This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Forward premiums and market efficiency: Panel unit-root evidence from the term structure of forward premiums Author info | Abstract | Publisher info | Download info | Related research | Statistics Barkoulas, John
Baum, Christopher F.
Chakraborty, Atreya
Additional information is available for the following
registered author(s):
No abstract is available for
this item.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Article provided by Elsevier in its journal Journal of Macroeconomics .
Volume (Year): 25 (2003)
Issue (Month): 1 (March)
Pages: 109-122
Download reference. The following formats are available: HTML ,
plain text ,
BibTeX ,
RIS (EndNote),
ReDIF
Handle: RePEc:eee:jmacro:v:25:y:2003:i:1:p:109-122Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622617
For technical questions regarding this item, or to correct its listing, contact: (Heidi Boesdal).
Keywords: Other versions of this item:
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: O'Connell, Paul G. J., 1998.
"The overvaluation of purchasing power parity ,"
Journal of International Economics ,
Elsevier, vol. 44(1), pages 1-19, February.
[Downloadable!] (restricted)
Baillie, Richard T & Bollerslev, Tim, 1994.
"The long memory of the forward premium ,"
Journal of International Money and Finance ,
Elsevier, vol. 13(5), pages 565-571, October.
[Downloadable!] (restricted)
Other versions: repec:cup:etheor:v:11:y:1995:i:5:p:984-1014 is not listed on IDEAS
Alexander, C. O. & Johnson, A., 1992.
"Are foreign exchange markets really efficient? ,"
Economics Letters ,
Elsevier, vol. 40(4), pages 449-453, December.
[Downloadable!] (restricted)
Ng, S. & Perron, P., 1994.
"Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag ,"
Cahiers de recherche
9423, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Other versions: Engle, Robert F & Granger, Clive W J, 1987.
"Co-integration and Error Correction: Representation, Estimation, and Testing ,"
Econometrica ,
Econometric Society, vol. 55(2), pages 251-76, March.
[Downloadable!] (restricted)
Crowder, William J., 1996.
"A note on cointegration and international capital market efficiency: A reply ,"
Journal of International Money and Finance ,
Elsevier, vol. 15(4), pages 661-664, August.
[Downloadable!] (restricted)
Engel, Charles, 1996.
"A note on cointegration and international capital market efficiency ,"
Journal of International Money and Finance ,
Elsevier, vol. 15(4), pages 657-660, August.
[Downloadable!] (restricted)
Schwert, G William, 1989.
"Tests for Unit Roots: A Monte Carlo Investigation ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 7(2), pages 147-59, April.
Other versions:
G. William Schwert, 1988.
"Tests For Unit Roots: A Monte Carlo Investigation ,"
NBER Technical Working Papers
0073, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Schwert, G William, 2002.
"Tests for Unit Roots: A Monte Carlo Investigation ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 20(1), pages 5-17, January.
Baillie, Richard T & Bollerslev, Tim, 1989.
" Common Stochastic Trends in a System of Exchange Rates ,"
Journal of Finance ,
American Finance Association, vol. 44(1), pages 167-81, March.
[Downloadable!] (restricted)
Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996.
"Efficient Tests for an Autoregressive Unit Root ,"
Econometrica ,
Econometric Society, vol. 64(4), pages 813-36, July.
[Downloadable!] (restricted)
Other versions: Johansen, Soren, 1992.
"Cointegration in partial systems and the efficiency of single-equation analysis ,"
Journal of Econometrics ,
Elsevier, vol. 52(3), pages 389-402, June.
[Downloadable!] (restricted)
Taylor, Mark P. & Sarno, Lucio, 1998.
"The behavior of real exchange rates during the post-Bretton Woods period ,"
Journal of International Economics ,
Elsevier, vol. 46(2), pages 281-312, December.
[Downloadable!] (restricted)
Other versions: Alexander, CO & A Johnson, 1992.
