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Testing for the absence of expected real profits from forward market speculation

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Author Info
Engel, Charles M.

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Article provided by Elsevier in its journal Journal of International Economics.

Volume (Year): 17 (1984)
Issue (Month): 3-4 (November)
Pages: 299-308
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Handle: RePEc:eee:inecon:v:17:y:1984:i:3-4:p:299-308

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

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  1. Nelson C. Mark & Yangru Wu, 1996. "Risk, Policy Rules, and Noise: Rethinking Deviations From Uncovered Interest Parity," Working Papers 014, Ohio State University, Department of Economics. [Downloadable!]
    Other versions:
  2. Alexius, Annika & Sellin, Peter, 2002. "Exchange rates and long-term bonds," Working Paper Series 2002:7, Uppsala University, Department of Economics, revised Mar 2006. [Downloadable!]
  3. Sonia Pangusión Espinosa., . "Testing Uncovered Interest Rate Parity: The Spanish case," Studies on the Spanish Economy 128, FEDEA. [Downloadable!]
  4. Lars Hörngren & Anders Vredin, 1989. "Exchange risk premia in a currency basket system," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 125(2), pages 311-325, June. [Downloadable!] (restricted)
  5. Sylvain Leduc, 2000. "Incomplete markets, borrowing constraints, and the foreign exchange risk premium," Working Papers 00-3, Federal Reserve Bank of Philadelphia. [Downloadable!]
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  6. 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!]
  7. 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)
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  8. Charles Engel, 1999. "On the Foreign Exchange Risk Premium in Sticky-Price General Equilibrium Models," International Tax and Public Finance, Springer, vol. 6(4), pages 491-505, November. [Downloadable!] (restricted)
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  9. Robert J. Hodrick & Sanjay Srivastava, 1986. "The Covariation of Risk Premiums and Expected Future Spot Exchange Rates," NBER Working Papers 1749, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  10. Nelson Mark & Yangru Wu, 1998. "Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise," Working Papers 98-05, Ohio State University, Department of Economics. [Downloadable!]
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  11. Aaron Edlin, 2002. "Forward Discount Bias, Nalebuff's Envelope Puzzle, and the Siegel Paradox in Foreign Exchange," Topics in Theoretical Economics, Berkeley Electronic Press, vol. 2(1), pages 1032-1032. [Downloadable!] (restricted)
  12. Jeffrey A. Frankel & Charles Engel, 1985. "Do Asset-Demand Functions Optimize over the Mean and Variance of Real Returns? A Six-Currency Test," NBER Working Papers 1051, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  13. Charles Engel & Anthony P. Rodrigues, 1994. "A Test of International CAPM," NBER Working Papers 2054, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  14. Charles Engel, 1993. "Tests of CAPM on an International Portfolio of Bonds and Stocks," NBER Working Papers 4598, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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