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The modern theory of forward foreign exchange: some new consistent estimates under rational expectations

  • Thomas C. Glaessner
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    File URL: http://www.federalreserve.gov/pubs/ifdp/1982/206/ifdp206.pdf
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    Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 206.

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    Date of creation: 1982
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    Handle: RePEc:fip:fedgif:206
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    1. Lars Peter Hansen & Thomas J. Sargent, 1979. "Formulating and estimating dynamic linear rational expectations models," Working Papers 127, Federal Reserve Bank of Minneapolis.
    2. Driskill, Robert & McCafferty, Stephen, 1982. "Spot and forward rates in a stochastic model of the foreign exchange market," Journal of International Economics, Elsevier, vol. 12(3-4), pages 313-331, May.
    3. Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-53, October.
    4. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    5. Hans R. Stoll, 1968. "An Empirical Study of the Forward Exchange Market under Fixed and Flexible Exchange Rate Systems," Canadian Journal of Economics, Canadian Economics Association, vol. 1(1), pages 55-78, February.
    6. Callier, Philippe, 1980. " Speculation and the Forward Foreign Exchange Rate: A Note," Journal of Finance, American Finance Association, vol. 35(1), pages 173-76, March.
    7. Cumby, Robert E. & Huizinga, John & Obstfeld, Maurice, 1983. "Two-step two-stage least squares estimation in models with rational expectations," Journal of Econometrics, Elsevier, vol. 21(3), pages 333-355, April.
    8. Fair, Ray C, 1970. "The Estimation of Simultaneous Equation Models with Lagged Endogenous Variables and First Order Serially Correlated Errors," Econometrica, Econometric Society, vol. 38(3), pages 507-16, May.
    9. Kohlhagen, Steven W, 1979. "Testing for the Role of Speculation in the Forward Exchange Market: Some Problems If There are Fisherian Expectations," The Review of Economics and Statistics, MIT Press, vol. 61(4), pages 608-10, November.
    10. Richard D. Haas, 1974. "More Evidence on the Role of Speculation in the Canadian Forward Exchange Market," Canadian Journal of Economics, Canadian Economics Association, vol. 7(3), pages 496-501, August.
    11. McCallum, Bennett T, 1976. "Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates," Econometrica, Econometric Society, vol. 44(1), pages 43-52, January.
    12. Callier, Philippe, 1981. "Speculation, interest arbitrage, and the forward foreign exchange rate of the Canadian dollar: Updated evidence," Journal of Macroeconomics, Elsevier, vol. 3(2), pages 293-299.
    13. 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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