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Risk, Policy Rules, and Noise: Rethinking Deviations From Uncovered Interest Parity

  • Nelson C. Mark

    ()

  • Yangru Wu

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File URL: http://ecolan.sbs.ohio-state.edu/pdf/mark/noise.pdf
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Paper provided by Ohio State University, Department of Economics in its series Working Papers with number 014.

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Date of creation: Nov 1996
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Handle: RePEc:osu:osuewp:014
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  20. Backus, D.K. & Foresi, S. & Telmer, C.I., 1994. "The Forward Premium Anomaly: Three Examples in Serach of Solution," Papers 95-01, Columbia - Graduate School of Business.
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  23. David Backus & Silverio Foresi & Chris Telmer, 1994. "The Forward Premium Anamoly: Three Examples in Search of a Solution," GSIA Working Papers 7, Carnegie Mellon University, Tepper School of Business.
  24. Geert Bekaert & Robert J. Hodrick, 1991. "On Biases in the Measurement of Foreign Exchange Risk Premiums," NBER Working Papers 3861, National Bureau of Economic Research, Inc.
  25. Taylor, Stephen J, 1992. "Rewards Available to Currency Futures Speculators: Compensation for Risk or Evidence of Inefficient Pricing?," The Economic Record, The Economic Society of Australia, vol. 0(0), pages 105-16, Supplemen.
  26. Canova, Fabio & Ito, Takatoshi, 1991. "The Time-Series Properties of the Risk Premium in the Yen/Dollar Exchange Market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(2), pages 125-42, April-Jun.
  27. David K. Backus & Allan W. Gregory & Chris I. Telmer, 1990. "Accounting for Forward Rates in Markets for Foreign Currency," Working Papers 792, Queen's University, Department of Economics.
  28. Chen, Jian & Mark, Nelson C, 1996. "Alternative Long-Horizon Exchange-Rate Predictors," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 1(4), pages 229-50, October.
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  36. Baillie, Richard T & Bollerslev, Tim, 1989. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 297-305, July.
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  38. Cavaglia, Stefano M F G & Verschoor, Willem F C & Wolff, Christian C P, 1994. "On the Biasedness of Forward Foreign Exchange Rates: Irrationality or Risk Premia?," The Journal of Business, University of Chicago Press, vol. 67(3), pages 321-43, July.
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