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Citations for "Affine Term Structure Models and the Forward Premium Anomaly"

by David K. Backus

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  1. Perron, Pierre & Wada, Tatsuma, 2009. "Let's take a break: Trends and cycles in US real GDP," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 749-765, September.
  2. M. Hadzi-Vaskov & C.J.M. Kool, 2007. "Stochastic Discount Factor Approach to International Risk-Sharing: Evidence from Fixed Exchange Rate Episodes," Working Papers 07-33, Utrecht School of Economics.
  3. Kenneth West, 2003. "Monetary policy and the volatility of real exchange rates in New Zealand," New Zealand Economic Papers, Taylor & Francis Journals, vol. 37(2), pages 175-196.
  4. Della Corte, Pasquale & Sarno, Lucio & Tsiakas, Ilias, 2011. "Spot and forward volatility in foreign exchange," Journal of Financial Economics, Elsevier, vol. 100(3), pages 496-513, June.
  5. Gourio, François & Siemer, Michael & Verdelhan, Adrien, 2013. "International risk cycles," Journal of International Economics, Elsevier, vol. 89(2), pages 471-484.
  6. Leippold, Markus & Wu, Liuren, 2002. "Asset Pricing under the Quadratic Class," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(02), pages 271-295, June.
  7. Engel, Charles, 2014. "Exchange Rates and Interest Parity," Handbook of International Economics, Elsevier.
  8. Barbara Rossi, 2013. "Exchange Rate Predictability," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
  9. Hassan, Tarek & Mano, Rui C., 2014. "Forward and Spot Exchange Rates in a Multi-currency World," CEPR Discussion Papers 10060, C.E.P.R. Discussion Papers.
  10. Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
  11. Brandt, Michael W. & Santa-Clara, Pedro, 2002. "Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets," Journal of Financial Economics, Elsevier, vol. 63(2), pages 161-210, February.
  12. Peng Cheng & Olivier Scaillet, 2002. "Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility," FAME Research Paper Series rp67, International Center for Financial Asset Management and Engineering.
  13. Copeland, Laurence & Lu, Wenna, 2016. "Dodging the steamroller: Fundamentals versus the carry trade," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 115-131.
  14. Adrien Verdelhan, 2010. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Journal of Finance, American Finance Association, vol. 65(1), pages 123-146, 02.
  15. Jagannathan, Raj, 2008. "A class of asset pricing models governed by subordinate processes that signal economic shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 32(12), pages 3820-3846, December.
  16. Matteo Maggiori, 2013. "The U.S. Dollar Safety Premium," 2013 Meeting Papers 75, Society for Economic Dynamics.
  17. Grisse, Christian & Nitschka, Thomas, 2015. "On financial risk and the safe haven characteristics of Swiss franc exchange rates," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 153-164.
  18. Moore, Michael J. & Roche, Maurice J., 2010. "Solving exchange rate puzzles with neither sticky prices nor trade costs," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 1151-1170, October.
  19. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias, 2008. "Evaluating an estimated new Keynesian small open economy model," Journal of Economic Dynamics and Control, Elsevier, vol. 32(8), pages 2690-2721, August.
  20. Dong Heon Kim, 2004. "Nonlinearity in the Term Structure," Econometric Society 2004 Far Eastern Meetings 440, Econometric Society.
  21. Ahmet Can Ýnci, 2007. "Currency and yield Co-integration between a developed and an emerging Country: The Case of Turkey," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 21(1+2), pages 1-20.
  22. Ahmed, Shamim & Liu, Xiaoquan & Valente, Giorgio, 2016. "Can currency-based risk factors help forecast exchange rates?," International Journal of Forecasting, Elsevier, vol. 32(1), pages 75-97.
  23. Baillie, Richard T. & Cho, Dooyeon, 2014. "Time variation in the standard forward premium regression: Some new models and tests," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 52-63.
  24. Hans Dewachter & Kristien Smedts, 2007. "Limits to international arbitrage: an empirical evaluation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(3), pages 273-285.
  25. Andrew Atkeson & Patrick J. Kehoe, 2009. "On the Need for a New Approach to Analyzing Monetary Policy," NBER Chapters,in: NBER Macroeconomics Annual 2008, Volume 23, pages 389-425 National Bureau of Economic Research, Inc.
  26. Faust, Jon & Rogers, John H., 2003. "Monetary policy's role in exchange rate behavior," Journal of Monetary Economics, Elsevier, vol. 50(7), pages 1403-1424, October.
