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Citations for "Uncovered interest parity: it works, but not for long"

by Chaboud, Alain P. & Wright, Jonathan H.

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  1. Ranaldo, Angelo, 2009. "Segmentation and time-of-day patterns in foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2199-2206, December.
  2. Norman C. Miller, 2014. "Exchange Rate Economics," Books, Edward Elgar Publishing, number 14981.
  3. Craighead, William D. & Davis, George K. & Miller, Norman C., 2010. "Interest differentials and extreme support for uncovered interest rate parity," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 723-732, October.
  4. Macchiarelli, Corrado, 2011. "A VAR analysis for the uncovered interest parity and the ex-ante purchasing power parity: the role of macroeconomic and financial information," Working Paper Series 1404, European Central Bank.
  5. Philippe Bacchetta & Eric van Wincoop, 2005. "Rational Inattention: A Solution to the Forward Discount Puzzle," NBER Working Papers 11633, National Bureau of Economic Research, Inc.
  6. Young-Kyu Moh & Nelson C. Mark, 2004. "Official Interventions and Occasional Violations of Uncovered Interest Parity in the Dollar-DM Market," Econometric Society 2004 Far Eastern Meetings 762, Econometric Society.
  7. Lee, Byung-Joo, 2013. "Uncovered interest parity puzzle: Asymmetric responses," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 238-249.
  8. Virginie Coudert & Valérie Mignon, 2011. "The “Forward Premium Puzzle” and the Sovereign Default Risk," Working Papers 2011-17, CEPII research center.
  9. Humala, Alberto, 2007. "Expectativas de depreciación y diferencial de tasas de interés: ¿Hay regímenes cambiantes? El caso de Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 14, pages 77-106.
  10. Alberto Humala, 2006. "Depreciation expectations and interest rate differentials: Are there regime switches? The Peruvian case," Working Papers 2006-002, Banco Central de Reserva del Perú.
  11. 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.
  12. Balvers, Ronald J. & Klein, Alina F., 2014. "Currency risk premia and uncovered interest parity in the International CAPM," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 214-230.
  13. Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries, 2007. "The Forward Premium Puzzle only emerges gradually," Tinbergen Institute Discussion Papers 07-033/2, Tinbergen Institute.
  14. 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.
  15. Panagiotis Papaioannou & Lucia Russo & George Papaioannou & Constantinos Siettos, 2013. "Can social microblogging be used to forecast intraday exchange rates?," Netnomics, Springer, vol. 14(1), pages 47-68, November.
  16. Li, Jing & Miller, Norman C., 2015. "Foreign exchange market inefficiency and exchange rate anomalies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 311-320.
  17. Erdemlioglu, Deniz M, 2007. "A new Test of Uncovered Interest Rate Parity: Evidence from Turkey," MPRA Paper 10787, University Library of Munich, Germany.
  18. Yang, Kun & Shintani, Mototsugu, 2006. "Does the prediction horizon matter for the forward premium anomaly? Evidence from panel data," Economics Letters, Elsevier, vol. 93(2), pages 255-260, November.
  19. Ahmed, Jameel & Straetmans, Stefan, 2015. "Predicting exchange rate cycles utilizing risk factors," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 112-130.
  20. Durham, J. Benson, 2014. "Arbitrage-free affine models of the forward price of foreign currency," Staff Reports 665, Federal Reserve Bank of New York.
  21. Engel, Charles, 2014. "Exchange Rates and Interest Parity," Handbook of International Economics, Elsevier.
  22. Jaehun Chung & Yongmiao Hong, 2013. "Model-Free Evaluation of Directional Predictability in Foreign Exchange," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  23. 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.
  24. Bernoth, Kerstin & von Hagen, Jürgen & de Vries, Casper, 2012. "The forward premium puzzle and latent factors day by day," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62017, Verein für Socialpolitik / German Economic Association.
  25. Stefanescu, Razvan & Dumitriu, Ramona, 2016. "Particularitǎţi ale evoluţiei variabilelor financiare
    [Some particularities of the financial variables evolution]
    ," MPRA Paper 73481, University Library of Munich, Germany, revised 02 Sep 2016.
  26. Pippenger, John, 2012. "What Covered Interest Parity Implies about the Theory of Uncovered Interest Parity," University of California at Santa Barbara, Economics Working Paper Series qt0zk6t2hj, Department of Economics, UC Santa Barbara.
  27. Virginie Coudert & Cyriac Guillaumin & Hélene Raymond, 2014. "Looking at the Other Side of Carry Trades: Are there any Safe Haven Currencies?," Working Papers 2014-03, CEPII research center.
  28. Abdalrahman AbuDalu & Elsadig Musa Ahmed, 2013. "The long and short run forcing variables of purchasing power parity of ASEAN-5," E3 Journal of Business Management and Economics., E3 Journals, vol. 4(3), pages 066-081.
