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Macroeconomic uncertainty and the risk premium in the foreign exchange market1

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  • HU, XIAOQIANG
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    Article provided by Elsevier in its journal Journal of International Money and Finance.

    Volume (Year): 16 (1997)
    Issue (Month): 5 (September)
    Pages: 699-718

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    Handle: RePEc:eee:jimfin:v:16:y:1997:i:5:p:699-718

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    Web page: http://www.elsevier.com/locate/inca/30443

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    Cited by:
    1. Aroskar, Raj & Sarkar, Salil K. & Swanson, Peggy E., 2004. "European foreign exchange market efficiency: Evidence based on crisis and noncrisis periods," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 333-347.
    2. Jiménez-Martín, Juan-Ángel & Cinca, Alfonso Novales, 2010. "State-uncertainty preferences and the risk premium in the exchange rate market," Economic Modelling, Elsevier, vol. 27(5), pages 1043-1053, September.
    3. Juan-Ángel Jiménez-Martín & Rodrigo Peruga Urrea, 2004. "Macroeconomic and policy uncertainty and Exchange rate risk Premium," Documentos de Trabajo del ICAE 0412, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    4. Thomas Chiang & Sheng-Yung Yang, 2005. "International Asset Excess Returns and Multivariate Conditional Volatilities," Review of Quantitative Finance and Accounting, Springer, vol. 24(3), pages 295-312, May.
    5. Landon, Stuart & Smith, Constance, 1999. "The risk premium, exchange rate expectations, and the forward exchange rate: Estimates for the Yen-Dollar rate," MPRA Paper 9775, University Library of Munich, Germany.
    6. 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.
    7. Juan-Ángel Jiménez-Martín & Rafael Flores de Frutos, 2004. "The Fit of Dynamic Equilibrium Models of Exchange Rate," Documentos de Trabajo del ICAE 0411, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

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