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Citations for "Uncovered Interest Rate Parity and the Term Structure"

by Geert Bekaert & Min Wei & Yuhang Xing

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  1. Jorge Selaive ; Vicente Tuesta, 2004. "Net Foreign Assets And Imperfect Financial Integration: An Empirical Approach," Econometric Society 2004 Latin American Meetings, Econometric Society 90, Econometric Society.
  2. Menzie D. Chinn & Saad Quayyum, 2012. "Long Horizon Uncovered Interest Parity Re-Assessed," NBER Working Papers 18482, National Bureau of Economic Research, Inc.
  3. Omer, Muhammad & de Haan, Jakob & Scholtens, Bert, 2013. "Does Uncovered Interest rate Parity Hold After All?," MPRA Paper 47572, University Library of Munich, Germany.
  4. Mauricio Larraín, 2007. "Inflation compensation and inflation expectations in Chile," Monetaria, Centro de Estudios Monetarios Latinoamericanos, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 305-329, julio-sep.
  5. Gregory H. Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Working Papers, Bank of Canada 12-5, Bank of Canada.
  6. Pippenger, John E, 2010. "The Solution to the Forward-Bias and Related Puzzles," University of California at Santa Barbara, Economics Working Paper Series qt6br3599r, Department of Economics, UC Santa Barbara.
  7. 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.
  8. Koukouritakis, Minoas, 2013. "Expectations hypothesis in the context of debt crisis: Evidence from five major EU countries," Research in Economics, Elsevier, Elsevier, vol. 67(3), pages 243-258.
  9. Viceira, Luis & Campbell, John & White, Joshua, 2003. "Foreign Currency for Long-Term Investors," Scholarly Articles 3128708, Harvard University Department of Economics.
  10. 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.
  11. Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 22(5), pages 855-889.
  12. Pippenger, John, 2009. "The Forward-Bias Puzzle: A Solution Based on Covered Interest Parity," University of California at Santa Barbara, Economics Working Paper Series qt4dd1075r, Department of Economics, UC Santa Barbara.
  13. repec:wyi:journl:002068 is not listed on IDEAS
  14. Mark J. Holmes & Theodore Panagiotidis & Jesus Otero, 2010. "The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian Economies," Discussion Paper Series 2010_18, Department of Economics, University of Macedonia, revised Nov 2009.
  15. Bekaert, Geert & Wei, Min & Xing, Yuhang, 2007. "Uncovered interest rate parity and the term structure," Journal of International Money and Finance, Elsevier, Elsevier, vol. 26(6), pages 1038-1069, October.
  16. Yu-chin Chen & Kwok Ping Tsang, 2009. "A Macro-Finance Approach to Exchange Rate Determination," Working Papers, University of Washington, Department of Economics UWEC-2009-24-R, University of Washington, Department of Economics, revised May 2010.
  17. Macchiarelli, Corrado, 2011. "A VAR analysis for the uncovered interest parity and the ex-ante purchasing power parity: the role of macroeconomic and financial information," Working Paper Series, European Central Bank 1404, European Central Bank.
  18. Kaminska, Iryna & Meldrum, Andrew & Smith, James, 2011. "A global model of international yield curves: no-arbitrage term structure approach," Bank of England working papers, Bank of England 419, Bank of England.
  19. Ahmet Can Ýnci, 2007. "Currency and yield Co-integration between a developed and an emerging Country: The Case of Turkey," Bogazici Journal of Economics and Administrative Sciences, Bogazici University, Department of Economics, Bogazici University, Department of Economics, vol. 21(1+2), pages 1-20.
  20. Macchiarelli, Corrado, 2014. "Bond market co-movements, expected inflation and the GBP-USD equilibrium real exchange rate," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 54(2), pages 242-256.
  21. Byrne, Joseph P. & Nagayasu, Jun, 2008. "Common and Idiosyncratic Factors of the Exchange Risk Premium in Emerging European Markets," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2008-49, Scottish Institute for Research in Economics (SIRE).
  22. 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.
  23. Loring, Grace & Lucey, Brian, 2013. "An analysis of forward exchange rate biasedness across developed and developing country currencies: Do observed patterns persist out of sample?," Emerging Markets Review, Elsevier, Elsevier, vol. 17(C), pages 14-28.
  24. Felix Geiger, 2009. "International Interest-Rate Risk Premia in Affine Term Structure Models," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim, Department of Economics, University of Hohenheim, Germany 316/2009, Department of Economics, University of Hohenheim, Germany.
  25. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
  26. Zsolt Darvas & G�bor Rappai & Zolt�n Schepp, 2006. "Uncovering Yield Parity: A new insight into the UIP puzzle through the stationarity of long maturity forward rates," DNB Working Papers, Netherlands Central Bank, Research Department 098, Netherlands Central Bank, Research Department.
  27. Pasricha, Gurnain Kaur, 2006. "Survey of Literature on Covered and Uncovered Interest Parities," MPRA Paper 22737, University Library of Munich, Germany.
  28. Lucio Sarno & Daniel L. Thornton & Giorgio Valente, 2005. "The empirical failure of the expectations hypothesis of the term structure of bond yields," Working Papers, Federal Reserve Bank of St. Louis 2003-021, Federal Reserve Bank of St. Louis.
