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Portfolio substitution and exchange rate volatility

  • Sibert, Anne
  • Ha, Jiming

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File URL: http://www.sciencedirect.com/science/article/B6VBW-3SX0R5J-8/2/0b66cd11d76b36a632a8e473b5d8e33f
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Article provided by Elsevier in its journal Journal of Monetary Economics.

Volume (Year): 39 (1997)
Issue (Month): 3 (August)
Pages: 517-534

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Handle: RePEc:eee:moneco:v:39:y:1997:i:3:p:517-534
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505566

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  1. Girton, Lance & Roper, Don E, 1981. "Theory and Implications of Currency Substitution," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 13(1), pages 12-30, February.
  2. Lucas, Robert Jr., 1982. "Interest rates and currency prices in a two-country world," Journal of Monetary Economics, Elsevier, vol. 10(3), pages 335-359.
  3. David K. Backus & Allan W. Gregory & Chris I. Telmer, 1992. "Accounting for Forward Rates in Markets for Foreign Currency," Working Papers 92-18b, New York University, Leonard N. Stern School of Business, Department of Economics.
  4. R. Mehra & E. Prescott, 2010. "The equity premium: a puzzle," Levine's Working Paper Archive 1401, David K. Levine.
  5. Anne Sibert & Jiming Ha, 1996. "Portfolio Substitution and Exchange Rate Volatility," Archive Working Papers 027, Birkbeck, Department of Economics, Mathematics & Statistics.
  6. Hakkio, Craig S & Sibert, Anne, 1995. "The Foreign Exchange Risk Premium: Is It Real?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(2), pages 301-17, May.
  7. Goldman, Steven Marc, 1974. "Flexibility and the demand for money," Journal of Economic Theory, Elsevier, vol. 9(2), pages 203-222, October.
  8. Kareken, John & Wallace, Neil, 1981. "On the Indeterminacy of Equilibrium Exchange Rates," The Quarterly Journal of Economics, MIT Press, vol. 96(2), pages 207-22, May.
  9. Alan C. Stockman, 1978. "A Theory of Exchange Rate Determination," UCLA Economics Working Papers 122, UCLA Department of Economics.
  10. Svensson, Lars E. O., 1985. "Currency prices, terms of trade, and interest rates: A general equilibrium asset-pricing cash-in-advance approach," Journal of International Economics, Elsevier, vol. 18(1-2), pages 17-41, February.
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