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Time-varying forward bias and the expected excess return

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  • Zhu, Zhen
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Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

Volume (Year): 12 (2002)
Issue (Month): 2 (April)
Pages: 119-137

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Handle: RePEc:eee:intfin:v:12:y:2002:i:2:p:119-137

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Web page: http://www.elsevier.com/locate/intfin

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  1. Wolff, Christian C P, 1987. " Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach," Journal of Finance, American Finance Association, vol. 42(2), pages 395-406, June.
  2. 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.
  3. Bekaert, Geert & Hodrick, Robert J., 1993. "On biases in the measurement of foreign exchange risk premiums," Journal of International Money and Finance, Elsevier, vol. 12(2), pages 115-138, April.
  4. Hodrick, Robert J., 1989. "Risk, uncertainty, and exchange rates," Journal of Monetary Economics, Elsevier, vol. 23(3), pages 433-459, May.
  5. Domowitz, Ian & Hakkio, Craig S., 1985. "Conditional variance and the risk premium in the foreign exchange market," Journal of International Economics, Elsevier, vol. 19(1-2), pages 47-66, August.
  6. Charles Engel, 1996. "The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence," NBER Working Papers 5312, National Bureau of Economic Research, Inc.
  7. Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
  8. Lucas, Robert Jr., 1982. "Interest rates and currency prices in a two-country world," Journal of Monetary Economics, Elsevier, vol. 10(3), pages 335-359.
  9. William P. Osterberg, 1997. "Does intervention explain the forward discount puzzle?," Economic Review, Federal Reserve Bank of Cleveland, issue Q IV, pages 24-31.
  10. Mark, Nelson C & Wu, Yangru, 1998. "Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise," Economic Journal, Royal Economic Society, vol. 108(451), pages 1686-1706, November.
  11. Hai, Weike & Mark, Nelson C & Wu, Yangru, 1997. "Understanding Spot and Forward Exchange Rate Regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(6), pages 715-34, Nov.-Dec..
  12. Yangru Wu & Hua Zhang, 1996. "Asymmetry in forward exchange rate bias: A puzzling result," Economics Letters, Elsevier, vol. 50(3), pages 407-411, March.
  13. Baillie, Richard T. & P. Osterberg, William, 1997. "Central bank intervention and risk in the forward market," Journal of International Economics, Elsevier, vol. 43(3-4), pages 483-497, November.
  14. Kenneth A. Froot and Jeffrey A. Frankel., 1988. "Forward Discount Bias: Is It an Exchange Risk Premium?," Economics Working Papers 8874, University of California at Berkeley.
  15. Lewis, Karen K., 1995. "Puzzles in international financial markets," Handbook of International Economics, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 37, pages 1913-1971 Elsevier.
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Cited by:
  1. Lafuente, Juan Angel & Ruiz, Jesus, 2006. "Monetary policy and forward bias for foreign exchange revisited: Empirical evidence from the US-UK exchange rate," Economic Modelling, Elsevier, vol. 23(2), pages 238-264, March.
  2. Juan Ángel Lafuente & Jesús Ruiz, 2002. "Time-Varying forward Bias and the Volatility of Risk Premium: a Monetary Explanation," Documentos del Instituto Complutense de Análisis Económico 0214, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
  3. Kumar, Satish & Trück, Stefan, 2014. "Unbiasedness and risk premiums in the Indian currency futures market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 13-32.
  4. Imad A. Moosa, 2004. "What Is Wrong with Market-Based Forecasting of Exchange Rates?," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 3(2), pages 107-121, August.

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