ERM effects on currency spot and futures markets
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Global Finance Journal.
Volume (Year): 16 (2005)
Issue (Month): 2 (December)
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/620162
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Juan Ayuso & Maria Perez-Jurado, 1997. "Devaluations and depreciation expectations in the EMS," Applied Economics, Taylor & Francis Journals, vol. 29(4), pages 471-484.
- 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, vol. 7(6), pages 587-598.
- Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
- Tse, Yiuman & Booth, G Geoffrey, 1996. "Risk Premia in Foreign Currency Futures: A Reexamination," The Financial Review, Eastern Finance Association, vol. 31(3), pages 521-34, August.
- 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, vol. 49(1), pages 1-29, October.
- Leonardo Bartolini & Alessandro Prati, 1998. "Soft exchange rate bands and speculative attacks: theory and evidence from the ERM since August 1993," Staff Reports 43, Federal Reserve Bank of New York.
- 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, vol. 0(0), pages 105-16, Supplemen.
- De Bandt, Olivier & Hartmann, Philipp, 2000.
"Systemic risk: A survey,"
Working Paper Series
0035, European Central Bank.
- Mussa, Michael, 1997. "Political and Institutional Commitment to a Common Currency," American Economic Review, American Economic Association, vol. 87(2), pages 217-20, May.
- Frankel, Jeffrey A, 1979. "On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials," American Economic Review, American Economic Association, vol. 69(4), pages 610-22, September.
- 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, vol. 28(8), pages 1595-1624, June.
- Miller, Marcus & Zhang, Lei, 1996.
"Optimal target zones: How an exchange rate mechanism can improve upon discretion,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 20(9-10), pages 1641-1660.
- Miller, Marcus & Zhang, Lei, 1994. "Optimal Target Zones: How an Exchange Rate Mechanism Can Improve Upon Discretion," CEPR Discussion Papers 1031, C.E.P.R. Discussion Papers.
- David K. Backus, 2001. "Affine Term Structure Models and the Forward Premium Anomaly," Journal of Finance, American Finance Association, vol. 56(1), pages 279-304, 02.
- Alexius, Annika, 2000. "UIP for Short Investments in Long-Term Bonds," Working Paper Series 115, Sveriges Riksbank (Central Bank of Sweden).
- 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., vol. 7(4), pages 339-53, October.
- 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, vol. 19(2), pages 289-308, April.
- Doukas, John & Rahman, Abdul, 1987. "Unit Roots Tests: Evidence from the Foreign Exchange Futures Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 101-108, March.
- Kim, Soyoung, 2002. "Exchange rate stabilization in the ERM: identifying European monetary policy reactions," Journal of International Money and Finance, Elsevier, vol. 21(3), pages 413-434, June.
- Cerny, Ales, 1999. "Currency Crises: Introduction of Spot Speculators," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 4(1), pages 75-90, January.
- Hsieh, David A., 1993. "Using non-linear methods to search for risk premia in currency futures," Journal of International Economics, Elsevier, vol. 35(1-2), pages 113-132, August.
- Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August.
- Alberto Giovannini, 1990. "European Monetary Reform: Progress and Prospects," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 21(2), pages 217-292.
- Söderlind, Paul, 1997.
"Market Expectations in the UK Before and After the ERM Crisis,"
Working Paper Series in Economics and Finance
210, Stockholm School of Economics, revised 01 Sep 1998.
- Soderlind, Paul, 2000. "Market Expectations in the UK before and after the ERM Crisis," Economica, London School of Economics and Political Science, vol. 67(265), pages 1-18, February.
- 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, vol. 108(449), pages 1046-66, July.
- Mark J. Holmes, 2002. "Exchange rate regimes and economic convergence in the European Union," Journal of Economic Studies, Emerald Group Publishing, vol. 29(1), pages 6-20, January.
- Ayuso, Juan & Restoy, Fernando, 1996. "Interest rate parity and foreign exchange risk premia in the ERM," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 369-382, June.
- Guy Meredith & Menzie D. Chinn, 1998. "Long-Horizon Uncovered Interest Rate Parity," NBER Working Papers 6797, National Bureau of Economic Research, Inc.
- Inci, Ahmet Can, 2008. "The Japanese yen futures returns, spot returns, and the risk premium," Global Finance Journal, Elsevier, vol. 18(3), pages 385-399.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.