rate
The linkage between speculative attack and target zone models of exchange rates by Robert P Flood( Book )
14 editions published in 1989 in English and held by 48 libraries worldwide
In this paper we generalize the target zone exchange rate as model formalized by Krugman (1988b). 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 often invoked as a terminal condition. We aim to unify these tow literatures by showing that the solution concepts in both are identical
A model of stochastic process switching by Robert P Flood( Book )
12 editions published between 1981 and 1986 in English and held by 22 libraries worldwide
In this paper we develop a rational expectations exchange rate model which is capable of confronting explicitly agents' beliefs about a future switch in exogenous driving processes. In our set-up the agents know with certainty both the initial exogenous process and the new process to be adopted when the switch occurs. However, they do not know with certainty the timing of future switch as it depends on the path followed by the (stochastic) exchange rate. The model is discussed in terms of the British return to pre-war parity, in 1925. However, our results are applicable to a variety of situations where process switching depends on the motion of a key endogenous variable
Gold monetization and gold discipline by Robert P Flood( Book )
10 editions published between 1980 and 1981 in English and held by 21 libraries worldwide
The paper is a study of the price level and relative price effects of a policy to monetize gold and fix its price at a given future time and at the then prevailing nominal price. Price movements are analyzed both during the transition to the gold standard and during the post-monetization period. The paper also explores the adjustments to fiat money which are necessary to ensure that this type of gold monetization is non-inflationary. Finally, some conditions which produce a run on the government's gold stock leading to the collapse of the gold standard and the timing of such a run are examined
Getting shut out of the international capital markets : it doesn't take much by Robert P Flood( Book )
9 editions published in 2006 in English and held by 14 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
Exchange-rate regimes in transition : Italy 1974 by Robert P Flood( Book )
6 editions published in 1981 in English and Undetermined and held by 13 libraries worldwide
International risk sharing during the globalization era by Robert P Flood( Book )
13 editions published between 2004 and 2009 in English and Undetermined and held by 13 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
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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-
Robert P. Flood American economist
Robert P. Flood Amerikaans econoom
Robert P. Flood US-amerikanischer Nationalökonom
English (307)
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