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ERM effects on currency spot and futures markets

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  • Inci, Ahmet Can
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    Article provided by Elsevier in its journal Global Finance Journal.

    Volume (Year): 16 (2005)
    Issue (Month): 2 (December)
    Pages: 145-163

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    Handle: RePEc:eee:glofin:v:16:y:2005:i:2:p:145-163

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    Web page: http://www.elsevier.com/locate/inca/620162

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    1. Alexius, Annika, 2000. "UIP for Short Investments in Long-Term Bonds," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) 115, Sveriges Riksbank (Central Bank of Sweden).
    2. Bartolini, Leonardo & Prati, Alessandro, 1999. "Soft exchange rate bands and speculative attacks: theory, and evidence from the ERM since August 1993," Journal of International Economics, Elsevier, Elsevier, vol. 49(1), pages 1-29, October.
    3. Kim, Soyoung, 2002. "Exchange rate stabilization in the ERM: identifying European monetary policy reactions," Journal of International Money and Finance, Elsevier, Elsevier, vol. 21(3), pages 413-434, June.
    4. De Bandt, Olivier & Hartmann, Philipp, 2000. "Systemic risk: A survey," Working Paper Series, European Central Bank 0035, European Central Bank.
    5. Hsieh, David A., 1993. "Using non-linear methods to search for risk premia in currency futures," Journal of International Economics, Elsevier, Elsevier, vol. 35(1-2), pages 113-132, August.
    6. Juan Ayuso & Maria Perez-Jurado, 1997. "Devaluations and depreciation expectations in the EMS," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 29(4), pages 471-484.
    7. Doukas, John & Rahman, Abdul, 1987. "Unit Roots Tests: Evidence from the Foreign Exchange Futures Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 22(01), pages 101-108, March.
    8. Bernhardsen, Tom, 2000. "The relationship between interest rate differentials and macroeconomic variables: a panel data study for European countries," Journal of International Money and Finance, Elsevier, Elsevier, vol. 19(2), pages 289-308, April.
    9. Frankel, Jeffrey A, 1979. "On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials," American Economic Review, American Economic Association, American Economic Association, vol. 69(4), pages 610-22, September.
    10. Mussa, Michael, 1997. "Political and Institutional Commitment to a Common Currency," American Economic Review, American Economic Association, American Economic Association, vol. 87(2), pages 217-20, May.
    11. Söderlind, Paul, 1997. "Market Expectations in the UK Before and After the ERM Crisis," Working Paper Series in Economics and Finance, Stockholm School of Economics 210, Stockholm School of Economics, revised 01 Sep 1998.
    12. Alberto Giovannini, 1990. "European Monetary Reform: Progress and Prospects," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, Economic Studies Program, The Brookings Institution, vol. 21(2), pages 217-292.
    13. Tse, Yiuman & Booth, G Geoffrey, 1996. "Risk Premia in Foreign Currency Futures: A Reexamination," The Financial Review, Eastern Finance Association, Eastern Finance Association, vol. 31(3), pages 521-34, August.
    14. David K. Backus, 2001. "Affine Term Structure Models and the Forward Premium Anomaly," Journal of Finance, American Finance Association, American Finance Association, vol. 56(1), pages 279-304, 02.
    15. Campa, Jose M & Chang, P H Kevin, 1998. "ERM Realignment Risk and Its Economic Determinants as Reflected in Cross-Rate Options," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 108(449), pages 1046-66, July.
    16. Angelos Kanas, 1997. "The monetary exchange rate model within the ERM: cointegration tests and implications concerning the German dominance hypothesis," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 7(6), pages 587-598.
    17. Taylor, Stephen J, 1992. "Rewards Available to Currency Futures Speculators: Compensation for Risk or Evidence of Inefficient Pricing?," The Economic Record, The Economic Society of Australia, The Economic Society of Australia, vol. 0(0), pages 105-16, Supplemen.
    18. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, MIT Press, vol. 69(3), pages 542-47, August.
    19. Inci, Ahmet Can & Lu, Biao, 2004. "Exchange rates and interest rates: can term structure models explain currency movements?," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 28(8), pages 1595-1624, June.
    20. Laopodis, Nikiforos T, 2002. "Distributional Properties of EMS and Non-EMS Exchange Rates before and after German Reunification," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 7(4), pages 339-53, October.
    21. Miller, Marcus & Zhang, Lei, 1994. "Optimal Target Zones: How an Exchange Rate Mechanism Can Improve Upon Discretion," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1031, C.E.P.R. Discussion Papers.
    22. Guy Meredith & Menzie D. Chinn, 1998. "Long-Horizon Uncovered Interest Rate Parity," NBER Working Papers 6797, National Bureau of Economic Research, Inc.
    23. Mark J. Holmes, 2002. "Exchange rate regimes and economic convergence in the European Union," Journal of Economic Studies, Emerald Group Publishing, Emerald Group Publishing, vol. 29(1), pages 6-20, January.
    24. Ayuso, Juan & Restoy, Fernando, 1996. "Interest rate parity and foreign exchange risk premia in the ERM," Journal of International Money and Finance, Elsevier, Elsevier, vol. 15(3), pages 369-382, June.
    25. Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, Elsevier, vol. 14(3), pages 319-338, November.
    26. Cerny, Ales, 1999. "Currency Crises: Introduction of Spot Speculators," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 4(1), pages 75-90, January.
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    Cited by:
    1. Inci, Ahmet Can, 2008. "The Japanese yen futures returns, spot returns, and the risk premium," Global Finance Journal, Elsevier, Elsevier, vol. 18(3), pages 385-399.

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