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


  • Richard Meese
  • Kenneth J. Singleton


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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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    References listed on IDEAS

    1. Kareken, John H & Muench, Thomas & Wallace, Neil, 1973. "Optimal Open Market Strategy: The Use of Information Variables," American Economic Review, American Economic Association, vol. 63(1), pages 156-172, March.
    2. Henderson, Dale W., 1977. "Eurodollars, petrodollars, and world liquidity and inflation: A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 5(1), pages 311-318, January.
    3. Freedman, Charles, 1977. "A model of the Eurodollar market," Journal of Monetary Economics, Elsevier, vol. 3(2), pages 139-161, April.
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    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. 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.).
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    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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