A Theory of Exchange Rates and the Term Structure of Interest Rates
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- Hyoung-Seok Lim & Masao Ogaki, 2013. "A Theory of Exchange Rates and the Term Structure of Interest Rates," Review of Development Economics, Wiley Blackwell, vol. 17(1), pages 74-87, February.
- Masao Ogaki, 1999. "A Theory of Exchange Rates and the Term Structure of Interest Rates," Working Papers 99-19, Ohio State University, Department of Economics.
References listed on IDEAS
- Hyoung-Seok Lim & Masao Ogaki, 2013.
"A Theory of Exchange Rates and the Term Structure of Interest Rates,"
Review of Development Economics,
Wiley Blackwell, vol. 17(1), pages 74-87, February.
- Masao Ogaki, 1999. "A Theory of Exchange Rates and the Term Structure of Interest Rates," Working Papers 99-19, Ohio State University, Department of Economics.
- Hyoung-Seok Lim & Masao Ogaki, 2003. "A Theory of Exchange Rates and the Term Structure of Interest Rates," RCER Working Papers 504, University of Rochester - Center for Economic Research (RCER).
- Alexius, Annika, 2001. "Uncovered Interest Parity Revisited," Review of International Economics, Wiley Blackwell, vol. 9(3), pages 505-517, August.
- Masao Ogaki & Young Hwan Byeon, 1999. "A Empirical Investigation of Exchange Rates and the Term Structure of Interest Rates," Working Papers 99-20, Ohio State University, Department of Economics.
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Citations
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Cited by:
- Kim, Jaebeom & Ogaki, Masao, 2004.
"Purchasing Power Parity for Traded and Non-traded Goods: A Structural Error Correction Model Approach,"
Monetary and Economic Studies,
Institute for Monetary and Economic Studies, Bank of Japan, vol. 22(1), pages 1-25, March.
- Masao Ogaki & Jaebeom Kim, 2004. "Purchasing Power Parity for Traded and Non-traded Goods: A Structural Error Correction Model Approach," Econometric Society 2004 Far Eastern Meetings 515, Econometric Society.
- Hyoung-Seok Lim & Masao Ogaki, 2013.
"A Theory of Exchange Rates and the Term Structure of Interest Rates,"
Review of Development Economics,
Wiley Blackwell, vol. 17(1), pages 74-87, February.
- Masao Ogaki, 1999. "A Theory of Exchange Rates and the Term Structure of Interest Rates," Working Papers 99-19, Ohio State University, Department of Economics.
- Hyoung-Seok Lim & Masao Ogaki, 2003. "A Theory of Exchange Rates and the Term Structure of Interest Rates," RCER Working Papers 504, University of Rochester - Center for Economic Research (RCER).
- Ogaki, Masao & Santaella, Julio A., 2000.
"The exchange rate and the term structure of interest rates in Mexico,"
Journal of Development Economics,
Elsevier, vol. 63(1), pages 135-155, October.
- Masao Ogaki & Julio Santaella, 1999. "The Exchange Rate and the Term Structure of Interest Rates in Mexico," Working Papers 99-21, Ohio State University, Department of Economics.
- Richard T. Baillie & Dooyeon Cho, 2014. "When Carry Trades in Currency Markets are not Profitable," Review of Development Economics, Wiley Blackwell, vol. 18(4), pages 794-803, November.
- Pasricha, Gurnain Kaur, 2006. "Survey of Literature on Covered and Uncovered Interest Parities," MPRA Paper 22737, University Library of Munich, Germany.
- Shu Wu, 2007.
"Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 39(2-3), pages 423-442, March.
- Shu Wu, 2005. "Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200519, University of Kansas, Department of Economics, revised Oct 2005.
- Chinn, Menzie D., 2006. "The (partial) rehabilitation of interest rate parity in the floating rate era: Longer horizons, alternative expectations, and emerging markets," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 7-21, February.
- Antonia LÃPEZ VILLAVICENCIO & Josep Lluís RAYMOND BARA, 2008. "Short-Run And Long-Run Determinants Of The Real Exchange Rate In Mexico," The Developing Economies, Institute of Developing Economies, vol. 46(1), pages 52-74.
- Leo Krippner, 2006. "A Yield Curve Perspective on Uncovered Interest Parity," Working Papers in Economics 06/16, University of Waikato.
- Menzie D. Chinn & Guy Meredith, 2005. "Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era," NBER Working Papers 11077, National Bureau of Economic Research, Inc.
- Jaebeom Kim & Masao Ogaki & Minseok Yang, 2003. "Structural Error Correction Models: Instrumental Variables Methods and an application to an exchange rate model," RCER Working Papers 502, University of Rochester - Center for Economic Research (RCER).
More about this item
Keywords
forward premium anomaly; uncovered interest parity for long term bonds;JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2003-12-14 (All new papers)
- NEP-CFN-2003-12-14 (Corporate Finance)
- NEP-FMK-2003-12-14 (Financial Markets)
- NEP-IFN-2003-12-14 (International Finance)
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