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Citations for "Fixes: Of the Forward Discount Puzzle"

by Flood, Robert P & Rose, Andrew K

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  1. Kashif Mansori, 2003. "Following in their Footsteps: Comparing Interest Parity Conditions in Central European Economies to the Euro Countries," CESifo Working Paper Series 1020, CESifo Group Munich.
  2. Mehl, Arnaud & Cappiello, Lorenzo, 2007. "Uncovered interest parity at distant horizons: evidence on emerging economies & nonlinearities," Working Paper Series, European Central Bank 0801, European Central Bank.
  3. 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.
  4. Richard T., Baillie, 2011. "Possible solutions to the forward bias paradox," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 21(4), pages 617-622, October.
  5. Rui Albuquerque, 2004. "The Forward Premium Puzzle in a Model of Imperfect Information: Theory and Evidence," International Finance, EconWPA 0405007, EconWPA.
  6. Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, Elsevier, vol. 3(2), pages 123-192, June.
  7. Penttinen, Aku, 2000. "Devaluation-risk-related peso problems in stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 10(2), pages 181-197, June.
  8. Verschoor, Willem F. C. & Wolff, Christian C. P., 2001. "Scandinavian forward discount bias risk premia," Economics Letters, Elsevier, vol. 73(1), pages 65-72, October.
  9. Bennett T. McCallum, 2000. "Theoretical analysis regarding a zero lower bound on nominal interest rates," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, pages 870-935.
  10. Bai, Shuming & Mollick, Andre Varella, 2010. "Currency crisis and the forward discount bias: Evidence from emerging economies under breaks," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 20(5), pages 556-574, December.
  11. Groen, Jan J.J. & Balakrishnan, Ravi, 2006. "Asset price based estimates of sterling exchange rate risk premia," Journal of International Money and Finance, Elsevier, Elsevier, vol. 25(1), pages 71-92, February.
  12. Paul Soderlind & Lars E. O. Svensson, 1997. "New Techniques to Extract Market Expectations from Financial Instruments," NBER Working Papers 5877, National Bureau of Economic Research, Inc.
  13. Christian Wolff & Stefan T.M. Straetmans & Roald J. Versteeg, 2008. "Are Capital Controls in the Foreign Exchange Market Effective?," LSF Research Working Paper Series 08-12, Luxembourg School of Finance, University of Luxembourg.
  14. Steinar Holden & Dag Kolsrud & Birger Vikøren, 1995. "Noisy signals in target zone regimes Theory and Monte Carlo experiments," Discussion Papers, Research Department of Statistics Norway 160, Research Department of Statistics Norway.
  15. Richard T. Baillie & Rehim Kilic, 2005. "Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly?," Working Papers, Queen Mary, University of London, School of Economics and Finance 543, Queen Mary, University of London, School of Economics and Finance.
  16. Olivier Jeanne & Andrew K. Rose, 2002. "Noise Trading And Exchange Rate Regimes," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 117(2), pages 537-569, May.
  17. Baillie, Richard T. & Osterberg, William P., 2000. "Deviations from daily uncovered interest rate parity and the role of intervention," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 10(3-4), pages 363-379, December.
  18. Lukas Menkhoff & Rafael R. Rebitzky & Michael Schröder, 2008. "Heterogeneity in Exchange Rate Expectations: Evidence on the Chartist-Fundamentalist Approach," CESifo Working Paper Series 2502, CESifo Group Munich.
  19. Bansal, Ravi & Dahlquist, Magnus, 1999. "The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2169, C.E.P.R. Discussion Papers.
  20. Huisman, R. & Mahieu, R.J., 2007. "Revisiting Uncovered Interest Rate Parity: Switching Between UIP and the Random Walk," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2007-001-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  21. David Backus & Silverio Foresi & Chris Telmer, 1996. "Affine Models of Currency Pricing," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 96-9, New York University, Leonard N. Stern School of Business-.