  27. Mo, Henry & Wu, Liuren, 2007. "International capital asset pricing: Evidence from options," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 465-498, September.
  28. Markus Leippold & Liuren Wu, 2002. "Design and Estimation of Quadratic Term Structure Models," Finance 0207014, EconWPA.
  29. Peter Spreij & Enno Veerman & Peter Vlaar, 2008. "Multivariate Feller conditions in term structure models: Why do(n't) we care?," DNB Working Papers 173, Netherlands Central Bank, Research Department.
  30. Wachter, Jessica A., 2006. "A consumption-based model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 79(2), pages 365-399, February.
  31. Bacchetta, Philippe & van Wincoop, Eric, 2005. "Rational Inattention: A Solution to the Forward Discount Puzzle," CEPR Discussion Papers 5261, C.E.P.R. Discussion Papers.
  32. Anella Munro, 2014. "Exchange rates, expected returns and risk," Reserve Bank of New Zealand Discussion Paper Series DP2014/01, Reserve Bank of New Zealand.
  33. Divino, Jose Angelo, 2009. "Optimal monetary policy for a small open economy," Economic Modelling, Elsevier, vol. 26(2), pages 352-358, March.
  34. Stavrakeva, Vania & Tang, Jenny, 2015. "Exchange rates and monetary policy," Working Papers 15-16, Federal Reserve Bank of Boston.
  35. Hakon Tretvoll, 2013. "Investment-Specific Technology Shocks and Recursive Preferences," 2013 Meeting Papers 1207, Society for Economic Dynamics.
  36. Chang, Sanders S., 2013. "Can cross-country portfolio rebalancing give rise to forward bias in FX markets?," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 1079-1096.
  37. D. Duffie & D. Filipovic & W. Schachermayer, 2002. "Affine Processes and Application in Finance," NBER Technical Working Papers 0281, National Bureau of Economic Research, Inc.
  38. Francesco Ravazzolo & Tommy Sveen & Sepideh K. Zahiri, 2016. "Commodity Futures and Forecasting Commodity Currencies," Working Papers No 7/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  39. Wagner, Christian, 2012. "Risk-premia, carry-trade dynamics, and economic value of currency speculation," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1195-1219.
  40. Jiménez-Martín, Juan-Ángel & Cinca, Alfonso Novales, 2010. "State-uncertainty preferences and the risk premium in the exchange rate market," Economic Modelling, Elsevier, vol. 27(5), pages 1043-1053, September.
  41. S. Mouabbi, 2014. "An arbitrage-free Nelson-Siegel term structure model with stochastic volatility for the determination of currency risk premia," Working papers 527, Banque de France.
  42. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2009. "Time-Varying Risk, Interest Rates, and Exchange Rates in General Equilibrium," Review of Economic Studies, Oxford University Press, vol. 76(3), pages 851-878.
  43. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2012. "Properties of foreign exchange risk premiums," Journal of Financial Economics, Elsevier, vol. 105(2), pages 279-310.
  44. Chan R. Mang, 2014. "Uncertain Risk and Return in Bond Markets, I," 2014 Papers pma1706, Job Market Papers.
  45. Antonio Diez De Los Rios, 2009. "Can Affine Term Structure Models Help Us Predict Exchange Rates?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(4), pages 755-766, June.
  46. Hakon Tretvoll, 2012. "Real exchange rate variability in a two country business cycle model," 2012 Meeting Papers 911, Society for Economic Dynamics.
  47. Moore, Michael J. & Roche, Maurice J., 2002. "Less of a puzzle: a new look at the forward forex market," Journal of International Economics, Elsevier, vol. 58(2), pages 387-411, December.
  48. Mario Cerrato & John Crosby & Muhammad Kaleem, 2011. "Measuring the economic significance of structural exchange rate models," Working Papers 2011_17, Business School - Economics, University of Glasgow.
  49. Craig Burnside & Martin Eichenbaum & Isaac Kleshchelski & Sergio Rebelo, 2006. "The Returns to Currency Speculation," 2006 Meeting Papers 864, Society for Economic Dynamics.
  50. Kimberly Berg & Nelson C. Mark, 2016. "Global Macro Risks in Currency Excess Returns," Staff Working Papers 16-32, Bank of Canada.
  51. Inci, Ahmet Can & Lu, Biao, 2004. "Exchange rates and interest rates: can term structure models explain currency movements?," Journal of Economic Dynamics and Control, Elsevier, vol. 28(8), pages 1595-1624, June.
