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In search of the exchange risk premium: A six-currency test assuming mean-variance optimization

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Frankel, Jeffrey A.

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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 1 (1982)
Issue (Month): 1 (January)
Pages: 255-274
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Handle: RePEc:eee:jimfin:v:1:y:1982:i::p:255-274

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

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  1. Lars E.O. Svensson, 1991. "Target Zones and Interest Rate Variability," NBER Working Papers 3218, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Paul Fenton & Alain Paquet, 1997. "International Interest Rate Differentials: The Interaction with Fiscal and Monetary Variables, and the Business Cycle," Cahiers de recherche CREFE / CREFE Working Papers 56, CREFE, Université du Québec à Montréal, revised Jan 1998. [Downloadable!]
  3. 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)
  4. Michael Bordo & Anna Schwartz, 1991. "What has foreign exchange market intervention since the Plaza Agreement accomplished?," Open Economies Review, Springer, vol. 2(1), pages 39-64, February. [Downloadable!] (restricted)
  5. 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)
    Other versions:
  6. Jeffrey A. Frankel, 1988. "Recent Estimates of Time-Variation in the Conditional Variance and in the Exchange Risk Premium," NBER Working Papers 2367, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  7. Fernando González & Simo Launonen, 2005. "Towards European monetary integration - the evolution of currency risk premium as a measure for monetary convergence prior to the implementation of currency unions," Working Paper Series 569, European Central Bank. [Downloadable!]
  8. Shujing Li & Isabel K. Yan & Hamid Faruqee, 2004. "The Determinants of International Portfolio Holdings and Home Bias," IMF Working Papers 04/34, International Monetary Fund. [Downloadable!]
  9. Charles Engel & Anthony P. Rodrigues, 1994. "A Test of International CAPM," NBER Working Papers 2054, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  10. Lars E.O. Svensson, 1990. "The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk," NBER Working Papers 3466, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  11. Richard Meese & Kenneth Rogoff, 1989. "Was it Real? The Exchange Rate-Interest Differential Relation, 1973-1984," NBER Working Papers 1732, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  12. Jeffrey A. Frankel & William T. Dickens, 1986. "Are Asset Demand Functions Determined by CAPM?," NBER Working Papers 1113, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  13. Jeffrey A. Frankel, 1986. "International Capital Mobility and Crowding Out in the U.S. Economy: Imperfect Integration of Financial Markets or of Goods Markets?," NBER Working Papers 1773, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  14. Alberto Giovannini & Philippe Jorion, 1989. "The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets," NBER Working Papers 2573, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  15. Michael D. Bordo & Anna J. Schwartz, 1991. "What has Foreign Market Intervention Since the Plaza Agreement Accomplished?," NBER Working Papers 3562, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  16. Jeffrey A. Frankel, 1994. "The Internationalization of Equity Markets," NBER Working Papers 4590, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  17. Sebastian Edwards, 1983. "Money, the Rate of Devaluation and Interest Rates in a Semi-Open Economy: Columbia 1986-1982," UCLA Economics Working Papers 316, UCLA Department of Economics. [Downloadable!]
  18. Charles Engel & Jeffrey A. Frankel & Kenneth A. Froot & Anthony P. Rodrigues, 1989. "Conditional Mean-Variance Efficiency of the U.S. Stock Market," NBER Working Papers 2890, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  19. 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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