  22. Straetmans, Stefan & Versteeg, Roald & Wolff, Christian C, 2008. "Are Capital Controls in the Foreign Exchange Market Effective?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6727, C.E.P.R. Discussion Papers.
  23. Lucio Sarno & Giorgio Valente & Hyginus Leon, 2006. "Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," Review of Finance, European Finance Association, European Finance Association, vol. 10(3), pages 443-482, September.
  24. Huisman, Ronald & Koedijk, Kees & Kool, Clemens & Nissen, Francois, 1998. "Extreme support for uncovered interest parity," Journal of International Money and Finance, Elsevier, Elsevier, vol. 17(1), pages 211-228, February.
  25. Erdemlioglu, Deniz M, 2007. "A new Test of Uncovered Interest Rate Parity: Evidence from Turkey," MPRA Paper 10787, University Library of Munich, Germany.
  26. Christopher J. Neely, 2005. "The case for foreign exchange intervention: the government as an active reserve manager," Working Papers 2004-031, Federal Reserve Bank of St. Louis.
  27. Lee, Hsiu-Chuan & Chang, Shu-Lien, 2013. "Spillovers of currency carry trade returns, market risk sentiment, and U.S. market returns," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 197-216.
  28. Christopher J. Neely & Lucio Sarno, 2002. "How well do monetary fundamentals forecast exchange rates?," Working Papers 2002-007, Federal Reserve Bank of St. Louis.
  29. Craighead, William D. & Davis, George K. & Miller, Norman C., 2010. "Interest differentials and extreme support for uncovered interest rate parity," International Review of Economics & Finance, Elsevier, Elsevier, vol. 19(4), pages 723-732, October.
  30. Lothian, James R. & Wu, Liuren, 2011. "Uncovered interest-rate parity over the past two centuries," Journal of International Money and Finance, Elsevier, Elsevier, vol. 30(3), pages 448-473, April.
  31. Alex Luiz Ferreira, 2004. "Leaning Against the Parity," Studies in Economics, Department of Economics, University of Kent 0413, Department of Economics, University of Kent.
  32. Guy Meredith & Menzie D. Chinn, 1998. "Long-Horizon Uncovered Interest Rate Parity," NBER Working Papers 6797, National Bureau of Economic Research, Inc.
  33. Li, Dandan & Ghoshray, A. & Morley, B., 2011. "Uncovered Interest Parity and the Risk Premium," Department of Economics Working Papers, University of Bath, Department of Economics 24072, University of Bath, Department of Economics.
  34. Tigran Poghosyan & Evzen Kocenda, 2006. "Foreign Exchange Risk Premium Determinants: Case of Armenia," CERGE-EI Working Papers wp297, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  35. Kim, Heeho, 2011. "The risk adjusted uncovered equity parity," Journal of International Money and Finance, Elsevier, Elsevier, vol. 30(7), pages 1491-1505.
  36. Bofinger, Peter & Wollmershäuser, Timo, 2001. "Is there a third way to EMU for the EU accession countries?," Munich Reprints in Economics, University of Munich, Department of Economics 20209, University of Munich, Department of Economics.
  37. Chinn, Menzie D., 2006. "The (partial) rehabilitation of interest rate parity in the floating rate era: Longer horizons, alternative expectations, and emerging markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 25(1), pages 7-21, February.
  38. Hiro Ito & Menzie Chinn, 2007. "Price-Based Measurement Of Financial Globalization: A Cross-Country Study Of Interest Rate Parity," Pacific Economic Review, Wiley Blackwell, vol. 12(4), pages 419-444, October.
  39. Menzie Chinn & Jeffery Frankel, 1995. "More survey data on exchange rate expectations: More currencies, more horizons, more tests," International Finance, EconWPA 9508003, EconWPA.
  40. Kleopatra Nikolaou & Lucio Sarno, 2005. "New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group 77, Money Macro and Finance Research Group.
  41. Byung‐Joo Lee, 2011. "Uncovered Interest Parity: Cross‐Sectional Evidence," Review of International Economics, Wiley Blackwell, vol. 19(2), pages 219-231, 05.
