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Tests of covered interest rate parity

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  • Daniel L. Thornton

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  • Daniel L. Thornton, 1989. "Tests of covered interest rate parity," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 55-66.
    • Handle: RePEc:fip:fedlrv:y:1989:i:jul:p:55-66
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    References listed on IDEAS

    as
    1. Belongia, Michael T & Sheehan, Richard G, 1987. "The Informational Efficiency of Weekly Money Announcements: An Econometric Critique," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(3), pages 351-356, July.
    2. Richard G. Sheehan, 1985. "Weekly money announcements: new information and its effects," Review, Federal Reserve Bank of St. Louis, vol. 67(Aug), pages 25-34.
    3. Deaves, Richard & Melino, Angelo & Pesando, James E., 1987. "The response of interest rates to the Federal Reserve's weekly money announcements : The 'puzzle' of anticipated money," Journal of Monetary Economics, Elsevier, vol. 19(3), pages 393-404, May.
    4. Husted, Steven & Kitchen, John, 1985. "Some Evidence on the International Transmission of U.S. Money Supply Announcement Effects," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 17(4), pages 456-466, November.
    5. Michael T. Belongia & Rik Hafer & Richard G. Sheehan, 1986. "A note on the temporal stability of the interest rate-weekly money relationship," Working Papers 1986-002, Federal Reserve Bank of St. Louis.
    6. Deardorff, Alan V, 1979. "One-Way Arbitrage and Its Implications for the Foreign Exchange Markets," Journal of Political Economy, University of Chicago Press, vol. 87(2), pages 351-364, April.
    7. Daniel L. Thornton, 1988. "The borrowed-reserves operating procedures: theory and evidence," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 30-54.
    8. Cornell, Bradford, 1983. "The Money Supply Announcements Puzzle: Review and Interpretation," American Economic Review, American Economic Association, vol. 73(4), pages 644-657, September.
    9. Alec Chrystal, K. & Thornton, Daniel L., 1988. "On the informational content of spot and forward exchange rates," Journal of International Money and Finance, Elsevier, vol. 7(3), pages 321-330, September.
    10. Bahmani-Oskooee, Mohsen & Das, Satya P, 1985. "Transaction Costs and the Interest Parity Theorem," Journal of Political Economy, University of Chicago Press, vol. 93(4), pages 793-799, August.
    11. Clinton, Kevin, 1988. "Transactions Costs and Covered Interest Arbitrage: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 358-370, April.
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    Citations

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    Cited by:

    1. HeeJoon Kang, 1992. "Forward exchange rates as unbiased predictors of future spot rates a review and re-interpretation," Open Economies Review, Springer, vol. 3(2), pages 215-232, June.
    2. Strobel, Frank, 2012. "International tax arbitrage, currency options and put-call parity conditions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 473-486.
    3. Menzies, Gordon D. & Zizzo, Daniel John, 2012. "Monetary policy and inferential expectations of exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(2), pages 359-380.
    4. Otavio De Medeiros, 2005. "Order Flow and Exchange Rate Dynamics in Brazil," Finance 0503019, University Library of Munich, Germany.
    5. Luintel, K. B. & Paudyal, K., 1998. "Common stochastic trends between forward and spot exchange rates," Journal of International Money and Finance, Elsevier, vol. 17(2), pages 279-297, April.

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