The Forward Premium is Still a Puzzle
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Cited by:
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- Emmanuel Farhi & Xavier Gabaix, "undated".
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- Emmanuel Farhi, 2008. "Rare Disasters and Exchange Rates," 2008 Meeting Papers 47, Society for Economic Dynamics.
- Emmanuel Farhi & Xavier Gabaix, 2008. "Rare Disasters and Exchange Rates," NBER Working Papers 13805, National Bureau of Economic Research, Inc.
- Rosen Valchev, 2015. "Exchange Rates and UIP Violations at Short and Long Horizons," 2015 Meeting Papers 1446, Society for Economic Dynamics.
- Tarek A. Hassan, 2013.
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- Tarek A. Hassan, 2009. "Country Size, Currency Unions, and International Asset Returns," Working Papers 154, Oesterreichische Nationalbank (Austrian Central Bank).
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"Carry Trades and Currency Crashes,"
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National Bureau of Economic Research, Inc.
- Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008. "Carry Trades and Currency Crashes," Working Papers 2008-1, Princeton University. Economics Department..
- Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008. "Carry Trades and Currency Crashes," NBER Working Papers 14473, National Bureau of Economic Research, Inc.
- repec:onb:oenbwp:y::i:154:b:1 is not listed on IDEAS
- Cook, David, 2009. "The puzzling dual of the uncovered interest parity puzzle evidence from Pacific Rim capital flows," International Review of Economics & Finance, Elsevier, vol. 18(3), pages 449-456, June.
- A. Craig Burnside, 2007.
"Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors,"
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13357, National Bureau of Economic Research, Inc.
- A. Craig Burnside, 2010. "Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors," Working Papers 10-45, Duke University, Department of Economics.
- Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2009. "Carry Trades and Global FX Volatility," MPRA Paper 14728, University Library of Munich, Germany.
- Jordà, Òscar & Taylor, Alan M., 2012.
"The carry trade and fundamentals: Nothing to fear but FEER itself,"
Journal of International Economics, Elsevier, vol. 88(1), pages 74-90.
- Òscar Jordà & Alan M. Taylor, 2009. "The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself," NBER Working Papers 15518, National Bureau of Economic Research, Inc.
- Taylor, Alan M. & Jordà , Òscar, 2009. "The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself," CEPR Discussion Papers 7568, C.E.P.R. Discussion Papers.
- Ricardo J. Caballero & Joseph B. Doyle, 2012. "Carry Trade and Systemic Risk: Why are FX Options so Cheap?," NBER Working Papers 18644, National Bureau of Economic Research, Inc.
- Auer Benjamin R., 2012. "Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren? / Can Time-varying Parameter Specification Based on Consumption Variables Rehabilitate CAPM, ," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 232(5), pages 518-544, October.
- Craig Burnside, 2009. "Comment on "Carry Trades and Currency Crashes"," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 349-359, National Bureau of Economic Research, Inc.
- Aidan Corcoran, 2009. "The Determinants of Carry Trade Risk Premia," The Institute for International Integration Studies Discussion Paper Series iiisdp287, IIIS.
- Erik Schlogl & Yang Chang, 2012. "Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets," Research Paper Series 310, Quantitative Finance Research Centre, University of Technology, Sydney.
- Craig Burnside, 2011. "Carry Trades and Risk," NBER Working Papers 17278, National Bureau of Economic Research, Inc.
- Zhang, Xiang, 2020. "Leisure and long-run risks: An empirical evaluation on value premium puzzle," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
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More about this item
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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