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Is it risk? : Explaining deviations from uncovered interest parity

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Author Info
Cumby, Robert E.
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File URL: http://www.sciencedirect.com/science/article/B6VBW-45GSFTJ-3D/2/8e67146747544e5191c0a7e45694f08c
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Article provided by Elsevier in its journal Journal of Monetary Economics.

Volume (Year): 22 (1988)
Issue (Month): 2 (September)
Pages: 279-299
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Handle: RePEc:eee:moneco:v:22:y:1988:i:2:p:279-299

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Web page: http://www.elsevier.com/locate/inca/505566

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  1. Owen F. Humpage & William P. Osterberg, 1990. "Intervention and the foreign exchange risk premium: an empirical investigation of daily effects," Working Paper 9009, Federal Reserve Bank of Cleveland. [Downloadable!]
  2. Christian Wagner, 2008. "Risk-Premia, Carry-Trade Dynamics, and Speculative Efficiency of Currency Markets," Working Papers 143, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
  3. Graham Elliott & Takatoshi Ito, 1995. "Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market," NBER Working Papers 5376, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. 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)
  5. Owen F. Humpage & William P. Osterberg, 1992. "New results on the impact of central-bank intervention on deviations from uncovered interest parity," Working Paper 9207, Federal Reserve Bank of Cleveland. [Downloadable!]
  6. Alexius, Annika & Sellin, Peter, 2002. "Exchange rates and long-term bonds," Working Paper Series 2002:7, Uppsala University, Department of Economics, revised Mar 2006. [Downloadable!]
  7. 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!]
  8. 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!]
  9. Lucio Sarno & Giorgio Valente & H. L. Leon, 2006. "Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," IMF Working Papers 06/136, International Monetary Fund. [Downloadable!]
    Other versions:
  10. David Backus & Silverio Foresi & Chris Telmer, 1996. "Affine Models of Currency Pricing," NBER Working Papers 5623, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  11. David WR Gruen & Gordon D Menzies, 1991. "The Failure of Uncovered Interest Parity: Is it Near-rationality in the Foreign Exchange Market?," RBA Research Discussion Papers rdp9103, Reserve Bank of Australia. [Downloadable!]
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