  52. Jair N. Ojeda-Joya, 2014. "A Consumption-Based Approach to Exchange Rate Predictability," Borradores de Economia 857, Banco de la Republica de Colombia.
  53. Sam Nasypbek & Scheherazade S Rehman, 2011. "Explaining the returns of active currency managers," BIS Papers chapters,in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 211-256 Bank for International Settlements.
  54. Ravi Bansal & Ivan Shaliastovich, 2012. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," NBER Working Papers 18357, National Bureau of Economic Research, Inc.
  55. Pericoli, Marcello & Taboga, Marco, 2012. "Bond risk premia, macroeconomic fundamentals and the exchange rate," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 42-65.
  56. Jotikasthira, Chotibhak & Le, Anh & Lundblad, Christian, 2015. "Why do term structures in different currencies co-move?," Journal of Financial Economics, Elsevier, vol. 115(1), pages 58-83.
  57. Clark, Todd E. & West, Kenneth D., 2006. "Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 155-186.
  58. Rabitsch, Katrin, 2016. "An incomplete markets explanation of the UIP puzzle," FinMaP-Working Papers 53, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  59. Hassan, Tarek A. & Mertens, Thomas M. & Zhang, Tony, 2016. "Not so disconnected: Exchange rates and the capital stock," Journal of International Economics, Elsevier, vol. 99(S1), pages 43-57.
  60. Sager, Michael & Taylor, Mark P., 2014. "Generating currency trading rules from the term structure of forward foreign exchange premia," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 230-250.
  61. Hanno Lustig & Adrien Verdelhan, 2007. "The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk," American Economic Review, American Economic Association, vol. 97(1), pages 89-117, March.
  62. Lothian, James R. & Wu, Liuren, 2011. "Uncovered interest-rate parity over the past two centuries," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 448-473, April.
  63. Luca Benati, 2006. "Affine term structure models for the foreign exchange risk premium," Bank of England working papers 291, Bank of England.
  64. Metodij Hadzi-Vaskov & Clemens J.M. Kool, "undated". "Stochastic Discount Factor Approach to International Risk-Sharing: A Trilateral Framework," EcoMod2007 23900031, EcoMod.
  65. Sercu, Piet & Vinaimont, Tom, 2006. "The forward bias in the ECU: Peso risks vs. fads and fashions," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2409-2432, August.
  66. Todd E. Clark & Kenneth D. West, 2005. "Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference," NBER Technical Working Papers 0305, National Bureau of Economic Research, Inc.
  67. Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2005. "Testing affine term structure models in case of transaction costs," Journal of Econometrics, Elsevier, vol. 126(1), pages 201-232, May.
  68. Inci, Ahmet Can, 2006. "Co-integrating currencies and yield differentials," Review of Financial Economics, Elsevier, vol. 15(2), pages 159-175.
  69. Lucio Sarno & Giorgio Valente & Hyginus Leon, 2006. "Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," Review of Finance, European Finance Association, vol. 10(3), pages 443-482, September.
  70. repec:eee:jimfin:v:74:y:2017:i:c:p:337-352 is not listed on IDEAS
  71. repec:ebl:ecbull:v:6:y:2008:i:15:p:1-14 is not listed on IDEAS
  72. 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, 02.
  73. Campbell, Rachel & Koedijk, Kees & Lothian, James R & Mahieu, Ronald J, 2007. "Irving Fisher, Expectational Errors, and the UIP Puzzle," CEPR Discussion Papers 6294, C.E.P.R. Discussion Papers.
  74. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2008. "If exchange rates are random walks, then almost everything we say about monetary policy is wrong," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Jul, pages 2-9.
  75. Kulish, Mariano & Rees, Daniel, 2011. "The yield curve in a small open economy," Journal of International Economics, Elsevier, vol. 85(2), pages 268-279.
  76. Christophe Chamley, 2006. "Complementarities in information acquisition with short-term trades," Boston University - Department of Economics - Working Papers Series WP2006-042, Boston University - Department of Economics.
  77. Atanasov, Victoria & Nitschka, Thomas, 2014. "Currency excess returns and global downside market risk," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 268-285.
  78. Devereux, Michael B. & Engel, Charles, 2002. "Exchange rate pass-through, exchange rate volatility, and exchange rate disconnect," Journal of Monetary Economics, Elsevier, vol. 49(5), pages 913-940, July.
