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Parity conditions and the efficiency of the Australian 90- and 180-day forward markets

  • Felmingham, Bruce
  • Leong, SuSan
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    File URL: http://www.sciencedirect.com/science/article/pii/S1058-3300(04)00037-0
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    Article provided by Elsevier in its journal Review of Financial Economics.

    Volume (Year): 14 (2005)
    Issue (Month): 2 ()
    Pages: 127-145

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    Handle: RePEc:eee:revfin:v:14:y:2005:i:2:p:127-145
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620170

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    3. Ichiro Otani & Siddharth Tiwari, 1981. "Capital Controls and Interest Rate Parity: The Japanese Experience, 1978-81 (Régulation des capitaux et niveau des taux d'intérêt: le cas du Japon, 1978-81) (Control de capitales y paridad de los t," IMF Staff Papers, Palgrave Macmillan, vol. 28(4), pages 793-815, December.
    4. Adolfo Sachsida & Roberto Ellery & Joanilio Rodolpho Teixeira, 2001. "Uncovered interest parity and the peso problem: the Brazilian case," Applied Economics Letters, Taylor & Francis Journals, vol. 8(3), pages 179-181.
    5. Prachowny, Martin F J, 1970. "A Note on Interest Parity and the Supply of Arbitrage Funds," Journal of Political Economy, University of Chicago Press, vol. 78(3), pages 540-45, May-June.
    6. Bennett T. McCallum, 1992. "A Reconsideration of the Uncovered Interest Parity Relationship," NBER Working Papers 4113, National Bureau of Economic Research, Inc.
    7. Christensen, Michael, 2000. "Uncovered Interest Parity and Policy Behavior New Evidence," Finance Working Papers 00-2, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    8. Geert Bekaert & Robert J. Hodrick, 2000. "Expectations Hypotheses Tests," NBER Working Papers 7609, National Bureau of Economic Research, Inc.
    9. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
    10. Froot, Kenneth A & Thaler, Richard H, 1990. "Foreign Exchange," Journal of Economic Perspectives, American Economic Association, vol. 4(3), pages 179-92, Summer.
    11. 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.
    12. Frenkel, Jacob A, 1973. "Elasticities and the Interest Parity Theory," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 741-47, May-June.
    13. Turnovsky, Stephen J & Ball, Katrina M, 1983. "Covered Interest Parity and Speculative Efficiency: Some Empirical Evidence for Australia," The Economic Record, The Economic Society of Australia, vol. 59(166), pages 271-80, September.
    14. Guy Meredith & Menzie D. Chinn, 1998. "Long-Horizon Uncovered Interest Rate Parity," NBER Working Papers 6797, National Bureau of Economic Research, Inc.
    15. Thomas D. Willett & Young Seok Ahn & Manfred W. Keil, . "Capital Mobility for Developing Countries May Not Be So High," Claremont Colleges Working Papers 2000-26, Claremont Colleges.
    16. Taylor, Mark P, 1987. "Covered Interest Parity: A High-Frequency, High-Quality Data Study," Economica, London School of Economics and Political Science, vol. 54(216), pages 429-38, November.
    17. Ronald Macdonald & Mark P. Taylor, 1992. "Exchange Rate Economics: A Survey," IMF Staff Papers, Palgrave Macmillan, vol. 39(1), pages 1-57, March.
    18. Phillips, Peter C B, 1995. "Fully Modified Least Squares and Vector Autoregression," Econometrica, Econometric Society, vol. 63(5), pages 1023-78, September.
    19. Crowder, William J., 1995. "Covered interest parity and international capital market efficiency," International Review of Economics & Finance, Elsevier, vol. 4(2), pages 115-132.
    20. Phillips, P.C.B., 1991. "A Shortcut to LAD Estimator Asymptotics," Econometric Theory, Cambridge University Press, vol. 7(04), pages 450-463, December.
    21. Alex Maynard & Peter C. B. Phillips, 2001. "Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(6), pages 671-708.
    22. Peter C.B. Phillips & James W. McFarland, 1993. "Forward Exchange Market Unbiasedness: The Case of the Australian Dollar Since 1984," Cowles Foundation Discussion Papers 1055, Cowles Foundation for Research in Economics, Yale University, revised 1996.
    23. Peter C. B. Phillips & Bruce E. Hansen, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Oxford University Press, vol. 57(1), pages 99-125.
    24. Frenkel, Jacob A & Levich, Richard M, 1975. "Covered Interest Arbitrage: Unexploited Profits?," Journal of Political Economy, University of Chicago Press, vol. 83(2), pages 325-38, April.
    25. Taylor, Mark P, 1989. "Covered Interest Arbitrage and Market Turbulence," Economic Journal, Royal Economic Society, vol. 99(396), pages 376-91, June.
    26. Bruce Felmincham & Peter Mansfield, 1997. "Rationality and the Risk Premium on the Australian dollar," International Economic Journal, Taylor & Francis Journals, vol. 11(3), pages 47-59.
    27. Aliber, Robert Z, 1973. "The Interest Rate Parity Theorem: A Reinterpretation," Journal of Political Economy, University of Chicago Press, vol. 81(6), pages 1451-59, Nov.-Dec..
    28. Kaminsky, Graciela, 1993. "Is There a Peso Problem? Evidence from the Dollar/Pound Exchange Rate, 1976-1987," American Economic Review, American Economic Association, vol. 83(3), pages 450-72, June.
    29. Abeysekera, Sarath P & Turtle, Harry J, 1995. "Long-Run Relations in Exchange Markets: A Test of Covered Interest Parity," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(4), pages 431-47, Winter.
    30. West, Kenneth D, 1988. "Asymptotic Normality, When Regressors Have a Unit Root," Econometrica, Econometric Society, vol. 56(6), pages 1397-1417, November.
    31. Don E. Roper, 1975. "The Role of Expected Value Analysis for Speculative Decisions in the Forward Currency Market," The Quarterly Journal of Economics, Oxford University Press, vol. 89(1), pages 157-169.
    32. Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 13-47, March.
    33. repec:pid:journl:v:24:y:1985:i:3-4:p:481-495 is not listed on IDEAS
    34. Feldstein, Martin & Horioka, Charles, 1980. "Domestic Saving and International Capital Flows," Economic Journal, Royal Economic Society, vol. 90(358), pages 314-29, June.
    35. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
    36. Chinn, Menzie David & Meredith, Guy, 2000. "Interest parity at short and long horizons," SFB 373 Discussion Papers 2000,44, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    37. Chinn, Menzie D. & Meredith, Guy, 2000. "Testing uncovered interest parity at short and long horizons," HWWA Discussion Papers 102, Hamburg Institute of International Economics (HWWA).
    38. Koedijk, Kees G. & Schotman, Peter, 1990. "How to beat the random walk : An empirical model of real exchange rates," Journal of International Economics, Elsevier, vol. 29(3-4), pages 311-332, November.
    39. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665 National Bureau of Economic Research, Inc.
    40. Dooley, Michael P & Isard, Peter, 1980. "Capital Controls, Political Risk, and Deviations from Interest-Rate Parity," Journal of Political Economy, University of Chicago Press, vol. 88(2), pages 370-84, April.
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