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Interest rates and risk premia in the stock market and in the foreign exchange market

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Giovannini, Alberto
Jorion, Philippe

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File URL: http://www.sciencedirect.com/science/article/B6V9S-45CWXF6-8/2/44ecbca16f6e5343d50f1b699de6c7f5
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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 6 (1987)
Issue (Month): 1 (March)
Pages: 107-123
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Handle: RePEc:eee:jimfin:v:6:y:1987:i:1:p:107-123

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

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  1. 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:
  2. Earl L. Grinols & Stephen J. Turnovsky, 1991. "Stochastic Equilibrium and Exchange Rate Determination in a Small Open Economy with Risk Averse Optimizing Agents," NBER Working Papers 3651, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. Charles Engel & Anthony P. Rodrigues, 1987. "Tests of International CAPM with Time-Varying Covariances," NBER Working Papers 2303, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. Richard K. Lyons, 1986. "Tests of the foreign exchange risk premium using the expected second moments implied by option pricing," International Finance Discussion Papers 290, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:
  5. Karen K. Lewis, 1991. "Should the Holding Period Matter for the Intertemporal Consumption-BasedCAPM?," NBER Working Papers 3583, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. THOMAS C. CHIANG & JOSÉ A. TRINIDAD, 1997. "Risk And International Parity Conditions: A Synthesis From Consumption-Based Models," International Economic Journal, Korean International Economic Association, vol. 11(2), pages 73-101, June. [Downloadable!] (restricted)
  7. Chihwa Kao, 2001. "Some New Approaches to Formulate and Estimate Friction-Bernoulli Jump Diffusion and Friction-GARCH," Center for Policy Research Working Papers 35, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
  8. Aliyu, Shehu Usman Rano, 2009. "Stock Prices and Exchange Rate Interactions in Nigeria: An Intra-Global Financial Crisis Maiden Investigation," MPRA Paper 13283, University Library of Munich, Germany, revised 09 Feb 2009. [Downloadable!]
  9. 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)
  10. Alberto Giovannini & Pamela Labadie, 1989. "Asset Prices and Interest Rates in Cash-In-Advance Models," NBER Working Papers 3109, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  11. 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:
  12. Ross Levine, 1988. "The forward exchange rate bias: a new explanation," International Finance Discussion Papers 338, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  13. Kenneth A. Froot, 1990. "Short Rates and Expected Asset Returns," NBER Working Papers 3247, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  14. 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. [Downloadable!] (restricted)
  15. Alberto Giovannini, 1989. "Uncertainty and Liquidity," NBER Working Papers 2296, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  16. Vilmunen, Jouko, 1998. "Macroeconomic Effects of Looming Policy Shifts: Non-falsified Expectations and Peso Problems," Research Discussion Papers 13/1998, Bank of Finland. [Downloadable!]
  17. Richard T. Baillie & William P. Osterberg, 1991. "The risk premium in forward foreign exchange markets and G-3 central bank intervention: evidence of daily effects, 1985-1990," Working Paper 9109, Federal Reserve Bank of Cleveland. [Downloadable!]
  18. Daniel Stavarek, 2004. "Linkages between Stock Prices and Exchange Rates in the EU and the United States," Finance 0406006, EconWPA. [Downloadable!]
  19. Stavarek, Daniel, 2004. "Stock Prices and Exchange Rates in the EU and the USA: Evidence of their Mutual Interactions," MPRA Paper 7297, University Library of Munich, Germany. [Downloadable!]
  20. Bernard Dumas, 1993. "Partial- Vs. General-Equilibrium Models of the International Capital Market," NBER Working Papers 4446, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  21. Geert Bekaert & Robert J. Hodrick, 1992. "Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets," NBER Working Papers 3790, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
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