  29. Heike Joebges & Volker Meinhard & Katja Rietzler & Rudolf Zwiener, 2012. "Auf dem Weg in die Altersarmut - Bilanz der Einführung der kapitalgedeckten Riester-Rente," IMK Report, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute 73-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
  30. Refet S. G�rkaynak & Jonathan H. Wright, 2012. "Macroeconomics and the Term Structure," Journal of Economic Literature, American Economic Association, American Economic Association, vol. 50(2), pages 331-67, June.
  31. Byrne, Joseph P. & Fazio, Giorgio & Fiess, Norbert, 2012. "Interest rate co-movements, global factors and the long end of the term spread," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(1), pages 183-192.
  32. Engel, Charles, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," Economics Series, Institute for Advanced Studies 265, Institute for Advanced Studies.
  33. Byrne, Joseph P. & Fazio, Giorgio & Fiess, Norbert, 2010. "Interest Rate Co-movements, Global Factors and the Long End of the Term Spread," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2010-24, Scottish Institute for Research in Economics (SIRE).
  34. Joseph P. Byrne & Jun Nagayasu, 2008. "Common and idiosyncratic factors of the exchange risk premium in emerging European markets," Working Papers, Business School - Economics, University of Glasgow 2008_28, Business School - Economics, University of Glasgow.
  35. 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.
  36. Jaya Krishnakumar & David Neto, 2009. "Testing Uncovered Interest Rate Parity and Term Structure using Three-Regime Threshold Unit Root VECM," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva, Institut d'Economie et Econométrie, Université de Genève 2009.06, Institut d'Economie et Econométrie, Université de Genève.
  37. Heike Joebges & Volker Meinhard & Katja Rietzler & Rudolf Zwiener, 2012. "On the Path to Old-Age Poverty - Assessing the Impact of the Funded Riester Pension," IMK Report, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute 73e-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
  38. Shu Wu, 2005. "Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics 200519, University of Kansas, Department of Economics, revised Oct 2005.
  39. Snaith, Stuart & Coakley, Jerry & Kellard, Neil, 2013. "Does the forward premium puzzle disappear over the horizon?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(9), pages 3681-3693.
  40. Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2007. "Expectations Hypothesis Tests in the Presence of Model Uncertainty," Discussion Paper Series 0703, Institute of Economic Research, Korea University.
  41. 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.
  42. Ray Fair, 2008. "Estimating Exchange Rate Equations Using Estimated Expectations," Yale School of Management Working Papers, Yale School of Management amz2499, Yale School of Management.
  43. Minoas Koukouritakis, 2010. "Structural breaks and the expectations hypothesis of the term structure: evidence from Central European countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer, Springer, vol. 145(4), pages 757-774, January.
  44. Erdemlioglu, Deniz M, 2007. "A new Test of Uncovered Interest Rate Parity: Evidence from Turkey," MPRA Paper 10787, University Library of Munich, Germany.
  45. Joseph P. Byrne & Jun Nagayasu, 2012. "Common Factors Of The Exchange Risk Premium In Emerging European Markets," Bulletin of Economic Research, Wiley Blackwell, Wiley Blackwell, vol. 64(Supplemen), pages s71-s85, December.
  46. Pippenger, John E, 2009. "The Forward-Bias Puzzle: A Solution Based on Covered Interest Parity," University of California at Santa Barbara, Economics Working Paper Series qt05d0t24b, Department of Economics, UC Santa Barbara.
  47. Barbara Rossi, 2007. "Expectations hypotheses tests at Long Horizons," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 10(3), pages 554-579, November.
  48. Jean Boivin & Marc P. Giannoni & Benoît Mojon, 2009. "How Has the Euro Changed the Monetary Transmission Mechanism?," NBER Chapters, National Bureau of Economic Research, Inc, in: NBER Macroeconomics Annual 2008, Volume 23, pages 77-125 National Bureau of Economic Research, Inc.
  49. repec:spo:wpecon:info:hdl:2441/53r60a8s3kup1vc9kd52ge69h is not listed on IDEAS
  50. Brian Lucey & Grace Loring, 2012. "Forward Exchange Rate Biasedness across Developed and Developing Country Currencies - Do Observed Patterns Persist Out of Sample?Abstract:," The Institute for International Integration Studies Discussion Paper Series, IIIS iiisdp404, IIIS.
  51. Schepp, Zoltán, 2003. "Befektetői horizont és a „forwardrejtély”
    [The investor horizon and the ‘forward puzzle’]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 939-963.
  52. 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.
  53. Antoine Bouveret, 2010. "Politiques économiques, dynamique et équilibre de long terme du taux de change," Sciences Po publications, Sciences Po info:hdl:2441/53r60a8s3ku, Sciences Po.
  54. Kumar, Satish & Trück, Stefan, 2014. "Unbiasedness and risk premiums in the Indian currency futures market," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 29(C), pages 13-32.
  55. Antonio Montañés & Marcos Sanso-Navarro, . "Another look at long-horizon uncovered interest parity," Studies on the Spanish Economy, FEDEA 221, FEDEA.
  56. Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2009. "Analysis of the dynamic relation between the currency rates and the interest rates from Romania and euro area before and during the financial crisis," MPRA Paper 41744, University Library of Munich, Germany, revised 04 Mar 2010.