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Rational expectations, risk premia, and the market for spot and forward exchange

Author

Listed:
  • Richard Meese
  • Kenneth J. Singleton

Abstract

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Suggested Citation

  • Richard Meese & Kenneth J. Singleton, 1980. "Rational expectations, risk premia, and the market for spot and forward exchange," International Finance Discussion Papers 165, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgif:165
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    File URL: http://www.federalreserve.gov/pubs/ifdp/1980/165/ifdp165.pdf
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    Citations

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    Cited by:

    1. Jeffrey A. Frankel & James H. Stock, 1983. "A Relationship Between Regression Tests and Volatility Tests of Market ncy," NBER Working Papers 1105, National Bureau of Economic Research, Inc.
    2. Baldwin, Richard, 1990. "Re-Interpreting the Failure of Foreign Exchange Market Efficiency Tests: Small Transaction Costs, Big Hysteresis Bands," CEPR Discussion Papers 407, C.E.P.R. Discussion Papers.
    3. Robert E. Cumby & Maurice Obstfeld, 1980. "Exchange-Rate Expectations and Nominal Interest Differentials: A Test ofthe Fisher Hypothesis," NBER Working Papers 0537, National Bureau of Economic Research, Inc.
    4. Dale W. Henderson, 1982. "The role of intervention policy in open economy financial policy: a macroeconomic perspective," International Finance Discussion Papers 202, Board of Governors of the Federal Reserve System (U.S.).
    5. Shiller, Robert J, 1981. "The Use of Volatility Measures in Assessing Market Efficiency," Journal of Finance, American Finance Association, vol. 36(2), pages 291-304, May.
    6. David A. Hsieh, 1982. "Tests of Rational Expectations and No Risk Premium in Forward Exchange Markats," NBER Working Papers 0843, National Bureau of Economic Research, Inc.

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