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Non-Informative Tests of the Unbiased Forward Exchange Rate

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Author Info

  • Barnhart, Scott W.
  • McNown, Robert
  • Wallace, Myles S.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 34 (1999)
Issue (Month): 02 (June)
Pages: 265-291

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Handle: RePEc:cup:jfinqa:v:34:y:1999:i:02:p:265-291_00

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Cited by:
  1. Wagner, Christian, 2009. "Risk-Premia, Carry-Trade Dynamics, and Economic Value of Currency Speculation," MPRA Paper 21125, University Library of Munich, Germany.
  2. Guneratne Banda Wickremasinghe, 2004. "Efficiency of the Foreign Exchange Market of Papua New Guinea During the Recent Float," International Trade 0406007, EconWPA.
  3. Leon, Hyginus & Sarno, Lucio & Valente, Giorgio, 2006. "Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," CEPR Discussion Papers 5527, C.E.P.R. Discussion Papers.
  4. Guneratne Banda Wickremasinghe, 2004. "Efficiency Of Foreign Exchange Markets: A Developing Country Perspective," International Finance 0406004, EconWPA.
  5. Nagayasu, Jun, 2011. "The threshold nonstationary panel data approach to forward premiums," MPRA Paper 34265, University Library of Munich, Germany.
  6. Vipul Bhatt & Arvind Virmani, 2005. "Global integration of India's Money Market : Interest rate parity in India," Indian Council for Research on International Economic Relations, New Delhi Working Papers 164, Indian Council for Research on International Economic Relations, New Delhi, India.
  7. Daniel L. Thornton, 2009. "Resolving the unbiasedness puzzle in the foreign exchange market," Working Papers 2009-002, Federal Reserve Bank of St. Louis.
  8. Kleopatra Nikolaou & Lucio Sarno, 2005. "New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market," Money Macro and Finance (MMF) Research Group Conference 2005 77, Money Macro and Finance Research Group.
  9. Manolis Kavussanos & Ilias Visvikis & David Menachof, 2005. "The Unbiasedness Hypothesis in the Freight Forward Market: Evidence from Cointegration Tests," Review of Derivatives Research, Springer, vol. 7(3), pages 241-266, October.
  10. Christian Wagner, 2008. "Risk-Premia, Carry-Trade Dynamics, and Speculative Efficiency of Currency Markets," Working Papers 143, Oesterreichische Nationalbank (Austrian Central Bank).
  11. Liu, Ming-Hua & Margaritis, Dimitri & Tourani-Rad, Alireza, 2008. "Monetary policy transparency and pass-through of retail interest rates," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 501-511, April.
  12. Nagayasu, Jun, 2012. "Long-Run Implications of the Covered Interest Rate Parity Condition: Evidence during the Recent Crisis and Non-Crisis Periods," MPRA Paper 41566, University Library of Munich, Germany.
  13. Martin Cincibuch & David Vavra, 2004. "Testing for the uncovered interest parity using distributions implied by FX options," Money Macro and Finance (MMF) Research Group Conference 2003 16, Money Macro and Finance Research Group.

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