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Citations for "The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence"

by Charles Engel

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Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. Chinn, Menzie & Meredith, Guy, 2000. "Testing Uncovered Interest Parity at Short and Long Horizons," Discussion Paper Series 26355, Hamburg Institute of International Economics. [Downloadable!]
  2. Huisman, R. & Mahieu, R.J., 2007. "Revisiting Uncovered Interest Rate Parity: Switching Between UIP and the Random Walk," Research Paper ERS-2007-001-F&A Revision, 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 Uni. [Downloadable!]
  3. Bacchetta, Philippe & Mertens, Elmar & van Wincoop, Eric, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," CEPR Discussion Papers 5770, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  4. Charles Engel & Kenneth D. West, 2003. "Exchange rates and fundamentals," Proceedings, Federal Reserve Bank of San Francisco, issue Mar. [Downloadable!]
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  5. Mordecai Kurz & Maurizio Motolese, . "Endogenous Uncertainty and Market Volatility," Working Papers 99005, Stanford University, Department of Economics. [Downloadable!]
  6. Lee, Byung-Joo, 2007. "Uncovered Interest Parity: Cross-sectional Evidence," MPRA Paper 10360, University Library of Munich, Germany. [Downloadable!]
  7. Mike R Wickens & Peter N Smith, . "Macroeconmic Sources of FOREX Risk," Discussion Papers 01/13, Department of Economics, University of York. [Downloadable!]
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  8. Christopher F Baum & John Barkoulas, 2002. "Dynamics of Intra-EMS Interest Rate Linkages," Computing in Economics and Finance 2002 13, Society for Computational Economics. [Downloadable!]
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  9. Alexius, Annika, 2000. "UIP for Short Investments in Long-Term Bonds," Working Paper Series 115, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
  10. Masao Ogaki & Julio Santaella, 1999. "The Exchange Rate and the Term Structure of Interest Rates in Mexico," Working Papers 99-21, Ohio State University, Department of Economics. [Downloadable!]
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  11. Mathias Hoffmann & Ronald MacDonald, 2006. "A Re-examination of the link between Real Exchange Rates and Real Interest Rate Differentials," Working Papers 2007_36, Department of Economics, University of Glasgow. [Downloadable!]
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  12. John Y. Campbell & Luis M. Viceira & Joshua S. White, 2002. "Foreign Currency for Long-Term Investors," NBER Working Papers 9075, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  13. Zsolt Darvas & Gábor Rappai & Zoltán Schepp, 2006. "Uncovering Yield Parity: A new insight into the UIP puzzle through the stationarity of long maturity forward rates," DNB Working Papers 098, Netherlands Central Bank, Research Department. [Downloadable!]
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  14. Marcel Fratzscher & Luciana Juvenal & Lucio Sarno, 2007. "Asset prices, exchange rates and the current account," Working Paper Series 790, European Central Bank. [Downloadable!]
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  15. Hollifield, Burton & Yaron, Amir, 2001. "The Foreign Exchange Risk Premium: Real and Nominal Factors," Working Papers 01-1, University of Pennsylvania, Wharton School, Weiss Center. [Downloadable!]
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  16. Charles Engel, 1999. "On the Foreign Exchange Risk Premium in Sticky-Price General Equilibrium Models," International Tax and Public Finance, Springer, vol. 6(4), pages 491-505, November. [Downloadable!] (restricted)
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  17. Eric Zivot, 1998. "Cointegration and Forward and Spot Exchange Rate Regressions," Econometrics 9812001, EconWPA. [Downloadable!]
  18. Elizaveta Krylova & Lorenzo Cappiello & Roberto A. De Santis, 2005. "Explaining exchange rate dynamics - the uncovered equity return parity condition," Working Paper Series 529, European Central Bank. [Downloadable!]
  19. Avik Chakraborty, 2004. "Learning, the Forward Premium Puzzle and Market Efficiency," University of Oregon Economics Department Working Papers 2005-4, University of Oregon Economics Department, revised 01 Oct 2004. [Downloadable!]
  20. Hilde C. Bjørnland, 2006. "Monetary Policy and the Illusionary Exchange Rate Puzzle," Computing in Economics and Finance 2006 45, Society for Computational Economics. [Downloadable!]