  79. Alex Luiz Ferreira, 2016. "Precautionary And Long Run Risks For An Open Economy," Anais do XLIII Encontro Nacional de Economia [Proceedings of the 43rd Brazilian Economics Meeting] 047, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  80. Ames, Matthew & Bagnarosa, Guillaume & Peters, Gareth W., 2017. "Violations of uncovered interest rate parity and international exchange rate dependences," Journal of International Money and Finance, Elsevier, vol. 73(PA), pages 162-187.
  81. repec:eee:jfinec:v:124:y:2017:i:2:p:415-440 is not listed on IDEAS
  82. Egorov, Alexei V. & Li, Haitao & Ng, David, 2011. "A tale of two yield curves: Modeling the joint term structure of dollar and euro interest rates," Journal of Econometrics, Elsevier, vol. 162(1), pages 55-70, May.
  83. Vasilyev, Dmitry & Busygin, Vladimir & Busygin, Sergei, 2016. "Testing and Interpreting Uncovered Interest Parity in Russia," Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 4, pages 35-55, August.
  84. Inci, Ahmet Can, 2007. "US-Swiss term structures and exchange rate dynamics," Global Finance Journal, Elsevier, vol. 18(2), pages 270-288.
  85. Charles Engel, 2016. "Exchange Rates, Interest Rates, and the Risk Premium," American Economic Review, American Economic Association, vol. 106(2), pages 436-474, February.
  86. M. Hadzi-Vaskov & C.J.M. Kool, 2007. "Stochastic Discount Factor Approach to International Risk-Sharing:A Robustness Check of the Bilateral Setting," Working Papers 07-34, Utrecht School of Economics.
  87. Durham, J. Benson, 2014. "Arbitrage-free affine models of the forward price of foreign currency," Staff Reports 665, Federal Reserve Bank of New York.
  88. Bali, Turan G. & Wu, Liuren, 2010. "The role of exchange rates in intertemporal risk-return relations," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1670-1686, December.
  89. Aloosh, Arash, 2014. "Global Variance Risk Premium and Forex Return Predictability," MPRA Paper 59931, University Library of Munich, Germany.
  90. Lemke, Wolfgang, 2008. "An affine macro-finance term structure model for the euro area," The North American Journal of Economics and Finance, Elsevier, vol. 19(1), pages 41-69, March.
  91. Tigran Poghosyan & Evžen KoÄenda & Petr ZemÄik, 2008. "Modeling Foreign Exchange Risk Premium in Armenia," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 44(1), pages 41-61, January.
  92. Philippe Bacchetta & Eric van Wincoop, 2006. "Incomplete information processing: a solution to the forward discount puzzle," Proceedings, Federal Reserve Bank of San Francisco, issue Jun.
  93. Philippe Bacchetta & Eric van Wincoop, 2010. "Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle," American Economic Review, American Economic Association, vol. 100(3), pages 870-904, June.
  94. Scholl, Almuth & Uhlig, Harald, 2008. "New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates," Journal of International Economics, Elsevier, vol. 76(1), pages 1-13, September.
  95. Brandt, Michael & Cochrane, John & Santa-Clara, Pedro, 2001. "International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth!," University of California at Los Angeles, Anderson Graduate School of Management qt1jw137zd, Anderson Graduate School of Management, UCLA.
  96. A. Craig Burnside & Jeremy J. Graveline, 2012. "On the Asset Market View of Exchange Rates," NBER Working Papers 18646, National Bureau of Economic Research, Inc.
  97. Stavrakeva, Vania & Tang, Jenny, 2016. "Exchange rates and the yield curve," Working Papers 16-21, Federal Reserve Bank of Boston.
  98. D.D. Evans, Martin, 2017. "External balances, trade and financial conditions," Journal of International Economics, Elsevier, vol. 107(C), pages 165-184.
  99. Ivan Shaliastovich & Ravi Bansal, 2012. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," 2012 Meeting Papers 778, Society for Economic Dynamics.
  100. Jylhä, Petri & Suominen, Matti, 2011. "Speculative capital and currency carry trades," Journal of Financial Economics, Elsevier, vol. 99(1), pages 60-75, January.
  101. Hanno Lustig & Adrien Verdelhan, 2011. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply," American Economic Review, American Economic Association, vol. 101(7), pages 3477-3500, December.
  102. Evžen Koèenda & Tigran Poghosyan, 2010. "Exchange Rate Risk in Central European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(1), pages 22-39, February.
  103. Nessrine Hamzaoui & Boutheina Regaieg, 2016. "The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic approach to investigating the foreign exchange forward premium volatility," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1608-1615.
