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Exchange rate volatility and its impact on the transaction costs of covered interest rate parity

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  • Bhar, Ramprasad
  • Kim, Suk-Joong
  • Pham, Toan M.

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File URL: http://www.sciencedirect.com/science/article/B6VF1-4B5JR9P-1/2/2830b5874137ca2b90b30258df3743cf
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Bibliographic Info

Article provided by Elsevier in its journal Japan and the World Economy.

Volume (Year): 16 (2004)
Issue (Month): 4 (December)
Pages: 503-525

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Handle: RePEc:eee:japwor:v:16:y:2004:i:4:p:503-525

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Web page: http://www.elsevier.com/locate/inca/505557

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References

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  1. Rene M. Stulz, 1994. "International Portfolio Choice and Asset Pricing: An Integrative Survey," NBER Working Papers 4645, National Bureau of Economic Research, Inc.
  2. Nathan S. Balke & Mark E. Wohar, 1997. "Nonlinear dynamics and covered interest rate parity," Working Papers 9701, Federal Reserve Bank of Dallas.
  3. Frenkel, Jacob A & Levich, Richard M, 1977. "Transaction Costs and Interest Arbitrage: Tranquil versus Turbulent Periods," Journal of Political Economy, University of Chicago Press, vol. 85(6), pages 1209-26, December.
  4. Backus, David K & Gregory, Allan W & Telmer, Chris I, 1993. " Accounting for Forward Rates in Markets for Foreign Currency," Journal of Finance, American Finance Association, vol. 48(5), pages 1887-1908, December.
  5. Aliber, Robert Z, 1973. "The Interest Rate Parity Theorem: A Reinterpretation," Journal of Political Economy, University of Chicago Press, vol. 81(6), pages 1451-59, Nov.-Dec..
  6. Hodrick, Robert J., 1989. "Risk, uncertainty, and exchange rates," Journal of Monetary Economics, Elsevier, vol. 23(3), pages 433-459, May.
  7. Geert Bekaert, 1996. "The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective," NBER Working Papers 4818, National Bureau of Economic Research, Inc.
  8. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  9. Levi, Maurice D, 1977. "Taxation and "Abnormal" International Capital Flows," Journal of Political Economy, University of Chicago Press, vol. 85(3), pages 635-46, June.
  10. Frenkel, Jacob A. & Levich, Richard M., 1981. "Covered interest arbitrage in the 1970's," Economics Letters, Elsevier, vol. 8(3), pages 267-274.
  11. Frenkel, Jacob A & Levich, Richard M, 1975. "Covered Interest Arbitrage: Unexploited Profits?," Journal of Political Economy, University of Chicago Press, vol. 83(2), pages 325-38, April.
  12. Taylor, Mark P, 1987. "Covered Interest Parity: A High-Frequency, High-Quality Data Study," Economica, London School of Economics and Political Science, vol. 54(216), pages 429-38, November.
  13. Peel, David A & Taylor, Mark P, 2002. "Covered Interest Rate Arbitrage in the Interwar Period and the Keynes-Einzig Conjecture," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(1), pages 51-75, February.
  14. Mark, Nelson C., 1988. "Time-varying betas and risk premia in the pricing of forward foreign exchange contracts," Journal of Financial Economics, Elsevier, vol. 22(2), pages 335-354, December.
  15. Bansal, Ravi & Gallant, A. Ronald & Hussey, Robert & Tauchen, George, 1995. "Nonparametric estimation of structural models for high-frequency currency market data," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 251-287.
  16. Bollen, Nicolas P. B. & Gray, Stephen F. & Whaley, Robert E., 2000. "Regime switching in foreign exchange rates: Evidence from currency option prices," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 239-276.
  17. Taylor, Mark P, 1989. "Covered Interest Arbitrage and Market Turbulence," Economic Journal, Royal Economic Society, vol. 99(396), pages 376-91, June.
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Citations

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Cited by:
  1. West, Kenneth D., 2012. "Econometric analysis of present value models when the discount factor is near one," Journal of Econometrics, Elsevier, vol. 171(1), pages 86-97.
  2. Hall, Yosuke & Kim, Suk-Joong, 2009. "What drives Yen interventions in Tokyo?: Do off-shore foreign exchange markets matter more than Tokyo market?," Pacific-Basin Finance Journal, Elsevier, vol. 17(2), pages 175-188, April.

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