"Are foreign exchange markets really efficient? ,"
Discussion Papers in Economics
10/92, Department of Economics, University of Sussex.
Sarno, Lucio & Taylor, Mark P., 1998.
"Real exchange rates under the recent float: unequivocal evidence of mean reversion ,"
Economics Letters ,
Elsevier, vol. 60(2), pages 131-137, August.
[Downloadable!] (restricted)
Other versions: Luintel, K. B. & Paudyal, K., 1998.
"Common stochastic trends between forward and spot exchange rates ,"
Journal of International Money and Finance ,
Elsevier, vol. 17(2), pages 279-297, April.
[Downloadable!] (restricted)
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.
[Downloadable!] (restricted)
Other versions: Crowder, William J, 1994.
"Foreign exchange market efficiency and common stochastic trends ,"
Journal of International Money and Finance ,
Elsevier, vol. 13(5), pages 551-564, October.
[Downloadable!] (restricted)
Karlsson, Sune & Lothgren, Mickael, 2000.
"On the power and interpretation of panel unit root tests ,"
Economics Letters ,
Elsevier, vol. 66(3), pages 249-255, March.
[Downloadable!] (restricted)
Other versions: Jose A. Lopez, 1996.
"Exchange rate cointegration across central bank regime shifts ,"
Research Paper
9602, Federal Reserve Bank of New York.
[Downloadable!]
Andrew Levin & Chien-Fu Lin, 1993.
"Unit Root Tests in Panel Data: New Results ,"
University of California at San Diego, Economics Working Paper Series
93-56, Department of Economics, UC San Diego.
[Downloadable!]
Dwyer, Gerald Jr. & Wallace, Myles S., 1992.
"Cointegration and market efficiency ,"
Journal of International Money and Finance ,
Elsevier, vol. 11(4), pages 318-327, August.
[Downloadable!] (restricted)
Richard H. Clarida & Mark P. Taylor, 1997.
"The Term Structure Of Forward Exchange Premiums And The Forecastability Of Spot Exchange Rates: Correcting The Errors ,"
The Review of Economics and Statistics ,
MIT Press, vol. 79(3), pages 353-361, August.
[Downloadable!] (restricted)
Nyblom, Jukka & Harvey, Andrew, 2000.
"Tests Of Common Stochastic Trends ,"
Econometric Theory ,
Cambridge University Press, vol. 16(02), pages 176-199, April.
[Downloadable!]
Other versions: Sephton, Peter S. & Larsen, Hans K., 1991.
"Tests of exchange market efficiency: fragile evidence from cointegration tests ,"
Journal of International Money and Finance ,
Elsevier, vol. 10(4), pages 561-570, December.
[Downloadable!] (restricted)
Cerchi, Marlene & Havenner, Arthur, 1988.
"Cointegration and stock prices : The random walk on wall street revisited ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 12(2-3), pages 333-346.
[Downloadable!] (restricted)
Pasaran, M.H. & Im, K.S. & Shin, Y., 1995.
"Testing for Unit Roots in Heterogeneous Panels ,"
Cambridge Working Papers in Economics
9526, Faculty of Economics, University of Cambridge.
Other versions:
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Michael Kühl, 2007.
"Cointegration in the Foreign Exchange Market and Market Efficiency since the Introduction of the Euro: Evidence based on bivariate Cointegration Analyses ,"
Center for European, Governance and Economic Development Research (cege) Discussion Papers
68, Center for European, Governance and Economic Development Research, University of Goettingen (Germany)..
[Downloadable!]
Sofiane Sekioua, 2004.
"The forward unbiasedness hypothesis and the forward premium: a nonlinear analysis ,"
Money Macro and Finance (MMF) Research Group Conference 2003
85, Money Macro and Finance Research Group.
[Downloadable!]
Access and
download statistics Did you know? The yearly budget of IDEAS is exactly $0: it relies entirely on volunteer work.
This page was last updated on 2008-8-8.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .