What explains the risk premium in foreign exchange returns?
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References listed on IDEAS
- Bernanke, Ben S., 1986.
"Alternative explanations of the money-income correlation,"
Carnegie-Rochester Conference Series on Public Policy,
Elsevier, pages 49-99.
- Ben S. Bernanke, 1986. "Alternative Explanations of the Money-Income Correlation," NBER Working Papers 1842, National Bureau of Economic Research, Inc.
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- Corrado Macchiarelli, 2013.
"On the Joint Test of the Uncovered Interest Parity and the Ex-ante Purchasing Power Parity,"
Review of International Economics,
Wiley Blackwell, vol. 21(3), pages 519-535, August.
- 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 1404, European Central Bank.
- Mun, Kyung-Chun & Morgan, George Emir, 2003. "Risk premia on foreign exchange: a direct approach," Journal of Multinational Financial Management, Elsevier, vol. 13(3), pages 231-250, July.
- Lothian, James R. & Wu, Liuren, 2011.
"Uncovered interest-rate parity over the past two centuries,"
Journal of International Money and Finance,
Elsevier, vol. 30(3), pages 448-473, April.
- James R. Lothian & Liuren Wu, 2003. "Uncovered Interest Rate Parity Over the Past Two Centuries," International Finance 0311009, EconWPA.
- 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.
- Grossmann, Axel & Simpson, Marc W., 2015. "Bid-ask spreads, deviations from PPP and the forward prediction error: The case of the British pound and the euro," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 124-139.
- Barabás, Gyula, 1996.
"Kamatparitás lebegő és csúszó leértékeléses árfolyamrendszerben
[Interest parity in floating and in crawling-peg foreign exchange rate régimes]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 972-994.
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