The term structure of the forward premium
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- Craig S. Hakkio, 1979. "The Term Structure of the Forward Premium," Discussion Papers 404, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Craig S. Hakkio, 1980. "The Term Structure of the Forward Premium," NBER Working Papers 0426, National Bureau of Economic Research, Inc.
References listed on IDEAS
- Sargent, Thomas J, 1972. "Rational Expectations and the Term Structure of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 4(1), pages 74-97, Part I Fe.
- L. G. Telser, 1967. "A Critique of Some Recent Empirical Research on the Explanation of the Term Structure of Interest Rates," Journal of Political Economy, University of Chicago Press, vol. 75, pages 546-546.
- Modigliani, Franco & Shiller, Robert J, 1973. "Inflation, Rational Expectations and the Term Structure of Interest Rates," Economica, London School of Economics and Political Science, vol. 40(157), pages 12-43, February.
- Jensen, Michael C., 1978. "Some anomalous evidence regarding market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 95-101.
- Frenkel, Jacob A & Levich, Richard M, 1977. "Transaction Costs and Interest Arbitrage: Tranquil versus Turbulent Periods," Journal of Political Economy, University of Chicago Press, vol. 85(6), pages 1209-1226, December.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Hodrick, Robert J. & Srivastava, Sanjay, 1984.
"An investigation of risk and return in forward foreign exchange,"
Journal of International Money and Finance,
Elsevier, vol. 3(1), pages 5-29, April.
- Robert J. Hodrick & Sanjay Srivastava, 1983. "An Investigation of Risk and Return in Forward Foreign Exchange," NBER Working Papers 1180, National Bureau of Economic Research, Inc.
- S. M. Ahmed & M. I. Ansari, 1997. "Modelling the efficiency of the Canadian foreign exchange market: a bivariate transfer function analysis," Applied Economics, Taylor & Francis Journals, vol. 29(1), pages 63-70.
- Ahtiala, Pekka & Orgler, Yair E., 1995. "The optimal pricing of exports invoiced in different currencies," Journal of Banking & Finance, Elsevier, vol. 19(1), pages 61-77, April.
- Thomas Chiang & Jose Trinidad, 1997. "Risk and International Parity Conditions: A Synthesis from Consumption Based Models," International Economic Journal, Taylor & Francis Journals, vol. 11(2), pages 73-101.
- Karen K. Lewis, 1990. "Was There a "Peso Problem" in the U.S. Term Structure of Interest Rates:1979-1982?," NBER Working Papers 3282, National Bureau of Economic Research, Inc.
- Ito, Takatoshi, 1988.
"Use of (Time-Domain) Vector Autoregressions to Test Uncovered Interest Parity,"
The Review of Economics and Statistics,
MIT Press, vol. 70(2), pages 296-305, May.
- Takatoshi Ito, 1984. "Use of (Time-Domain) Vector Autoregressions to Test Uncovered Interest Parity," NBER Working Papers 1493, National Bureau of Economic Research, Inc.
- Obstfeld, Maurice, 1982. "Can We Sterilize? Theory and Evidence," American Economic Review, American Economic Association, vol. 72(2), pages 45-50, May.
- 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.
- Bilson, John F O, 1981. "The "Speculative Efficiency" Hypothesis," The Journal of Business, University of Chicago Press, vol. 54(3), pages 435-451, July.
- Robert E. Cumby & Maurice Obstfeld, 1984.
"International Interest Rate and Price Level Linkages under Flexible Exchange Rates: A Review of Recent Evidence,"
NBER Chapters,in: Exchange Rate Theory and Practice, pages 121-152
National Bureau of Economic Research, Inc.
- Robert E. Cumby & Maurice Obstfeld, 1982. "International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence," NBER Working Papers 0921, National Bureau of Economic Research, Inc.
- David S. Jones & V. Vance Roley, 1982. "Rational Expectations, the Expectations Hypothesis, and Treasury Bill Yields: An Econometric Analysis," NBER Working Papers 0869, National Bureau of Economic Research, Inc.
- repec:sbe:breart:v:9:y:1989:i:1:a:3078 is not listed on IDEAS
- John Sequeira & MICHAEL McALEER, 2000. "Testing the risk premium and cost-of-carry hypotheses for currency futures contracts," Applied Financial Economics, Taylor & Francis Journals, vol. 10(3), pages 277-289.
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