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  21. Bams, Dennis & Walkowiak, Kim & Wolff, Christian C, 2003. "More Evidence on the Dollar Risk Premium in the Foreign Exchange Market," CEPR Discussion Papers 3726, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  22. Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, . "Technical Analysis in Foreign Exchange Markets: Linear Versus Nonlinear Trading Rules," Working Papers on International Economics and Finance 00-02, FEDEA. [Downloadable!]
  23. Sarno, Lucio & Valente, Giorgio, 2008. "Exchange Rates and Fundamentals: Footloose or Evolving Relationship?," CEPR Discussion Papers 6638, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  24. Mordecai Kurz, . "Endogenous Uncertainty: A Unified View of Market Volatility," Working Papers 98013, Stanford University, Department of Economics. [Downloadable!]
  25. Koedijk, Kees & Kool, Clemens J. M. & Schotman, Peter C & Van Dijk, Mathijs A, 2001. "The Cost of Capital in International Financial Markets: Local or Global," CEPR Discussion Papers 3062, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  26. Frydman, R. & Goldberg, M.D., 2003. "Imperfect Knowledge and Asset Price Dynamics: Modeling the Forecasting of Rational Agents, Dynamic Prospect Theory and Uncertainty Premia on Foreign Exchange," Working Papers 03-03, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
  27. Campbell-Pownall, R.A.J. & Koedijk, C.G. & Lothian, J.R. & Mahieu, R.J., 2007. "Irving Fisher and the UIP Puzzle: Meeting the Expectations a Century Later," Research Paper ERS-2007-088-F&A Revision, 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 Uni. [Downloadable!]
  28. fabio spagnolod & Zacharias Psaradakis & Martin Sola, 2003. "Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables," Economics and Finance Discussion Papers 03-15, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
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  29. Hilde C. Bjørnland and Håvard Hungnes, 2005. "The commodity currency puzzle," Discussion Papers 423, Research Department of Statistics Norway. [Downloadable!]
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  30. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias, 2007. "Evaluating An Estimated New Keynesian Small Open Economy Model," Working Paper Series 203, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
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  31. Kenneth N. Kuttner & Adam S. Posen, 2001. "Beyond Bipolar: A Three-Dimensional Assessment of Monetary Frameworks," Working Papers 52, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
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  32. Lawrence Goldberg & James Lothian & John Okunev, 2003. "Has International Financial Integration Increased?," Open Economies Review, Springer, vol. 14(3), pages 299-317, July. [Downloadable!] (restricted)
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  33. Sofiane Amri, 2008. "Analysing the forward premium anomaly using a Logistic Smooth Transition Regression model," Economics Bulletin, Economics Bulletin, vol. 6(26), pages 1-18. [Downloadable!]
  34. Prakash Kannan, 2008. "Perspectives on High Real Interest Rates in Turkey," IMF Working Papers 08/251, International Monetary Fund. [Downloadable!]
  35. John T. Barkoulas & Christopher F. Baum & Atreya Chakraborty, 2000. "Forward Premiums and Market Efficiency: Panel Unit-root Evidence from the Term Structure of Forward Premiums," Boston College Working Papers in Economics 461, Boston College Department of Economics, revised 13 Jun 2001. [Downloadable!]
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  36. Nelson Mark & Young-Kyu Moh, 2003. "Official Interventions and Occasional Violations of Uncovered Interest Party in the Dollar-DM Market," NBER Working Papers 9948, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  37. Jeffrey Frankel & Jumana Poonawala, 2006. "The Forward Market in Emerging Currencies: Less Biased Than in Major Currencies," NBER Working Papers 12496, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  38. C.N.V. Krishnan & Peter H. Ritchken & James B. Thomson, 2007. "On forecasting the term structure of credit spreads," Working Paper 0705, Federal Reserve Bank of Cleveland. [Downloadable!]
  39. Jean Boivin & Marc P. Giannoni & Benoît Mojon, 2008. "How Has the Euro Changed the Monetary Transmission?," NBER Working Papers 14190, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  40. 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 164, Indian Council for Research on International Economic Relations, New Delhi, India. [Downloadable!]
