Interest rate parity and the exchange risk premium Evidence from panel data
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- E. Scott Mayfield & Robert G. Murphy, 1993. "Interest Rate Parity And The Exchange Risk Premium: Evidence From Panel Data," Boston College Working Papers in Economics 239, Boston College Department of Economics.
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- So, Raymond W., 2001. "Price and volatility spillovers between interest rate and exchange value of the US dollar," Global Finance Journal, Elsevier, vol. 12(1), pages 95-107.
- Razzaque Bhatti & Imad Moosa, 1995. "An alternative approach to testing uncovered interest parity," Applied Economics Letters, Taylor & Francis Journals, vol. 2(12), pages 478-481.
- Haas Ornelas, José Renato, 2019.
"Expected currency returns and volatility risk premia,"
The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 206-234.
- José Renato Haas Ornelas, 2017. "Expected Currency Returns and Volatility Risk Premia," Working Papers Series 454, Central Bank of Brazil, Research Department.
- Mayfield, E. Scott & Murphy, Robert G., 1996.
"Explaining the term structure of interest rates: A panel data approach,"
Journal of Economics and Business, Elsevier, vol. 48(1), pages 11-21, February.
- E. Scott Mayfield & Robert G. Murphy, 1993. "Explaining The Term Structure Of Interest Rates: A Panel Data Approach," Boston College Working Papers in Economics 230, Boston College Department of Economics.
- Engel, Charles, 1996.
"The forward discount anomaly and the risk premium: A survey of recent evidence,"
Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
- Charles Engel, 1995. "The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence," NBER Working Papers 5312, National Bureau of Economic Research, Inc.
- Imad Moosa & Razzaque Bhatti, 1997. "Are Asian Markets Integrated? Evidence for Six Countries Vis-A-Vis Japan," International Economic Journal, Taylor & Francis Journals, vol. 11(1), pages 51-67.
- Van Newby, 2002. "The effects of news on exchange rates when the risk premium is considered," Applied Financial Economics, Taylor & Francis Journals, vol. 12(2), pages 147-153.
- Rui Albuquerque, 2004. "The Forward Premium Puzzle in a Model of Imperfect Information: Theory and Evidence," International Finance 0405007, University Library of Munich, Germany.
- Jason Childs & Stuart Mestelman, 2006.
"Rate‐of‐return Parity in Experimental Asset Markets,"
Review of International Economics, Wiley Blackwell, vol. 14(3), pages 331-347, August.
- Jason Childs & Stuart Mestelman, 2004. "Rate of Return Parity in Experimental Asset Markets," Department of Economics Working Papers 2004-01, McMaster University.
- Jason Childs & Stuart Mestelman, 2004. "Rate of Return Parity in Experimental Asset Markets," McMaster Experimental Economics Laboratory Publications 2004-07, McMaster University.
- Pornpinun Chantapacdepong, 2007. "Determinants of the time varying risk premia," Bristol Economics Discussion Papers 07/597, School of Economics, University of Bristol, UK.
- George Halkos & Stephanos Papadamou, 2007. "Significance of risk modelling in the term structure of interest rates," Applied Financial Economics, Taylor & Francis Journals, vol. 17(3), pages 237-247.
- Albuquerque, Rui, 2008. "The forward premium puzzle in a model of imperfect information," Economics Letters, Elsevier, vol. 99(3), pages 461-464, June.
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