  42. Giorgio Valente & H. L. Leon & Lucio Sarno, 2006. "Nonlinearity in Deviations From Uncovered Interest Parity," IMF Working Papers 06/136, International Monetary Fund.
  43. Tai, Chu-Sheng, 2003. "Can currency risk be a source of risk premium in explaining forward premium puzzle?: Evidence from Asia-Pacific forward exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 13(4), pages 291-311, October.
  44. Charles Engel, 1999. "On the Foreign-Exchange Risk Premium in Sticky-Price General Equilibrium Models," NBER Working Papers 7067, National Bureau of Economic Research, Inc.
  45. M. Hadzi-Vaskov & C.J.M. Kool, 2006. "The importance of interest rate volatility in empirical tests of uncovered interest parity," Working Papers, Utrecht School of Economics 06-16, Utrecht School of Economics.
  46. Guy Meredith & Yue Ma, 2002. "The Forward Premium Puzzle Revisited," IMF Working Papers 02/28, International Monetary Fund.
  47. Pasricha, Gurnain Kaur, 2006. "Survey of Literature on Covered and Uncovered Interest Parities," MPRA Paper 22737, University Library of Munich, Germany.
  48. Arusha Cooray, 2003. "Financial integration: some evidence from Australia," Applied Economics Letters, Taylor & Francis Journals, vol. 10(15), pages 959-966.
  49. Vipul Bhatt & Arvind Virmani, 2005. "Global integration of India's Money Market : Interest rate parity in India," Indian Council for Research on International Economic Relations, New Delhi Working Papers, Indian Council for Research on International Economic Relations, New Delhi, India 164, Indian Council for Research on International Economic Relations, New Delhi, India.
  50. Jiang, Chun & Li, Xiao-Lin & Chang, Hsu-Ling & Su, Chi-Wei, 2013. "Uncovered interest parity and risk premium convergence in Central and Eastern European countries," Economic Modelling, Elsevier, vol. 33(C), pages 204-208.
  51. Anker, Peter, 1999. "Uncovered interest parity, monetary policy and time-varying risk premia," Journal of International Money and Finance, Elsevier, Elsevier, vol. 18(6), pages 835-851, December.
  52. Evsey Gurvich & Vladimir Sokolov & Alexey Ulyukaev, 2009. "Analysis of the Relationship Between the Exchange Rate Policy of the Russian Central Bank and the Interest Rates: Uncovered and Covered Parity," Journal of the New Economic Association, New Economic Association, New Economic Association, issue 1-2, pages 104-126.
  53. MacDonald, Ronald, 2000. "Is the foreign exchange market 'risky'? Some new survey-based results," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 10(1), pages 1-14, January.
  54. Bali, Turan G. & Wu, Liuren, 2010. "The role of exchange rates in intertemporal risk-return relations," Journal of International Money and Finance, Elsevier, Elsevier, vol. 29(8), pages 1670-1686, December.
  55. Ding, Liang, 2012. "The Thursday effect of the forward premium puzzle," International Review of Economics & Finance, Elsevier, Elsevier, vol. 21(1), pages 302-318.
  56. Chen, Qianying, 2011. "Exchange rate dynamics, expectations, and monetary policy," Discussion Paper Series 1: Economic Studies 2011,18, Deutsche Bundesbank, Research Centre.
  57. William P. Osterberg, 1997. "Does intervention explain the forward discount puzzle?," Economic Review, Federal Reserve Bank of Cleveland, issue Q IV, pages 24-31.
  58. Kanas, Angelos & Genius, Margarita, 2005. "Regime (non)stationarity in the US/UK real exchange rate," Economics Letters, Elsevier, vol. 87(3), pages 407-413, June.
  59. repec:eid:wpaper:02/11 is not listed on IDEAS
  60. Tai, Chu-Sheng, 2004. "Looking for risk premium and contagion in Asia-Pacific foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 13(4), pages 381-409.