  41. Straetmans, Stefan & Versteeg, Roald & Wolff, Christian C, 2008. "Are Capital Controls in the Foreign Exchange Market Effective?," CEPR Discussion Papers 6727, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  42. Bill Francis & Iftekhar Hasan & Delroy Hunter, 2002. "Emerging market liberalization and the impact on uncovered interest rate parity," Working Paper 2002-16, Federal Reserve Bank of Atlanta. [Downloadable!]
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  43. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004. "Testing forward exchange rate unbiasedness efficiently: a semiparametric approach," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 325-353, November. [Downloadable!]
  44. William Barnett & Chang Ho Kwag, 2005. "Exchange Rate Determination from Monetary Fundamentals: an Aggregation Theoretic Approach," International Trade 0505004, EconWPA, revised 24 Oct 2005. [Downloadable!]
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  45. Kenneth S. Rogoff & Vania Stavrakeva, 2008. "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting," NBER Working Papers 14071, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  46. Christian Wagner, 2008. "Risk-Premia, Carry-Trade Dynamics, and Speculative Efficiency of Currency Markets," Working Papers 143, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
  47. Brown, M. & Ongena, S. & Yesin, P., 2008. "Currency Denomination of Bank Loans: Evidence from Small Firms in Transition Countries," Discussion Paper 2008-16, Tilburg University, Center for Economic Research. [Downloadable!]
  48. Weber, Axel A., 1997. "Sources of Currency Crisis: An Empirical Analysis," Discussion Paper Serie B 418, University of Bonn, Germany. [Downloadable!]
  49. Haitham A. Al-Zoubi & Dana A. Al-Zoubi & Aktham I. Maghyereh, 2006. "A nonparametric cointegration analysis of the forward rate unbiasedness hypothesis," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(4), pages 223-227, July. [Downloadable!] (restricted)
  50. Rui Albuquerque, 2004. "Optimal Currency Hedging," Finance 0405010, EconWPA. [Downloadable!]
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  51. Todd E. Clark & Kenneth D. West, 2004. "Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis," Research Working Paper RWP 04-03, Federal Reserve Bank of Kansas City. [Downloadable!]
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  52. Antonio Diez de los Rios, 2006. "Can Affine Term Structure Models Help Us Predict Exchange Rates?," Working Papers 06-27, Bank of Canada. [Downloadable!]
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  53. Sylvain Leduc, 2000. "Incomplete markets, borrowing constraints, and the foreign exchange risk premium," Working Papers 00-3, Federal Reserve Bank of Philadelphia. [Downloadable!]
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  54. Christoph Sax, 2006. "Interest Rates and Exchange Rate Movements: Analyzing Short-term Investments in Long-term Bonds," Financial Markets and Portfolio Management, Springer, vol. 20(2), pages 205-220, June. [Downloadable!] (restricted)
  55. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2008. "Time-varying risk, interest rates, and exchange rates in general equilibrium," Staff Report 371, Federal Reserve Bank of Minneapolis. [Downloadable!]
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  56. Sofiane Sekioua, 2004. "The forward unbiasedness hypothesis and the forward premium: a nonlinear analysis," Money Macro and Finance (MMF) Research Group Conference 2003 85, Money Macro and Finance Research Group. [Downloadable!]
  57. Herrmann, Sabine & Jochem, Axel, 2003. "Die internationale Intregration der Devisenmärkte in den mittel- und osteuropäischen Beitrittsländern: Spekulative Effizienz, Transaktionskosten und Wechselkursprämien," Discussion Paper Series 1: Economic Studies 2003,08, Deutsche Bundesbank, Research Centre. [Downloadable!]
  58. Stephen Gilmore & Fumio Hayashi, 2008. "Emerging Market Currency Excess Returns," NBER Working Papers 14528, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  59. Jian Wang, 2007. "Home bias, exchange rate disconnect, and optimal exchange rate policy," Working Papers 0701, Federal Reserve Bank of Dallas. [Downloadable!]
  60. Antonio Montañés & Marcos Sanso-Navarro, . "Another look at long-horizon uncovered interest parity," Studies on the Spanish Economy 221, FEDEA. [Downloadable!]
