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Risk, Policy Rules, and Noise: Rethinking Deviations from Uncovered Interest Parity

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  • Nelson C. Mark

    (The Ohio State University)

  • Yangru Wu

    (The Ohio State University)

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Bibliographic Info

Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 97-041/2.

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Date of creation: 30 Mar 1997
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Handle: RePEc:dgr:uvatin:19970041

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References

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  1. Froot, Kenneth A & Thaler, Richard H, 1990. "Foreign Exchange," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 4(3), pages 179-92, Summer.
  2. Goldberg, Michael D & Frydman, Roman, 1996. "Imperfect Knowledge and Behaviour in the Foreign Exchange Market," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 106(437), pages 869-93, July.
  3. David Backus & Silverio Foresi & Chris Telmer, 1994. "The Forward Premium Anamoly: Three Examples in Search of a Solution," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business 7, Carnegie Mellon University, Tepper School of Business.
  4. Lars Peter Hansen & Robert J. Hodrick, 1983. "Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models," NBER Chapters, National Bureau of Economic Research, Inc, in: Exchange Rates and International Macroeconomics, pages 113-152 National Bureau of Economic Research, Inc.
  5. Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, Elsevier, vol. 14(3), pages 319-338, November.
  6. Barry Eichengreen, James Tobin, and Charles Wyplosz., 1994. "Two Cases for Sand in the Wheels of International Finance," Center for International and Development Economics Research (CIDER) Working Papers, University of California at Berkeley C94-045, University of California at Berkeley.
  7. Hansen, Lars Peter & Jagannathan, Ravi, 1991. "Implications of Security Market Data for Models of Dynamic Economies," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 99(2), pages 225-62, April.
  8. Mark, Nelson C. & Choi, Doo-Yull, 1997. "Real exchange-rate prediction over long horizons," Journal of International Economics, Elsevier, Elsevier, vol. 43(1-2), pages 29-60, August.
  9. Breuer, Janice Boucher & Wohar, Mark E, 1996. "The Road Less Travelled: Institutional Aspects of Data and Their Influence on Empirical Estimates with an Application to Tests of Forward Rate Unbiasedness," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 106(434), pages 26-38, January.
  10. Canova, Fabio & Ito, Takatoshi, 1991. "The Time-Series Properties of the Risk Premium in the Yen/Dollar Exchange Market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 6(2), pages 125-42, April-Jun.
  11. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, American Finance Association, vol. 40(3), pages 793-805, July.
  12. Kenneth A. Froot and Jeffrey A. Frankel., 1988. "Forward Discount Bias: Is It an Exchange Risk Premium?," Economics Working Papers, University of California at Berkeley 8874, University of California at Berkeley.
  13. Frankel, Jeffrey A & Chinn, Menzie D, 1993. "Exchange Rate Expectations and the Risk Premium: Tests for a Cross Section of 17 Currencies," Review of International Economics, Wiley Blackwell, Wiley Blackwell, vol. 1(2), pages 136-44, June.
  14. Geert Bekaert & Robert J. Hodrick, 1991. "On Biases in the Measurement of Foreign Exchange Risk Premiums," NBER Working Papers 3861, National Bureau of Economic Research, Inc.
  15. Baillie, Richard T & Bollerslev, Tim, 2002. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(1), pages 60-68, January.
  16. Frankel, Jeffrey A., 1979. "The diversifiability of exchange risk," Journal of International Economics, Elsevier, Elsevier, vol. 9(3), pages 379-393, August.
  17. Bekaert, Geert, 1994. "Exchange rate volatility and deviations from unbiasedness in a cash-in-advance model," Journal of International Economics, Elsevier, Elsevier, vol. 36(1-2), pages 29-52, February.
  18. Geert Bekaert & Robert J. Hodrick, 1991. "Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets," NBER Working Papers 3790, National Bureau of Economic Research, Inc.
  19. Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1992. "Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0124, National Bureau of Economic Research, Inc.
