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The `peso problem' in testing the efficiency of forward exchange markets

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  • Krasker, William S.
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    File URL: http://www.sciencedirect.com/science/article/B6VBW-45FCJNY-X/2/7ea7fa5edb4400fe4b7ad0fb13df8a92
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Monetary Economics.

    Volume (Year): 6 (1980)
    Issue (Month): 2 (April)
    Pages: 269-276

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    Handle: RePEc:eee:moneco:v:6:y:1980:i:2:p:269-276

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

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    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Trivial intellectual history blogging
      by Paul Krugman in The conscience of a liberal on 2008-07-15 08:34:00
    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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    Cited by:
    1. Gruen, D.W.R. & Gizycki, M.C., 1993. "Explaining Forward Discount Bias: Is It Anchoring?," Papers 164, Princeton, Woodrow Wilson School - Public and International Affairs.
    2. de Groot, Caspar G. M. & Verschoor, Willem F. C., 2002. "Further evidence on Asian stock return behavior," Emerging Markets Review, Elsevier, vol. 3(2), pages 179-193, June.
    3. Conway, Patrick, 2012. "The exchange rate as nominal anchor: A test for Ukraine," Journal of Comparative Economics, Elsevier, vol. 40(3), pages 438-456.
    4. Steinar Holden & Dag Kolsrud & Birger Vikøren, 1995. "Noisy signals in target zone regimes Theory and Monte Carlo experiments," Discussion Papers 160, Research Department of Statistics Norway.
    5. Beetsma, R.M.W.J., 1991. "Bands and Statistical Properties of EMS Exchange Rates: A Monte Carlo Investigation of Three Traget Zone Model," Papers 9160, Tilburg - Center for Economic Research.
    6. Juan-Ángel Jiménez-Martín & Rodrigo Peruga Urrea, 2004. "Macroeconomic and policy uncertainty and Exchange rate risk Premium," Documentos del Instituto Complutense de Análisis Económico 0412, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
    7. Penttinen, Aku, 2000. "Devaluation-risk-related peso problems in stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 181-197, June.
    8. Levine, Ross, 1989. "The pricing of forward exchange rates," Journal of International Money and Finance, Elsevier, vol. 8(2), pages 163-179, June.
    9. Kenneth A. Froot & Jeffrey A. Frankel, 1989. "Interpreting Tests of Forward Discount Bias Using Survey Data on Exchange Rate Expectations," NBER Working Papers 1963, National Bureau of Economic Research, Inc.
    10. MacDonald, Ronald, 2000. "Is the foreign exchange market 'risky'? Some new survey-based results," Journal of Multinational Financial Management, Elsevier, vol. 10(1), pages 1-14, January.
    11. Walker, Eduardo, 2008. "Strategic currency hedging and global portfolio investments upside down," Journal of Business Research, Elsevier, vol. 61(6), pages 657-668, June.
    12. Kerstin Bernoth & Juergen von Hagen & Casper de Vries, 2007. "The Forward Premium Puzzle: new evidence from futures contracts," DNB Working Papers 125, Netherlands Central Bank, Research Department.
    13. Darvas, Zsolt, 1996. "Kamatkülönbség és árfolyam-várakozások az előre bejelentett kúszó árfolyamrendszerben
      [Interest differential and exchange rate expectations in the preannounced crawling band system of Hu
      ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(10), pages 920-947.
    14. Ron Jongen & Willem F.C. Verschoor & Christian C.P. Wolff, 2008. "Foreign Exchange Rate Expectations: Survey And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 22(1), pages 140-165, 02.
    15. Chionis, Dionysios & MacDonald, Ronald, 2002. "Aggregate and disaggregate measures of the foreign exchange risk premium," International Review of Economics & Finance, Elsevier, vol. 11(1), pages 57-84, April.
    16. Bryan Kelly & Hao Jiang, 2013. "Tail Risk and Asset Prices," NBER Working Papers 19375, National Bureau of Economic Research, Inc.
    17. 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.).
    18. Prakash Kannan, 2008. "Perspectiveson High Real Interest Rates in Turkey," IMF Working Papers 08/251, International Monetary Fund.
    19. Karen K. Lewis, 2011. "Global asset pricing," Globalization and Monetary Policy Institute Working Paper 88, Federal Reserve Bank of Dallas.
    20. Verschoor, Willem F. C. & Wolff, Christian C. P., 2001. "Exchange risk premia, expectations formation and "news" in the Mexican peso/U.S. dollar forward exchange rate market," International Review of Financial Analysis, Elsevier, vol. 10(2), pages 157-174.

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