  61. Guy Meredith & Menzie D. Chinn, 1998. "Long-Horizon Uncovered Interest Rate Parity," NBER Working Papers 6797, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  62. Bond, Derek & Harrison, Michael J & Hession, Niall & O’Brien, Edward J., 2006. "Some Empirical Observations on the Forward Exchange Rate Anomaly," Research Technical Papers 3/RT/06, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
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  63. Martin Cincibuch & David Vavra, 2004. "Testing for the uncovered interest parity using distributions implied by FX options," Money Macro and Finance (MMF) Research Group Conference 2003 16, Money Macro and Finance Research Group. [Downloadable!]
  64. Joseph P. Byrne & Jun Nagayasu, 2008. "Common and idiosyncratic factors of the exchange risk premium in emerging European markets," Working Papers 2008_28, Department of Economics, University of Glasgow. [Downloadable!]
  65. John H. Cochrane, 1999. "New Facts in Finance," NBER Working Papers 7169, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  66. Alina Piciorea, 2008. "Forward Premium Puzzle: Futures Contracts Evidence and Speculation Strategies," Advances in Economic and Financial Research - DOFIN Working Paper Series 8, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB. [Downloadable!]
  67. Kerstin Bernoth & Juergen von Hagen & Casper de Vries, 2007. "The Forward Premium Puzzle: new evidence from futures contracts," DNB Working Papers 125, Netherlands Central Bank, Research Department. [Downloadable!]
  68. Blake LeBaron, 1996. "Technical Trading Rule Profitability and Foreign Exchange Intervention," NBER Working Papers 5505, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  69. Fernando Lefort & Eduardo Walker, 1999. "El Dólar Como Activo Financiero: Teoría y Evidencia Chilena," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 36(109), pages 1035-1066. [Downloadable!]
  70. Alex Luiz Ferreira., 2009. "Is it Risk? An Automated Approach to Explain the ex ante UIP Deviations of Brazil," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 46(133), pages 51-66. [Downloadable!]
  71. Roman Frydman & Michael D. Goldberg, 2003. "Imperfect Knowledge and Asset Price Dynamics: Modeling the Forecasting of Rational Agents, Dynamic Prospect Theory and Uncertainty Premia on Foreign Exchange," Discussion Papers 03-31, University of Copenhagen. Department of Economics. [Downloadable!]
  72. Young-Kyu Moh, 2006. "Continuous-time model of uncovered interest parity with regulated jump-diffusion interest differential," Applied Economics, Taylor and Francis Journals, vol. 38(21), pages 2523-2533, December. [Downloadable!] (restricted)
  73. Alex Luiz Ferreira, 2007. "On the Transmission Mechanism of Monetary Constraints to the Real Side of the Economy," International Review of Applied Economics, Taylor and Francis Journals, vol. 21(1), pages 43-54, January. [Downloadable!] (restricted)
  74. William P. Osterberg, 1997. "Does intervention explain the forward discount puzzle?," Economic Review, Federal Reserve Bank of Cleveland, issue Q IV, pages 24-31. [Downloadable!]
  75. Burnside, A Craig & Eichenbaum, Martin & Kleshchelski, Isaac & Rebelo, Sérgio, 2006. "The Returns to Currency Speculation," CEPR Discussion Papers 5883, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  76. Charles Engel & James Morley, 2000. "The Adjustment of Prices and the Adjustment of the Exchange Rate," Discussion Papers in Economics at the University of Washington 0009, Department of Economics at the University of Washington. [Downloadable!]
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  77. M.B. Devereux & Ch. Engel, 2003. "Exchange Rate Pass-Through, Exchange Rate Volatility, and ExchangeRate Disconnect," DNB Staff Reports (discontinued) 77, Netherlands Central Bank. [Downloadable!]
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  78. Menzie D. Chinn & Guy Meredith, 2005. "Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era," NBER Working Papers 11077, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  79. Karim Abadir & Gabriel Talmain, 2005. "Distilling co-movements from persistent macro and financial series," Working Paper Series 525, European Central Bank. [Downloadable!]
