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Interest rate parity and foreign exchange risk premia in the ERM

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  • Ayuso, Juan
  • Restoy, Fernando

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  • Ayuso, Juan & Restoy, Fernando, 1996. "Interest rate parity and foreign exchange risk premia in the ERM," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 369-382, June.
  • Handle: RePEc:eee:jimfin:v:15:y:1996:i:3:p:369-382
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    References listed on IDEAS

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    1. Alberto Giovannini, 1990. "European Monetary Reform: Progress and Prospects," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 21(2), pages 217-292.
    2. Levich, Richard M., 1985. "Empirical studies of exchange rates: Price behavior, rate determination and market efficiency," Handbook of International Economics,in: R. W. Jones & P. B. Kenen (ed.), Handbook of International Economics, edition 1, volume 2, chapter 19, pages 979-1040 Elsevier.
    3. Dumas, B. & Solnik, B., 1993. "The World Price of Foreign Exchange Risk," Weiss Center Working Papers 93-9, Wharton School - Weiss Center for International Financial Research.
    4. Juan Ayuso & M.P. Jurado & Fernando Restoy, 1994. "Is Exchange Rate Risk Higher in the E.R.M. after the Widening of Fluctuation Bands?," Working Papers 9419, Banco de España;Working Papers Homepage.
    5. Bernard Dumas & Bruno Solnik, 1993. "The World Price of Foreign Exchange Risk," NBER Working Papers 4459, National Bureau of Economic Research, Inc.
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    Citations

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    Cited by:

    1. Paul D. McNelis & G.C. Lim, 1998. "Parameterizing Currency Risk in the EMS: The Irish Pound and Spanish Peseta against the German Mark," International Finance 9805001, EconWPA.
    2. 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.
    3. Groen, Jan J.J. & Balakrishnan, Ravi, 2006. "Asset price based estimates of sterling exchange rate risk premia," Journal of International Money and Finance, Elsevier, pages 71-92.
    4. Jesús Rodríguez López & Hugo Rodríguez Mendizábal, 2006. "How tight should one's hands be tied? Fear of floating and credibility of exchange regimes," Working Papers 06.03, Universidad Pablo de Olavide, Department of Economics.
    5. Jesús Rodríguez López & Hugo Rodríguez Mendizábal, 2007. "The Optimal Degree of Exchange Rate Flexibility: a Target Zone Approach," Review of International Economics, Wiley Blackwell, vol. 15(4), pages 803-822, September.
    6. Inci, Ahmet Can, 2005. "ERM effects on currency spot and futures markets," Global Finance Journal, Elsevier, vol. 16(2), pages 145-163, December.
    7. Stuart Landon & Constance E. Smith, 2003. "The Risk Premium, Exchange Rate Expectations, and the Forward Exchange Rate: Estimates for the Yen--Dollar Rate," Review of International Economics, Wiley Blackwell, vol. 11(1), pages 144-158, February.
    8. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2013. "Exchange Rate Target Zones: A Survey Of The Literature," Journal of Economic Surveys, Wiley Blackwell, pages 247-268.
    9. Jesús Rodríguez López & Hugo Rodríguez Mendizábal, 2003. "How Tight Should Central Bank’s Hands be Tied? Credibility, Volatility and the Optimal Band Width of a Target Zone," Economic Working Papers at Centro de Estudios Andaluces E2003/24, Centro de Estudios Andaluces.
    10. Jess Rodr?uez L?ez & Hugo Rodr?uez Mendiz?al, 2002. "On the Choice of an Exchange Rate Regime: Target Zones Revisited," UFAE and IAE Working Papers 518.02, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    11. 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.
    12. Ravi Balakrishnan & Volodymyr Tulin, 2006. "U.S. Dollar Risk Premiums and Capital Flows," IMF Working Papers 06/160, International Monetary Fund.
    13. Drakos, Konstantinos, 2003. "The term structure of deviations from the interest parity," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(1), pages 57-67, February.
    14. Peter Carr & Zura Kakushadze, 2015. "FX Options in Target Zone," Papers 1512.01527, arXiv.org, revised Jul 2016.
    15. Jesus Rodriguez Lopez & Hugo Rodriguez Mendizabal, 2003. "How tight should one's hands be tied? Fear of floating and credibility of exchange rate regimes," UFAE and IAE Working Papers 593.03, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    16. Jesús Rodríguez López & Hugo Rodríguez Mendizábal, 2002. "On the Choice of an Exchange Regime: Target Zones Revisited," Economic Working Papers at Centro de Estudios Andaluces E2002/10, Centro de Estudios Andaluces.

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