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Exchange rate returns, 'news', and risk premia

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  • Koedijk, Kees G.
  • Wolff, Christian C. P.

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  • Koedijk, Kees G. & Wolff, Christian C. P., 1996. "Exchange rate returns, 'news', and risk premia," Economics Letters, Elsevier, vol. 50(1), pages 127-134, January.
    • Handle: RePEc:eee:ecolet:v:50:y:1996:i:1:p:127-134
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    References listed on IDEAS

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    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-853, October.
    3. Ronald Macdonald & Mark P. Taylor, 1992. "Exchange Rate Economics: A Survey," IMF Staff Papers, Palgrave Macmillan, vol. 39(1), pages 1-57, March.
    4. MacDonald, Ronald, 1983. "Tests of Efficiency and the Impact of 'News' in Three Foreign Exchange Markets: The Experience of the 1920's," Bulletin of Economic Research, Wiley Blackwell, vol. 35(2), pages 123-144, November.
    5. Bekaert, Geert & Hodrick, Robert J, 1992. "Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 467-509, June.
    6. Wolff, Christian C. P., 1986. "Exchange rate models and innovations : A derivation," Economics Letters, Elsevier, vol. 20(4), pages 373-376.
    7. Whitney Newey & Kenneth West, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    8. Edwards, Sebastian, 1982. "Exchange rates and `news': A multi-currency approach," Journal of International Money and Finance, Elsevier, vol. 1(1), pages 211-224, January.
    9. Frenkel, Jacob A, 1981. "Flexible Exchange Rates, Prices, and the Role of "News": Lessons from the 1970s," Journal of Political Economy, University of Chicago Press, vol. 89(4), pages 665-705, August.
    10. Frankel, Jeffrey A, 1979. "On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials," American Economic Review, American Economic Association, vol. 69(4), pages 610-622, September.
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    Cited by:

    1. Andrade, Sandro C. & Kohlscheen, Emanuel, 2010. "Pessimistic Foreign Investors and Turmoil in Emerging Markets: The Case of Brazil in 2002," Economic Research Papers 271181, University of Warwick - Department of Economics.
    2. 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.
    3. Rafael R. Rebitzky, 2010. "The Influence Of Fundamentals On Exchange Rates: Findings From Analyses Of News Effects," Journal of Economic Surveys, Wiley Blackwell, vol. 24(4), pages 680-704, September.
    4. M. D. Mckenzie & R. D. Brooks, 2003. "The role of information in Hong Kong individual stock futures trading," Applied Financial Economics, Taylor & Francis Journals, vol. 13(2), pages 123-131.

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