  80. George W. Evans & Avik Chakraborty, 2006. "Can Perpetual Learning Explain the Forward Premium Puzzle?," University of Oregon Economics Department Working Papers 2006-8, University of Oregon Economics Department, revised 20 Aug 2006. [Downloadable!]
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  81. George Furstenberg, 1998. "From Worldwide Capital Mobility to International Financial Integration: A Review Essay," Open Economies Review, Springer, vol. 9(1), pages 53-84, January. [Downloadable!] (restricted)
  82. Eric O'N. Fisher, 2000. "The Forward Premium in a Model with Heterogeneous Prior Beliefs," Working Papers 01-05, Ohio State University, Department of Economics. [Downloadable!]
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  83. Jonathan Kearns & Phil Manners, 2006. "The Impact of Monetary Policy on the Exchange Rate: A Study Using Intraday Data," International Journal of Central Banking, International Journal of Central Banking, vol. 2(4), December. [Downloadable!]
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  84. R. Anton Braun & Etsuro Shioji, 2003. "Monetary Policy and Economic Activity in Japan and the United States," CIRJE F-Series CIRJE-F-251, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  85. Taboga, Marco & Pericoli, Marcello, 2008. "Bond risk premia, macroeconomic fundamentals and the exchange rate," MPRA Paper 9523, University Library of Munich, Germany. [Downloadable!]
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  86. Alexius, Annika & Sellin, Peter, 2002. "Exchange rates and long-term bonds," Working Paper Series 2002:7, Uppsala University, Department of Economics, revised Mar 2006. [Downloadable!]
  87. Axel A. Weber, 1998. "Sources of currency crises: an empirical analysis," Working Papers 25, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
  88. Kyongwook Choi & Eric Zivot, 2003. "Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation," EERI Research Paper Series EERI_RP_2003_02, Economics and Econometrics Research Institute (EERI). [Downloadable!]
  89. Camiel de Koning & Stefan Straetmans, 1997. "Variation in the Slope Coefficient of the Fama Regression for Testing Uncovered Interest Rate Parity: Evidence from Fixed and Time-varying Coefficient Approaches," Tinbergen Institute Discussion Papers 97-014/2, Tinbergen Institute. [Downloadable!]
  90. Ram Bhar & Carl Chiarella & Toan Pham, 2000. "Modeling the Currency Forward Risk Premium: Theory and Evidence," Research Paper Series 41, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  91. James R. Lothian & Liuren Wu, 2003. "Uncovered Interest Rate Parity Over the Past Two Centuries," International Finance 0311009, EconWPA. [Downloadable!]
  92. Susan Thorp, 2004. "That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds," Econometric Society 2004 Australasian Meetings 148, Econometric Society. [Downloadable!]
  93. Luca Benati, . "Affine term structure models for the foreign exchange risk premium," Bank of England working papers 291, Bank of England. [Downloadable!]
  94. Kashif Mansori, 2003. "Following in their Footsteps: Comparing Interest Parity Conditions in Central European Economies to the Euro Countries," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
  95. Günter Franke, 2004. "Präferenzfreie Strategien zum Absichern von Wechselkursrisiken," CoFE Discussion Paper 04-07, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  96. Philippe Bacchetta & Eric van Wincoop, 2006. "Incomplete information processing: a solution to the forward discount puzzle," Working Paper Series 2006-35, Federal Reserve Bank of San Francisco. [Downloadable!]
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  97. Bjørnland, Hilde C. & Hungnes, Håvard, 2003. "Fundamental determinants of the long run real exchange rate: The case of Norway," Memorandum 23/2002, Oslo University, Department of Economics. [Downloadable!]
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  98. Jan J J Groen & Ravi Balakrishnan, . "Asset price based estimates of sterling exchange rate risk premia," Bank of England working papers 250, Bank of England. [Downloadable!]
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  99. Todd E. Clark & Kenneth D. West, 2005. "Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference," NBER Technical Working Papers 0305, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  100. Lucio Sarno & Giorgio Valente & H. L. Leon, 2006. "Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," IMF Working Papers 06/136, International Monetary Fund. [Downloadable!]
