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Tests of rational expectations and no risk premium in forward exchange markets

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Author Info
Hsieh, David A.
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File URL: http://www.sciencedirect.com/science/article/B6V6D-4C9BX60-10/2/837eec5be14152575249b7a7d98fe47d
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Article provided by Elsevier in its journal Journal of International Economics.

Volume (Year): 17 (1984)
Issue (Month): 1-2 (August)
Pages: 173-184
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Handle: RePEc:eee:inecon:v:17:y:1984:i:1-2:p:173-184

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Web page: http://www.elsevier.com/locate/inca/505552

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  1. Robert J. Hodrick & Sanjay Srivastava, 1985. "Foreign Currency Futures," NBER Working Papers 1743, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. repec:ese:iserwp: is not listed on IDEAS
  3. Andreas Fischer, 1989. "Interpreting the Term Structure of Interest Rates Using Weekly Money Announcements," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 125(I), pages 43-53, March. [Downloadable!]
  4. John Y. Campbell & Richard H. Clarida, 1985. "The Term Structure of Euromarket Interest Rates: An Empirical Investigation," Cowles Foundation Discussion Papers 772R, Cowles Foundation, Yale University, revised Feb 1986. [Downloadable!]
    Other versions:
  5. W A Razzak, 1998. "The forward rate unbiasedness hypothesis in inflation-targeting regimes," Reserve Bank of New Zealand Discussion Paper Series G99/3, Reserve Bank of New Zealand, revised Aug 1999. [Downloadable!]
  6. David S. Bates, 1993. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options," NBER Working Papers 4596, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  7. Eduardo José Araújo Lima & Benjamin Miranda Tabak, 2008. "Exchange Rate Dynamics and the Relationship between the Random Walk Hypothesis and Official Interventions," Working Papers Series 173, Central Bank of Brazil, Research Department. [Downloadable!]
  8. Richard E. Baldwin, 1990. "Re-Interpreting the Failure of Foreign Exchange Market Efficiency Tests:Small Transaction Costs, Big Hysteresis Bands," NBER Working Papers 3319, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  9. Michael W. Brandt & Pedro Santa-Clara, 2001. "Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets," NBER Technical Working Papers 0274, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  10. Jeffrey A. Frankel, 1988. "Recent Estimates of Time-Variation in the Conditional Variance and in the Exchange Risk Premium," NBER Working Papers 2367, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  11. Alina Piciorea, 2008. "Forward Premium Puzzle: Futures Contracts Evidence and Speculation Strategies," Advances in Economic and Financial Research - DOFIN Working Paper Series 8, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB. [Downloadable!]
  12. Kerstin Bernoth & Juergen von Hagen & Casper de Vries, 2007. "The Forward Premium Puzzle: new evidence from futures contracts," DNB Working Papers 125, Netherlands Central Bank, Research Department. [Downloadable!]
  13. Fernando González & Simo Launonen, 2005. "Towards European monetary integration - the evolution of currency risk premium as a measure for monetary convergence prior to the implementation of currency unions," Working Paper Series 569, European Central Bank. [Downloadable!]
  14. Daal, Elton, 2004. "Quadratic term structure models with jumps in incomplete currency markets," Working Papers 2004-04, University of New Orleans, Department of Economics and Finance. [Downloadable!]
  15. Charles Engel & Anthony P. Rodrigues, 1987. "Tests of International CAPM with Time-Varying Covariances," NBER Working Papers 2303, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  16. Shang-Jin Wei & Jeffrey A. Frankel, 1991. "Are Option-Implied Forecasts of Exchange Rate Volatility Excessively Variable?," NBER Working Papers 3910, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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