Exchange rates, uncovered interest parity, and time-varying Fama regressions
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- Bowen Fu & Mengheng Li & Qazi Haque, 2025. "Exchange Rates, Uncovered Interest Parity, and Time‐Varying Fama Regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(3), pages 310-324, April.
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Cited by:
- Bowen Fu & Ivan Mendieta-Muñoz, 2025. "Trend inflation and structural shocks," Working Paper Series, Department of Economics, University of Utah 2025-01, University of Utah, Department of Economics.
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Keywords
Uncovered interest rate parity; forward-premium puzzle; excess volatility puzzle; Bayesian time-varying regression; stochastic volatility.;All these keywords.
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