  29. Panagiotis Papaioannnou & Lucia Russo & George Papaioannou & Constantinos Siettos, 2013. "Can social microblogging be used to forecast intraday exchange rates?," Papers 1310.5306, arXiv.org.
  30. Philippe Bacchetta & Eric van Wincoop, 2006. "Incomplete information processing: a solution to the forward discount puzzle," Working Paper Series 2006-35, Federal Reserve Bank of San Francisco.
  31. Batten, Jonathan A. & Szilagyi, Peter G., 2007. "Covered interest parity arbitrage and temporal long-term dependence between the US dollar and the Yen," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 409-421.
  32. Emekter, Riza & Jirasakuldech, Benjamas & Snaith, Sean M., 2009. "Nonlinear dynamics in foreign exchange excess returns: Tests of asymmetry," Journal of Multinational Financial Management, Elsevier, vol. 19(3), pages 179-192, July.
  33. Lindé, Jesper & Smets, Frank & Wouters, Rafael, 2016. "Challenges for Central Banks' Macro Models," CEPR Discussion Papers 11405, C.E.P.R. Discussion Papers.
  34. 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.
  35. Wu, Po-Chin & Liu, Shiao-Yen & Hsiao, Juei-Ming & Huang, Tsai-Yuan, 2016. "Nonlinear and time-varying growth-tourism causality," Annals of Tourism Research, Elsevier, vol. 59(C), pages 45-59.
  36. 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.
  37. Pippenger, John, 2011. "A Complete Solution To The Forward-Bias Puzzle," University of California at Santa Barbara, Economics Working Paper Series qt5gq9z4j0, Department of Economics, UC Santa Barbara.
  38. Omer, Muhammad & de Haan, Jakob & Scholtens, Bert, 2013. "Does Uncovered Interest rate Parity Hold After All?," MPRA Paper 47572, University Library of Munich, Germany.
  39. Alina Serban, 2009. "Combining Mean Reversion and Momentum Trading Strategies in Foreign Exchange Markets," Working Papers 09-14, Department of Economics, West Virginia University.
  40. 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.
  41. Lee, Byung-Joo, 2007. "Uncovered Interest Parity: Cross-sectional Evidence," MPRA Paper 10360, University Library of Munich, Germany.
  42. Nath, Golaka, 2013. "The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis," MPRA Paper 51591, University Library of Munich, Germany.
  43. Bhatti, Razzaque H., 2014. "The existence of uncovered interest parity in the CIS countries," Economic Modelling, Elsevier, vol. 40(C), pages 227-241.
  44. repec:wyi:journl:002068 is not listed on IDEAS
  45. Childs, Jason, 2009. "Rate of return parity and currency crises in experimental asset markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 157-170, February.
  46. Lothian, James R., 2016. "Uncovered interest parity: The long and the short of it," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 1-7.
  47. Chu, Shiou-Yen, 2015. "Funding liquidity constraints and the forward premium anomaly in a DSGE model," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 76-89.
  48. M. Hadzi-Vaskov & C.J.M. Kool, 2006. "The Importance of Interest Rate Volatility in Empirical Tests of Uncovered Interest Parity," Working Papers 06-16, Utrecht School of Economics.
  49. Mehl, Arnaud & Cappiello, Lorenzo, 2007. "Uncovered interest parity at distant horizons: evidence on emerging economies & nonlinearities," Working Paper Series 0801, European Central Bank.
  50. Antonio MontanÈs & Marcos Sanso-Navarro, . "Another look at long-horizon uncovered interest parity," Studies on the Spanish Economy 221, FEDEA.
  51. Kerstin Bernoth & Juergen von Hagen & Casper de Vries, 2007. "The Forward Premium Puzzle: new evidence from futures contracts," DNB Working Papers 125, Netherlands Central Bank, Research Department.
  52. TRIANDAFIL, Cristina Maria, 2013. "Sustainability of convergence in the context of macro-prudential policies in the European Union," Working Papers of National Institute of Economic Research 130618, National Institute of Economic Research.
  53. Philippe Bacchetta & Elmar Mertens & Eric van Wincoop, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Working Papers 06.04, Swiss National Bank, Study Center Gerzensee.
  54. Jaimilton Carvalho & José Angelo Divino, 2008. "Paridade Descoberta da Taxa de Juros em Países Latino-Americanos," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807172349250, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  55. 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.
  56. Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889.
  57. Alain P. Chaboud & Sergey V. Chernenko & Edward Howorka & Raj S. Krishnasami Iyer & David Liu & Jonathan H. Wright, 2004. "The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market," International Finance Discussion Papers 823, Board of Governors of the Federal Reserve System (U.S.).
  58. Peter G. Szilagyi & Jonathan A. Batten, 2006. "Arbitrage, Covered Interest Parity and Long-Term Dependence between the US Dollar and the Yen," The Institute for International Integration Studies Discussion Paper Series iiisdp128, IIIS.
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