  104. Carmen Gloria Silva, 2010. "Forward premium puzzle and term structure of interest rates: the case of New Zealand," Working Papers Central Bank of Chile 570, Central Bank of Chile.
  105. Apte, Prakash & Sercu, Piet & Uppal, Raman, 2004. "The exchange rate and purchasing power parity: extending the theory and tests," Journal of International Money and Finance, Elsevier, vol. 23(4), pages 553-571, June.
  106. Mariano Kulish & Daniel Rees, 2008. "Monetary Transmission and the Yield Curve in a Small Open Economy," RBA Research Discussion Papers rdp2008-03, Reserve Bank of Australia.
  107. Diez, Federico J. & Presno, Ignacio, 2013. "Domestic and foreign announcements on unconventional monetary policy and exchange rates," Public Policy Brief, Federal Reserve Bank of Boston.
  108. Brennan, Michael J. & Xia, Yihong, 2004. "International Capital Markets and Foreign Exchange Risk," University of California at Los Angeles, Anderson Graduate School of Management qt53z0s29k, Anderson Graduate School of Management, UCLA.
  109. Michael F. Gallmeyer & Burton Hollifield & Francisco J. Palomino & Stanley E. Zin, 2007. "Arbitrage-free bond pricing with dynamic macroeconomic models," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 305-326.
  110. Norman C. Miller, 2014. "Exchange Rate Economics," Books, Edward Elgar Publishing, number 14981.
  111. Perignon, Christophe & Smith, Daniel R. & Villa, Christophe, 2007. "Why common factors in international bond returns are not so common," Journal of International Money and Finance, Elsevier, vol. 26(2), pages 284-304, March.
  112. Nikola Mirkov, 2014. "International financial transmission of the Fed's monetary policy," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 7(2), pages 7-49, September.
  113. Inci, Ahmet Can, 2008. "The Japanese yen futures returns, spot returns, and the risk premium," Global Finance Journal, Elsevier, vol. 18(3), pages 385-399.
  114. Christian Wagner, 2008. "Risk-Premia, Carry-Trade Dynamics, and Speculative Efficiency of Currency Markets," Working Papers 143, Oesterreichische Nationalbank (Austrian Central Bank).
  115. Nessrine Hamzaoui & Boutheina Regaieg, 2016. "Exploration of the Foreign Exchange Forward Premiums and the Spot Exchange Return: A Multivariate Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 694-702.
  116. Inci, Ahmet Can & Lu, Biao, 2007. "Currency futures-spot basis and risk premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(2), pages 180-197, April.
  117. Yin, Weiwei & Li, Junye, 2014. "Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 46-64.
  118. D H Kim, 2004. "Nonlinearity in the Term Structure," The School of Economics Discussion Paper Series 0401, Economics, The University of Manchester.
  119. Inci, Ahmet Can, 2005. "ERM effects on currency spot and futures markets," Global Finance Journal, Elsevier, vol. 16(2), pages 145-163, December.
  120. Hiroshi Ugai, 2015. "Transmission Channels and Welfare Implications of Unconventional Monetary Easing Policy in Japan," UTokyo Price Project Working Paper Series 060, University of Tokyo, Graduate School of Economics, revised Dec 2015.
  121. Clarida, Richard & Davis, Josh & Pedersen, Niels, 2009. "Currency carry trade regimes: Beyond the Fama regression," Journal of International Money and Finance, Elsevier, vol. 28(8), pages 1375-1389, December.
  122. Poghosyan Tigran, 2012. "Determinants of the Foreign Exchange Risk Premium in the Gulf Cooperation Council Countries," Review of Middle East Economics and Finance, De Gruyter, vol. 7(3), pages 1-26, May.
  123. Grossmann, Axel & Simpson, Marc W., 2015. "Bid-ask spreads, deviations from PPP and the forward prediction error: The case of the British pound and the euro," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 124-139.
  124. Chang, Yanqin, 2007. "high level of international risk sharing when the productivity growth contains long run risk," MPRA Paper 4476, University Library of Munich, Germany.
  125. Anatolyev, Stanislav & Gospodinov, Nikolay & Jamali, Ibrahim & Liu, Xiaochun, 2015. "Foreign exchange predictability during the financial crisis: implications for carry trade profitability," FRB Atlanta Working Paper 2015-6, Federal Reserve Bank of Atlanta.
  126. Tigran Poghosyan & Evzen Kocenda, 2006. "Foreign Exchange Risk Premium Determinants: Case of Armenia," CERGE-EI Working Papers wp297, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  127. repec:eee:jimfin:v:78:y:2017:i:c:p:1-20 is not listed on IDEAS
  128. Iwata, Shigeru & Wu, Shu, 2009. "Stock market liberalization and international risk sharing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 461-476, July.
