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Empirical studies of exchange rates: Price behavior, rate determination and market efficiency

In: Handbook of International Economics

Citations

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Cited by:

  1. Ayuso, Juan & Restoy, Fernando, 1996. "Interest rate parity and foreign exchange risk premia in the ERM," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 369-382, June.
  2. Newbold, Paul & Wohar, Mark E. & Rayner, Tony & Kellard, Neil & Ennew, Christine, 1998. "Two puzzles in the analysis of foreign exchange market efficiency," International Review of Financial Analysis, Elsevier, vol. 7(2), pages 95-111.
  3. Lucjan T. Orlowski, 1995. "Recent Developments in International Currency Derivatives Market: Implications for Poland," CASE Network Studies and Analyses 0055, CASE-Center for Social and Economic Research.
  4. Deborah J. Danker & Peter Hooper, 1990. "International financial markets and the U.S. external imbalance," International Finance Discussion Papers 372, Board of Governors of the Federal Reserve System (U.S.).
  5. 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.
  6. Ray C. Fair, 1986. "Interest Rate and Exchange Rate Determination," Cowles Foundation Discussion Papers 810, Cowles Foundation for Research in Economics, Yale University.
  7. Kay Strong & Subhash Sharma, 2002. "Cointegration of price measures: Evidence from the G-7," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 26(1), pages 111-122, March.
  8. Jamilov, Rustam, 2013. "Capital mobility in the Caucasus," Economic Systems, Elsevier, vol. 37(2), pages 155-170.
  9. Simpson, Marc W. & Grossmann, Axel, 2014. "An examination of the forward prediction error of U.S. dollar exchange rates and how they are related to bid-ask spreads, purchasing power parity disequilibria, and forward premium asymmetry," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 221-238.
  10. Edison, Hali J. & Fisher, Eric O'N, 1991. "A long-run view of the European monetary system," Journal of International Money and Finance, Elsevier, vol. 10(1), pages 53-70, March.
  11. Richards, Gordon R., 2000. "Reconciling econophysics with macroeconomic theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 282(1), pages 325-335.
  12. Leonardo Bartolini & Gordon M. Bodnar, 1996. "Are Exchange Rates Excessively Volatile? And What Does "Excessively Volatile" Mean, Anyway?," IMF Staff Papers, Palgrave Macmillan, vol. 43(1), pages 72-96, March.
  13. Zhang, Hui Jun & Dufour, Jean-Marie & Galbraith, John W., 2016. "Exchange rates and commodity prices: Measuring causality at multiple horizons," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 100-120.
  14. Charles van Marrewijk, 2004. "An introduction to international money and foreign exchange markets," International Finance 0410006, University Library of Munich, Germany.
  15. Gencay, Ramazan & Selcuk, Faruk & Ulugulyagci, Abdurrahman, 2003. "High volatility, thick tails and extreme value theory in value-at-risk estimation," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 337-356, October.
  16. Odedokun, M. O., 1997. "The monetary approach to analysing floating exchange rate behaviour in developing countries: Evidence from sub-Saharan African countries, 1986-1992," Journal of Development Economics, Elsevier, vol. 52(2), pages 463-481, April.
  17. Gencay, Ramazan & Selcuk, Faruk, 2004. "Extreme value theory and Value-at-Risk: Relative performance in emerging markets," International Journal of Forecasting, Elsevier, vol. 20(2), pages 287-303.
  18. Sabuhoro, Jean Bosco & Larue, Bruno, 1997. "The market efficiency hypothesis: The case of coffee and cocoa futures," Agricultural Economics, Blackwell, vol. 16(3), pages 171-184, August.
  19. McCallum, Bennett T., 1994. "A reconsideration of the uncovered interest parity relationship," Journal of Monetary Economics, Elsevier, vol. 33(1), pages 105-132, February.
  20. Chiang, Thomas C. & Jiang, Christine X., 1995. "Foreign exchange returns over short and long horizons," International Review of Economics & Finance, Elsevier, vol. 4(3), pages 267-282.
  21. Kondo, Koji, 1997. "Statistical analysis of foreign exchange rates: application of cointegration model and regime-switching stochastic volatility model," ISU General Staff Papers 1997010108000012997, Iowa State University, Department of Economics.
  22. Richard M. Levich & Lee R. Thomas, 1991. "The Significance of Technical Trading-Rule Profits in the Foreign Exchange Market: A Bootstrap Approach," NBER Working Papers 3818, National Bureau of Economic Research, Inc.
  23. 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.
  24. Richard C. Marston, 1987. "Exchange Rate Policy Reconsidered," NBER Working Papers 2310, National Bureau of Economic Research, Inc.
  25. Ross Levine, 1988. "The forward exchange rate bias: a new explanation," International Finance Discussion Papers 338, Board of Governors of the Federal Reserve System (U.S.).
  26. Richards, Gordon R., 2000. "The fractal structure of exchange rates: measurement and forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 163-180, June.
  27. Ikeda, Shinsuke & Shibata, Akihisa, 1995. "Fundamentals uncertainty, bubbles, and exchange rate dynamics," Journal of International Economics, Elsevier, vol. 38(3-4), pages 199-222, May.
  28. Pasquariello, Paolo, 2002. "Uncertainty of trading rules in currency markets: an application of non-parametric bootstrapping," Journal of Multinational Financial Management, Elsevier, vol. 12(2), pages 107-133, April.
  29. Levine, Ross, 1989. "The pricing of forward exchange rates," Journal of International Money and Finance, Elsevier, vol. 8(2), pages 163-179, June.
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