The spot-forward relationship revisited: an ERM perspective
No abstract is available for this item.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 11 (2001)
Issue (Month): 1 (March)
|Contact details of provider:|| Web page: http://www.elsevier.com/locate/intfin|
References listed on IDEAS
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.:
- Krugman, Paul R, 1991.
"Target Zones and Exchange Rate Dynamics,"
The Quarterly Journal of Economics,
MIT Press, vol. 106(3), pages 669-82, August.
- Bertola, G. & Svensson, L.E., 1990.
"Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models,"
481, Stockholm - International Economic Studies.
- Bertola, Giuseppe & Svensson, Lars E O, 1993. "Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models," Review of Economic Studies, Wiley Blackwell, vol. 60(3), pages 689-712, July.
- Bertola, Giuseppe & Svensson, Lars E O, 1991. "Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models," CEPR Discussion Papers 513, C.E.P.R. Discussion Papers.
- Giuseppe Bertola & Lars E.O. Svensson, 1991. "Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models," NBER Working Papers 3576, National Bureau of Economic Research, Inc.
- Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
- Hansen, Bruce E, 2002.
"Tests for Parameter Instability in Regressions with I(1) Processes,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(1), pages 45-59, January.
- Hansen, Bruce E, 1992. "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 321-35, July.
- Svensson, Lars E O, 1991.
"The Simplest Test of Target Zone Credibility,"
CEPR Discussion Papers
493, C.E.P.R. Discussion Papers.
- Moore, Michael J. & Copeland, Laurence S., 1995. "A comparison of Johansen and Phillips-Hansen cointegration tests of forward market efficiency Baillie and Bollerslev revisited," Economics Letters, Elsevier, vol. 47(2), pages 131-135, February.
- Svensson, Lars E. O., 1993.
"Assessing target zone credibility : Mean reversion and devaluation expectations in the ERM, 1979-1992,"
European Economic Review,
Elsevier, vol. 37(4), pages 763-793, May.
- Lars E.O. Svensson, 1991. "Assessing Target Zone Credibility: Mean Reversion and Devaluation Expectations in the ERM 1979-1992," NBER Working Papers 3795, National Bureau of Economic Research, Inc.
- Evans, George W, 1991. "Pitfalls in Testing for Explosive Bubbles in Asset Prices," American Economic Review, American Economic Association, vol. 81(4), pages 922-30, September.
- Phillips, Peter C B & Hansen, Bruce E, 1990.
"Statistical Inference in Instrumental Variables Regression with I(1) Processes,"
Review of Economic Studies,
Wiley Blackwell, vol. 57(1), pages 99-125, January.
- Tom Doan, . "FM: RATS procedure to estimate cointegrating vectors using Fully Modified Least Squares," Statistical Software Components RTS00069, Boston College Department of Economics.
- Moore, Michael J, 1994. "Testing for Unbiasedness in Forward Markets," The Manchester School of Economic & Social Studies, University of Manchester, vol. 62(0), pages 67-78, Suppl..
- Peter C.B. Phillips, 1988.
"Optimal Inference in Cointegrated Systems,"
Cowles Foundation Discussion Papers
866R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
- Bekaert, Geert, 1996.
"The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective,"
Review of Financial Studies,
Society for Financial Studies, vol. 9(2), pages 427-70.
- Geert Bekaert, 1994. "The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective," NBER Working Papers 4818, National Bureau of Economic Research, Inc.
- Barry Eichengreen & Charles Wyplosz, 1993. "The Unstable EMS," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 24(1), pages 51-144.
- Gregory, Allan W & Hansen, Bruce E, 1996.
"Tests for Cointegration in Models with Regime and Trend Shifts,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 58(3), pages 555-60, August.
- Tom Doan, . "GREGORYHANSEN: RATS procedure to implement Gregory-Hansen test for Cointegration with breaks," Statistical Software Components RTS00082, Boston College Department of Economics.
- Baillie, R.T. & Bollerslev, T., 1993.
"The Long Memory of the Foreward Premium,"
9203, Michigan State - Econometrics and Economic Theory.
- 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.
- 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.
- Bilson, John F O, 1981.
"The "Speculative Efficiency" Hypothesis,"
The Journal of Business,
University of Chicago Press, vol. 54(3), pages 435-51, July.
- Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, vol. 52(3), pages 389-402, June.
When requesting a correction, please mention this item's handle: RePEc:eee:intfin:v:11:y:2001:i:1:p:29-52. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.