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Exchange rate volatility and deviations from unbiasedness in a cash-in-advance model

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Author Info
Bekaert, Geert

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

Volume (Year): 36 (1994)
Issue (Month): 1-2 (February)
Pages: 29-52
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Handle: RePEc:eee:inecon:v:36:y:1994:i:1-2:p:29-52

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

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  1. Juan Ángel Jiménez Martín & Rafael Flores de Frutos, 2004. "The Fit of Dynamic Equilibrium Models of Exchange Rate," Documentos del Instituto Complutense de Análisis Económico 0411, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
  2. 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:
  3. Sylvain Leduc, 2000. "Incomplete markets, borrowing constraints, and the foreign exchange risk premium," Working Papers 00-3, Federal Reserve Bank of Philadelphia. [Downloadable!]
    Other versions:
  4. Ram Bhar & Carl Chiarella & Toan Pham, 2000. "Modeling the Currency Forward Risk Premium: Theory and Evidence," Research Paper Series 41, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  5. repec:bep:mactop:v:6:y:2006:i:1:p:1401-1401 is not listed on IDEAS
  6. Jesús Rodríguez López & Hugo Rodríguez Mendizábal, 2006. "The optimal degree of exchange rate flexibility: A target zone approach," Working Papers 06.22, Universidad Pablo de Olavide, Department of Economics. [Downloadable!]
    Other versions:
  7. Dios Palomares, Rafaela & Martínez Paz, José Miguel & Martínezcarrasco Pleite, Federico, 2006. "Including environmental variables in the effi ciency analysis: A three-step method/El análisis de efi ciencia con variables de entorno: un método de programas con tres etapas," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 24, pages 477-497, Abril. [Downloadable!] (restricted)
  8. Jesús Rodríguez López & Hugo Rodríguez Mendizábal, 2006. "How tight should one's hands be tied? Fear of floating and credibility of exchange regimes," Working Papers 06.03, Universidad Pablo de Olavide, Department of Economics. [Downloadable!]
  9. Hollifield, Burton & Yaron, Amir, 2001. "The Foreign Exchange Risk Premium: Real and Nominal Factors," Working Papers 01-1, University of Pennsylvania, Wharton School, Weiss Center. [Downloadable!]
    Other versions:
  10. Karen K. Lewis, 1998. "International Home Bias in International Finance and Business Cycles," NBER Working Papers 6351, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  11. Geert Bekaert & Stephen F. Gray, 1999. "Target Zones and Exchange Rates: An Empirical Investigation," NBER Working Papers 5445, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  12. Geert Bekaert & Jun Liu, 2001. "Conditioning Information and Variance on Pricing Kernals," University of California at Los Angeles, Anderson Graduate School of Management 1009, Anderson Graduate School of Management, UCLA. [Downloadable!]
  13. Rui Albuquerque, 2004. "The Forward Premium Puzzle in a Model of Imperfect Information: Theory and Evidence," International Finance 0405007, EconWPA. [Downloadable!]
  14. Juan A. Lafuente & Jesús Ruiz, 2002. "The Bias For Forward Exchange Rate And The Risk Premium: An Explanation With A Stochastic And Dynamic General Equilibrium Model," Working Papers. Serie EC 2002-20, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  15. Jesus Rodriguez Lopez & Hugo Rodriguez Mendizabal, 2003. "How tight should one's hands be tied? Fear of floating and credibility of exchange rate regimes," UFAE and IAE Working Papers 593.03, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC). [Downloadable!]
  16. 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!]
    Other versions:
  17. Jesús Rodríguez López & Hugo Rodríguez Mendizábal, 2002. "On the Choice of an Exchange Regime: Target Zones Revisited," Economic Working Papers at Centro de Estudios Andaluces E2002/10, Centro de Estudios Andaluces. [Downloadable!]
  18. Jess Rodr?uez L?ez & Hugo Rodr?uez Mendiz?al, 2002. "On the Choice of an Exchange Rate Regime: Target Zones Revisited," UFAE and IAE Working Papers 518.02, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC). [Downloadable!]
  19. Jesús Rodríguez López & Hugo Rodríguez Mendizábal, 2003. "How Tight Should Central Bank’s Hands be Tied? Credibility, Volatility and the Optimal Band Width of a Target Zone," Economic Working Papers at Centro de Estudios Andaluces E2003/24, Centro de Estudios Andaluces. [Downloadable!]
  20. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2009. "Carry Trades and Global FX Volatility," MPRA Paper 14728, University Library of Munich, Germany. [Downloadable!]
  21. Roman Frydman & Michael D. Goldberg, 2002. "Imperfect Knowledge, Temporal Instability and an Uncertainty Premium: Towards a Resolution of the Excess-Returns Puzzle in the Foreign Exchange Market," Discussion Papers 02-17, University of Copenhagen. Department of Economics, revised Nov 2002. [Downloadable!]
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