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  101. Jacob Gyntelberg & Eli M Remolona, 2007. "Risk in carry trades: a look at target currencies in Asia and the Pacific," BIS Quarterly Review, Bank for International Settlements, December. [Downloadable!]
  102. Alex Luiz Ferreira, 2004. "Leaning Against the Parity," Studies in Economics 0413, Department of Economics, University of Kent. [Downloadable!]
  103. Jon Faust & John H. Rogers & Shing-Yi B. Wang & Jonathan H. Wright, 2003. "The high-frequency response of exchange rates and interest rates to macroeconomic announcements," International Finance Discussion Papers 784, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  104. 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. [Downloadable!]
  105. Jongen, Ron & Verschoor, Willem F C & Wolff, Christian C & Zwinkels, Remco C.J., 2008. "Dispersion of Beliefs in the Foreign Exchange Market," CEPR Discussion Papers 6738, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  106. Peter N Smith & Michael R Wickens, . "Asset Pricing with Observable Stochastic Discount Factors," Discussion Papers 02/03, Department of Economics, University of York. [Downloadable!]
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  107. Thomas Chiang & Sheng-Yung Yang, 2005. "International Asset Excess Returns and Multivariate Conditional Volatilities," Review of Quantitative Finance and Accounting, Springer, vol. 24(3), pages 295-312, May. [Downloadable!] (restricted)
  108. Alex Lebedinsky, 2008. "Empirical Test of Affine Stochastic Discount Factor Model of Currency Pricing," Economics Bulletin, Economics Bulletin, vol. 6(15), pages 1-14. [Downloadable!]
  109. 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 77, Money Macro and Finance Research Group. [Downloadable!]
  110. Nikolaos Giannellis & Athanasios Papadopoulos, 2006. "Testing for Efficiency in Selected Developing Foreign Exchange Markets: An Equilibrium-based Approach," Working Papers 0717, University of Crete, Department of Economics. [Downloadable!]
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  111. Sergio L. Schmukler & Luis Serven, 2002. "Pricing Currency Risk: Facts and Puzzles from Currency Boards," NBER Working Papers 9047, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  112. James Lothian & Yusif Simaan, 1998. "International Financial Relations Under the Current Float: Evidence from Panel Data," Open Economies Review, Springer, vol. 9(4), pages 293-313, October. [Downloadable!] (restricted)
  113. Michael Brennan & Yihong Xia, 2004. "International Capital Markets and Foreign Exchange Risk," University of California at Los Angeles, Anderson Graduate School of Management 1251, Anderson Graduate School of Management, UCLA. [Downloadable!]
  114. Hyoung-Seok Lim & Masao Ogaki, 2003. "A Theory of Exchange Rates and the Term Structure of Interest Rates," RCER Working Papers 504, University of Rochester - Center for Economic Research (RCER). [Downloadable!]
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  115. Christopher J. Neely & Paul A. Weller, 2007. "Central bank intervention with limited arbitrage," Working Papers 2006-033, Federal Reserve Bank of St. Louis. [Downloadable!]
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  116. Han, Bing & Hirshleifer, David & Wang, Tracy Yue, 2005. "Investor Overconfidence and the Forward Discount Puzzle," Working Paper Series 2005-21, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
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  117. Dimitris Kenourgios, 2005. "Testing Efficiency And The Unbiasedness Hypothesis Of The Emerging Greek Futures Market," Finance 0512015, EconWPA. [Downloadable!]
  118. Carol L. Osler, 2006. "Macro lessons from microstructure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 55-80. [Downloadable!]
  119. Natalya Delcoure & John T. Barkoulas & Christopher F. Baum & Atreya Chakraborty, 2000. "The Forward Rate Unbiasedness Hypothesis Revisited: Evidence from a New Test," Boston College Working Papers in Economics 464, Boston College Department of Economics. [Downloadable!]
  120. Mordecai Kurz & Hehui Jin & Maurizio Motolese, 2005. "Determinants of stock market volatility and risk premia," Annals of Finance, Springer, vol. 1(2), pages 109-147, 07. [Downloadable!] (restricted)
  121. Christophe Chamley, 2006. "Complementarities in information acquisition with short-term trades," Boston University - Department of Economics - Working Papers Series WP2006-042, Boston University - Department of Economics. [Downloadable!]