  20. Engel, Charles M., 1984. "Testing for the absence of expected real profits from forward market speculation," Journal of International Economics, Elsevier, Elsevier, vol. 17(3-4), pages 299-308, November.
  21. Zietz, Joachim, 1995. "Some Evidence on the Efficiency of the Forward Market for Foreign Exchange from Monte-Carlo Experiments," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 105(433), pages 1471-87, November.
  22. Mark, Nelson C, 1995. "Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability," American Economic Review, American Economic Association, American Economic Association, vol. 85(1), pages 201-18, March.
  23. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, . "Noise Trader Risk in Financial Markets," J. Bradford De Long's Working Papers, University of California at Berkeley, Economics Department _124, University of California at Berkeley, Economics Department.
  24. Evans, Martin D. D. & Lewis, Karen K., 1993. "Trends in excess returns in currency and bond markets," European Economic Review, Elsevier, Elsevier, vol. 37(5), pages 1005-1019, June.
  25. Taylor, Stephen J, 1992. "Rewards Available to Currency Futures Speculators: Compensation for Risk or Evidence of Inefficient Pricing?," The Economic Record, The Economic Society of Australia, The Economic Society of Australia, vol. 0(0), pages 105-16, Supplemen.
  26. Blake LeBaron, . "Do Moving Average Trading Rule Results Imply Nonlinearities in Foreign Exchange?," Working papers, University of Wisconsin - Madison _005, University of Wisconsin - Madison.
  27. Chen, Jian & Mark, Nelson C, 1996. "Alternative Long-Horizon Exchange-Rate Predictors," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 1(4), pages 229-50, October.
  28. Frankel, Jeffrey A & Froot, Kenneth A, 1986. "Understanding the U.S. Dollar in the Eighties: The Expectations of Chartists and Fundamentalists," The Economic Record, The Economic Society of Australia, The Economic Society of Australia, vol. 0(0), pages 24-38, Supplemen.
  29. Cavaglia, Stefano M F G & Verschoor, Willem F C & Wolff, Christian C P, 1994. "On the Biasedness of Forward Foreign Exchange Rates: Irrationality or Risk Premia?," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 67(3), pages 321-43, July.
  30. Lothian, James R & Taylor, Mark P, 1996. "Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 104(3), pages 488-509, June.
  31. Kandel, Shmuel & Stambaugh, Robert F, 1990. "Expectations and Volatility of Consumption and Asset Returns," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 3(2), pages 207-32.
  32. Cheng, Yin-Wong, 1993. "Exchange rate risk premiums," Journal of International Money and Finance, Elsevier, Elsevier, vol. 12(2), pages 182-194, April.
  33. Chinn, Menzie D. & Meese, Richard A., 1995. "Banking on currency forecasts: How predictable is change in money?," Journal of International Economics, Elsevier, Elsevier, vol. 38(1-2), pages 161-178, February.
  34. Hai, Weike & Mark, Nelson C & Wu, Yangru, 1997. "Understanding Spot and Forward Exchange Rate Regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 12(6), pages 715-34, Nov.-Dec..
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Citations

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Cited by:
  1. Guy Meredith & Menzie D. Chinn, 1998. "Long-Horizon Uncovered Interest Rate Parity," NBER Working Papers 6797, National Bureau of Economic Research, Inc.
  2. Cheolbeom Park & Sookyung Park, 2014. "Can Monetary Policy Cause the Uncovered Interest Parity Puzzle?," Discussion Paper Series 1404, Institute of Economic Research, Korea University.
  3. Guy Meredith & Yue Ma, 2002. "The Forward Premium Puzzle Revisited," IMF Working Papers 02/28, International Monetary Fund.
  4. Leo Krippner, 2006. "A Yield Curve Perspective on Uncovered Interest Parity," Working Papers in Economics, University of Waikato, Department of Economics 06/16, University of Waikato, Department of Economics.
  5. Rashid, Abdul & Husain, Fazal, 2012. "On the modeling of exchange rate: some evidence from Pakistan," MPRA Paper 47547, University Library of Munich, Germany.
  6. Abdul RASHID, 2009. "Testing The Modified-Combined Ppp And Uip Hypothesis In South Asian Economies," Applied Econometrics and International Development, Euro-American Association of Economic Development, Euro-American Association of Economic Development, vol. 9(1).

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