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Tests of covered interest rate parity

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  • Daniel L. Thornton

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File URL: http://research.stlouisfed.org/publications/review/89/07/Tests_Jul_Aug1989.pdf
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Bibliographic Info

Article provided by Federal Reserve Bank of St. Louis in its journal Review.

Volume (Year): (1989)
Issue (Month): Jul ()
Pages: 55-66

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Handle: RePEc:fip:fedlrv:y:1989:i:jul:p:55-66

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Related research

Keywords: Interest rates;

References

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  1. Bahmani-Oskooee, Mohsen & Das, Satya P, 1985. "Transaction Costs and the Interest Parity Theorem," Journal of Political Economy, University of Chicago Press, vol. 93(4), pages 793-99, August.
  2. Daniel L. Thornton, 1988. "The borrowed-reserves operating procedures: theory and evidence," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 30-54.
  3. Cornell, Bradford, 1983. "The Money Supply Announcements Puzzle: Review and Interpretation," American Economic Review, American Economic Association, vol. 73(4), pages 644-57, September.
  4. Richard Deaves & Angelo Melino & James E. Pesando, 1987. "The Response of Interest Rates to the Federal Reserve's Weekly Money Announcements: The "Puzzle" of Anticipated Money," NBER Working Papers 2125, National Bureau of Economic Research, Inc.
  5. Richard G. Sheehan, 1985. "Weekly money announcements: new information and its effects," Review, Federal Reserve Bank of St. Louis, issue Aug, pages 25-34.
  6. Alec Chrystal, K. & Thornton, Daniel L., 1988. "On the informational content of spot and forward exchange rates," Journal of International Money and Finance, Elsevier, vol. 7(3), pages 321-330, September.
  7. Clinton, Kevin, 1988. "Transactions Costs and Covered Interest Arbitrage: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 358-70, April.
  8. Belongia, Michael T & Sheehan, Richard G, 1987. "The Informational Efficiency of Weekly Money Announcements: An Econometric Critique," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(3), pages 351-56, July.
  9. Michael T. Belongia & R.W. Hafer & Richard G. Sheehan, 1986. "A note on the temporal stability of the interest rate-weekly money relationship," Working Papers 1986-002, Federal Reserve Bank of St. Louis.
  10. Deardorff, Alan V, 1979. "One-Way Arbitrage and Its Implications for the Foreign Exchange Markets," Journal of Political Economy, University of Chicago Press, vol. 87(2), pages 351-64, April.
  11. Husted, Steven & Kitchen, John, 1985. "Some Evidence on the International Transmission of U.S. Money Supply Announcement Effects," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 17(4), pages 456-66, November.
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Citations

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Cited by:
  1. Menzies, Gordon D. & Zizzo, Daniel John, 2012. "Monetary policy and inferential expectations of exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(2), pages 359-380.
  2. Strobel, Frank, 2012. "International tax arbitrage, currency options and put-call parity conditions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 473-486.
  3. HeeJoon Kang, 1992. "Forward exchange rates as unbiased predictors of future spot rates a review and re-interpretation," Open Economies Review, Springer, vol. 3(2), pages 215-232, June.
  4. Otavio De Medeiros, 2005. "Order Flow and Exchange Rate Dynamics in Brazil," Finance 0503019, EconWPA.

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