  129. Murphy, Austin & Zhu, Yun (Ellen), 2008. "Unraveling the complex interrelationships between exchange rates and fundamentals," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1150-1160, June.
  130. Yu, Jianfeng, 2013. "A sentiment-based explanation of the forward premium puzzle," Journal of Monetary Economics, Elsevier, vol. 60(4), pages 474-491.
  131. Matthew Ames & Gareth W. Peters & Guillaume Bagnarosa & Ioannis Kosmidis, 2014. "Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence," Papers 1406.4322, arXiv.org.
  132. Larsen, Linda Sandris, 2010. "Optimal investment strategies in an international economy with stochastic interest rates," International Review of Economics & Finance, Elsevier, vol. 19(1), pages 145-165, January.
  133. Ruoyang Li & Alva Svoboda & Shmuel Oren, 2015. "Efficiency impact of convergence bidding in the california electricity market," Journal of Regulatory Economics, Springer, vol. 48(3), pages 245-284, December.
  134. Brandt, Michael W. & Cochrane, John H. & Santa-Clara, Pedro, 2006. "International risk sharing is better than you think, or exchange rates are too smooth," Journal of Monetary Economics, Elsevier, vol. 53(4), pages 671-698, May.
  135. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2010. "Properties of Foreign Exchange Risk Premia," MPRA Paper 21302, University Library of Munich, Germany.
  136. Lorenzo Cappiello & Nikolaos Panigirtzoglou, 2008. "Estimates of foreign exchange risk premia: a pricing kernel approach," Empirical Economics, Springer, vol. 35(3), pages 475-495, November.
  137. Matti Suominen & Petri Jylhä, 2009. "Arbitrage Capital and Currency Carry Trade Returns," 2009 Meeting Papers 84, Society for Economic Dynamics.
  138. repec:eee:econom:v:201:y:2017:i:2:p:333-347 is not listed on IDEAS
  139. Bakshi, Gurdip & Carr, Peter & Wu, Liuren, 2008. "Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies," Journal of Financial Economics, Elsevier, vol. 87(1), pages 132-156, January.
  140. Gurdip Bakashi & Mario Cerrato & John Crosby, 2015. "Risk Sharing in International Economies and Market Incompleteness," Working Papers 2015_23, Business School - Economics, University of Glasgow.
  141. Dahlquist, Magnus & Hasseltoft, Henrik, 2013. "International Bond Risk Premia," Journal of International Economics, Elsevier, vol. 90(1), pages 17-32.
  142. Groth, Charlotta & Zampolli, Fabrizio, 2010. "Macroeconomic stability and the real interest rate: a cross-country analysis," Discussion Papers 30, Monetary Policy Committee Unit, Bank of England.
  143. Anella Munro, 2016. "Bond premia, monetary policy and exchange rate dynamics," Reserve Bank of New Zealand Discussion Paper Series DP2016/11, Reserve Bank of New Zealand.
  144. Vilimir Yordanov, 2012. "The Bulgarian Foreign and Domestic Debt ??? A No-Arbitrage Macrofinancial View," William Davidson Institute Working Papers Series wp1032, William Davidson Institute at the University of Michigan.
  145. Jurek, Jakub W., 2014. "Crash-neutral currency carry trades," Journal of Financial Economics, Elsevier, vol. 113(3), pages 325-347.
  146. Mirkov, Nikola, 2012. "International Financial Transmission of the US Monetary Policy: An Empirical Assessment," Working Papers on Finance 1201, University of St. Gallen, School of Finance.
  147. Bekaert, Geert & Wei, Min & Xing, Yuhang, 2007. "Uncovered interest rate parity and the term structure," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 1038-1069, October.
  148. Kocenda, Evzen & Poghosyan, Tigran, 2009. "Macroeconomic sources of foreign exchange risk in new EU members," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2164-2173, November.
  149. Georg Mosburger & Paul Schneider, 2005. "Modelling International Bond Markets with Affine Term Structure Models," Finance 0509003, EconWPA.
  150. Ricardo J. Caballero & Joseph B. Doyle, 2012. "Carry Trade and Systemic Risk: Why are FX Options so Cheap?," NBER Working Papers 18644, National Bureau of Economic Research, Inc.
  151. repec:eee:jimfin:v:74:y:2017:i:c:p:88-114 is not listed on IDEAS
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This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.