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Parity conditions and the efficiency of the Australian 90- and 180-day forward markets

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  • Felmingham, Bruce
  • Leong, SuSan
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    Bibliographic Info

    Article provided by Elsevier in its journal Review of Financial Economics.

    Volume (Year): 14 (2005)
    Issue (Month): 2 ()
    Pages: 127-145

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    Handle: RePEc:eee:revfin:v:14:y:2005:i:2:p:127-145

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    Web page: http://www.elsevier.com/locate/inca/620170

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    References

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    2. Koedijk, C.G. & Schotman, P., 1990. "How to beat the random walk: An empirical model of real exchange rates," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3108720, Tilburg University.
    3. Peter C.B. Phillips & James W. McFarland, 1993. "Forward Exchange Market Unbiasedness: The Case of the Australian Dollar Since 1984," Cowles Foundation Discussion Papers 1055, Cowles Foundation for Research in Economics, Yale University, revised 1996.
    4. Geert Bekaert, 2001. "Expectations Hypotheses Tests," Journal of Finance, American Finance Association, vol. 56(4), pages 1357-1394, 08.
    5. Bennett T. McCallum, 1994. "A Reconsideration of the Uncovered Interest Parity Relationship," NBER Working Papers 4113, National Bureau of Economic Research, Inc.
    6. Phillips, Peter C B & Hansen, Bruce E, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Wiley Blackwell, vol. 57(1), pages 99-125, January.
    7. Peter C.B. Phillips, 1993. "Fully Modified Least Squares and Vector Autoregression," Cowles Foundation Discussion Papers 1047, Cowles Foundation for Research in Economics, Yale University.
    8. Aliber, Robert Z, 1973. "The Interest Rate Parity Theorem: A Reinterpretation," Journal of Political Economy, University of Chicago Press, vol. 81(6), pages 1451-59, Nov.-Dec..
    9. Dooley, Michael P & Isard, Peter, 1980. "Capital Controls, Political Risk, and Deviations from Interest-Rate Parity," Journal of Political Economy, University of Chicago Press, vol. 88(2), pages 370-84, April.
    10. Turnovsky, Stephen J & Ball, Katrina M, 1983. "Covered Interest Parity and Speculative Efficiency: Some Empirical Evidence for Australia," The Economic Record, The Economic Society of Australia, vol. 59(166), pages 271-80, September.
    11. Taylor, Mark P, 1989. "Covered Interest Arbitrage and Market Turbulence," Economic Journal, Royal Economic Society, vol. 99(396), pages 376-91, June.
    12. Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
    13. Mohsin S. Khan, 1985. "An Analytical Approach to Interest Rate Determination in Developing Countries," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 24(3-4), pages 481-495.
    14. Razzaque Bhatti & Imad Moosa, 1995. "An alternative approach to testing uncovered interest parity," Applied Economics Letters, Taylor and Francis Journals, vol. 2(12), pages 478-481.
    15. Crowder, William J., 1995. "Covered interest parity and international capital market efficiency," International Review of Economics & Finance, Elsevier, vol. 4(2), pages 115-132.
    16. Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 13-47, March.
    17. Guy Meredith & Menzie D. Chinn, 1998. "Long-Horizon Uncovered Interest Rate Parity," NBER Working Papers 6797, National Bureau of Economic Research, Inc.
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    19. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    20. Taylor, Mark P, 1987. "Covered Interest Parity: A High-Frequency, High-Quality Data Study," Economica, London School of Economics and Political Science, vol. 54(216), pages 429-38, November.
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    22. Alex Maynard & Peter C. B. Phillips, 2001. "Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(6), pages 671-708.
    23. Frenkel, Jacob A & Levich, Richard M, 1975. "Covered Interest Arbitrage: Unexploited Profits?," Journal of Political Economy, University of Chicago Press, vol. 83(2), pages 325-38, April.
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    25. Chinn, Menzie D. & Meredith, Guy, 2000. "Testing uncovered interest parity at short and long horizons," HWWA Discussion Papers 102, Hamburg Institute of International Economics (HWWA).
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    28. Koedijk, Kees G. & Schotman, Peter, 1990. "How to beat the random walk : An empirical model of real exchange rates," Journal of International Economics, Elsevier, vol. 29(3-4), pages 311-332, November.
    29. Prachowny, Martin F J, 1970. "A Note on Interest Parity and the Supply of Arbitrage Funds," Journal of Political Economy, University of Chicago Press, vol. 78(3), pages 540-45, May-June.
    30. Roper, Don E, 1975. "The Role of Expected Value Analysis for Speculative Decisions in the Forward Currency Market: Comment," The Quarterly Journal of Economics, MIT Press, vol. 89(1), pages 157-69, February.
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    33. Koedijk, C.G. & Schotman, P., 1990. "How to beat the random walk: an empirical model of real exchange rates," Open Access publications from Maastricht University urn:nbn:nl:ui:27-5932, Maastricht University.
    34. Kaminsky, Graciela, 1993. "Is There a Peso Problem? Evidence from the Dollar/Pound Exchange Rate, 1976-1987," American Economic Review, American Economic Association, vol. 83(3), pages 450-72, June.
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    36. Adolfo Sachsida & Roberto Ellery & Joanilio Rodolpho Teixeira, 2001. "Uncovered interest parity and the peso problem: the Brazilian case," Applied Economics Letters, Taylor and Francis Journals, vol. 8(3), pages 179-181.
    37. Frenkel, Jacob A, 1973. "Elasticities and the Interest Parity Theory," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 741-47, May-June.
    38. Chinn, Menzie David & Meredith, Guy, 2000. "Interest parity at short and long horizons," SFB 373 Discussion Papers 2000,44, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    39. Abeysekera, Sarath P & Turtle, Harry J, 1995. "Long-Run Relations in Exchange Markets: A Test of Covered Interest Parity," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 18(4), pages 431-47, Winter.
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    Cited by:
    1. Pippenger, John, 2012. "What Covered Interest Parity Implies about the Theory of Uncovered Interest Parity," University of California at Santa Barbara, Economics Working Paper Series qt0zk6t2hj, Department of Economics, UC Santa Barbara.

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