  122. Roman Frydman & Michael D. Goldberg, 2002. "Imperfect Knowledge, Temporal Instability and an Uncertainty Premium: Towards a Resolution of the Excess-Returns Puzzle in the Foreign Exchange Market," Discussion Papers 02-17, University of Copenhagen. Department of Economics, revised Nov 2002. [Downloadable!]
  123. Joseph E. Gagnon & Alain P. Chaboud, 2007. "What can the data tell us about carry trades in Japanese yen?," International Finance Discussion Papers 899, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  124. F. FernÁndez-RodrÍguez & S. Sosvilla-Rivero & J. Andrada-FÉlix, 2003. "Technical analysis in foreign exchange markets: evidence from the EMS," Applied Financial Economics, Taylor and Francis Journals, vol. 13(2), pages 113-122, January. [Downloadable!] (restricted)
  125. Menzie Chinn & Jeffrey Frankel, 2003. "The Euro Area and World Interest Rates," Santa Cruz Department of Economics, Working Paper Series 1031, Department of Economics, UC Santa Cruz. [Downloadable!]
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  126. Charles Engel, 1996. "A Model of Foreign Exchange Rate Indetermination," NBER Working Papers 5766, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  127. Georg Mosburger & Paul Schneider, 2005. "Modelling International Bond Markets with Affine Term Structure Models," Finance 0509003, EconWPA. [Downloadable!]
  128. Hilde C. Bjørnland and Håvard Hungnes, 2003. "The importance of interest rates for forecasting the exchange rate," Discussion Papers 340, Research Department of Statistics Norway. [Downloadable!]
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  129. David Backus & Silverio Foresi & Chris Telmer, 1996. "Affine Models of Currency Pricing," NBER Working Papers 5623, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  130. Jose Olmo & Keith Pilbeam, 2009. "The profitability of carry trades," Annals of Finance, Springer, vol. 5(2), pages 231-241, March. [Downloadable!] (restricted)
  131. John H. Rogers & Jonathan H. Wright & Jon Faust, 2002. "Identifying the effects of monetary policy shocks on exchange rates using high frequency data," Working Paper Series 167, European Central Bank. [Downloadable!]
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  132. Alexius, Annika, 2002. "Can Endogenous Monetary Policy Explain the Deviations from UIP," Working Paper Series 2002:17, Uppsala University, Department of Economics. [Downloadable!]
  133. Christopher J. Neely, 2002. "The temporal pattern of trading rule returns and central bank intervention: intervention does not generate technical trading rule profits," Working Papers 2000-018, Federal Reserve Bank of St. Louis. [Downloadable!]
  134. Philip Arestis, Malcolm Sawyer, 2003. "The Nature and Role of Monetary Policy When Money Is Endogenous," Economics Working Paper Archive 374, Levy Economics Institute, The. [Downloadable!]
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  135. John A. Carlson & C. L. Osler, 1999. "Determinants of current risk premiums," Staff Reports 70, Federal Reserve Bank of New York. [Downloadable!]
  136. Sonia Pangusión Espinosa., . "Testing Uncovered Interest Rate Parity: The Spanish case," Studies on the Spanish Economy 128, FEDEA. [Downloadable!]
  137. Leo Krippner, 2006. "A Yield Curve Perspective on Uncovered Interest Parity," Working Papers in Economics 06/16, University of Waikato, Department of Economics. [Downloadable!]
  138. Fousseni Chabi-Yo & Jun Yang, 2007. "A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate
    ," Working Papers 07-21, Bank of Canada. [Downloadable!]
  139. W A Razzak, 1998. "The forward rate unbiasedness hypothesis in inflation-targeting regimes," Reserve Bank of New Zealand Discussion Paper Series G99/3, Reserve Bank of New Zealand, revised Aug 1999. [Downloadable!]
  140. Jongen, Ron & Verschoor, Willem F C & Wolff, Christian C, 2005. "Time Variation in Term Premia: International Evidence," CEPR Discussion Papers 4959, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  141. Shu Wu, 2005. "Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200519, University of Kansas, Department of Economics, revised Oct 2005. [Downloadable!]
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  142. Georges Prat & Remzi Uctum, 2008. "The dynamics of ex-ante risk premia in the foreign exchange market: Evidence from the yen/usd exchange rate Using survey data," EconomiX Working Papers 2008-2, University of Paris West - Nanterre la Défense, EconomiX. [Downloadable!]
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  143. Stephen E. Haynes & Avik Chakraborty, 2005. "Econometrics of the forward premium puzzle," University of Oregon Economics Department Working Papers 2005-18, University of Oregon Economics Department. [Downloadable!]
  144. Derek Bond & Niall Hession & Michael J Harrison & Edward J O’Brien, 2007. "Nonlinearity as an Explanation of the Forward Exchange Rate Anomaly," Working Papers 200801, School Of Economics, University College Dublin. [Downloadable!]
  145. Craig Burnside & Martin S. Eichenbaum & Sergio Rebelo, 2007. "Understanding the Forward Premium Puzzle: A Microstructure Approach," NBER Working Papers 13278, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  146. Kohlscheen, E, 2009. "Emerging Floaters : Pass-Throughs and (Some) New Commodity Currencies," The Warwick Economics Research Paper Series (TWERPS) 905, University of Warwick, Department of Economics. [Downloadable!]
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  147. Rui Albuquerque, 2004. "The Forward Premium Puzzle in a Model of Imperfect Information: Theory and Evidence," International Finance 0405007, EconWPA. [Downloadable!]
  148. 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. [Downloadable!]
  149. Juan A. Lafuente & Jesús Ruiz, 2002. "The Bias For Forward Exchange Rate And The Risk Premium: An Explanation With A Stochastic And Dynamic General Equilibrium Model," Working Papers. Serie EC 2002-20, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  150. Iichiro Uesugi & Guy M. Yamashiro, 2003. "On the Relationship Between the Very Short Forward and the Spot Interest Rate," Discussion papers 03013, Research Institute of Economy, Trade and Industry (RIETI). [Downloadable!]
  151. Maurice J. Roche & Michael J. Moore, 1999. "Less of a puzzle: a new look at the forward forex market," Economics, Finance and Accounting Department Working Paper Series n910799, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
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  152. Christopher J. Neely & Lucio Sarno, 2002. "How well do monetary fundamentals forecast exchange rates?," Working Papers 2002-007, Federal Reserve Bank of St. Louis. [Downloadable!]
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  153. John Y. Campbell & Karine Serfaty-de Medeiros & Luis M. Viceira, 2007. "Global Currency Hedging," NBER Working Papers 13088, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  154. Rehim Kiliç, 2007. "Conditional Volatility and Distribution of Exchange Rates: GARCH and FIGARCH Models with NIG Distribution," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(3). [Downloadable!]
  155. Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008. "Carry Trades and Currency Crashes," NBER Working Papers 14473, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  156. Prasad V. Bidarkota, 2005. "Risk Premia in Forward Foreign Exchange Markets: A Comparison of Signal Extraction and Regression Methods," Working Papers 0501, Florida International University, Department of Economics. [Downloadable!]
  157. Bacchetta, Philippe & van Wincoop, Eric, 2005. "Rational Inattention: A Solution to the Forward Discount Puzzle," CEPR Discussion Papers 5261, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  158. Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005. "The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly," NBER Working Papers 11840, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  159. Marcel Fratzscher & Roland Straub, 2009. "Asset Prices and Current Account Fluctuations in G7 Economies," Working Paper Series 1014, European Central Bank. [Downloadable!]
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  160. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2009. "Carry Trades and Global FX Volatility," MPRA Paper 14728, University Library of Munich, Germany. [Downloadable!]
  161. Rajesh Chakrabarti & Barry Scholnick, 2002. "Exchange rate expectations and foreign direct investment flows," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 138(1), pages 1-21, March. [Downloadable!] (restricted)
  162. Erdemlioglu, Deniz M, 2007. "A new Test of Uncovered Interest Rate Parity: Evidence from Turkey," MPRA Paper 10787, University Library of Munich, Germany. [Downloadable!]
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