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Citations for "Forward and spot exchange rates"

by Fama, Eugene F.

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  1. Josh Stillwagon, 2013. "The Excess Returns Puzzle in Currency Markets: Clues on Moving Forward," Working Papers 1313, Trinity College, Department of Economics.
  2. 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.
  3. Schepp, Zoltán, 2003. "Befektetői horizont és a „forwardrejtély”
    [The investor horizon and the ‘forward puzzle’]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 939-963.
  4. Riccardo Colacito & Mariano M. Croce, 2013. "International Asset Pricing with Recursive Preferences," Journal of Finance, American Finance Association, vol. 68(6), pages 2651-2686, December.
  5. 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.
  6. Curcuru, Stephanie E. & Thomas, Charles P. & Warnock, Francis E. & Wongswan, Jon, 2014. "Uncovered Equity Parity and Rebalancing in International Portfolios," International Finance Discussion Papers 1103, Board of Governors of the Federal Reserve System (U.S.).
  7. Dimitris Kenourgios, 2005. "Testing Efficiency And The Unbiasedness Hypothesis Of The Emerging Greek Futures Market," Finance 0512015, EconWPA.
  8. Luigi Guiso & Paolo Sodini, 2012. "Household Finance. An Emerging Field," EIEF Working Papers Series 1204, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2012.
  9. König, Peter & Möller, Joachim, 1988. "Deviations from uncovered interest parity: A Kalman filter approach to the Mark/Dollar rate and the Swiss Franc/Dollar rate," Discussion Papers, Series II 52, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
  10. Sofiane Sekioua, 2004. "The forward unbiasedness hypothesis and the forward premium: a nonlinear analysis," Money Macro and Finance (MMF) Research Group Conference 2003 85, Money Macro and Finance Research Group.
  11. Corrado Macchiarelli, 2013. "On the Joint Test of the Uncovered Interest Parity and the Ex-ante Purchasing Power Parity," Review of International Economics, Wiley Blackwell, vol. 21(3), pages 519-535, 08.
  12. 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.
  13. Mun, Kyung-Chun & Morgan, George Emir, 2003. "Risk premia on foreign exchange: a direct approach," Journal of Multinational Financial Management, Elsevier, vol. 13(3), pages 231-250, July.
  14. Ralph S.J. Koijen & Tobias J. Moskowitz & Lasse Heje Pedersen & Evert B. Vrugt, 2013. "Carry," NBER Working Papers 19325, National Bureau of Economic Research, Inc.
    • Koijen, Ralph & Moskowitz, Tobias J & Pedersen, Lasse Heje & Vrugt, Evert B., 2013. "Carry," CEPR Discussion Papers 9771, C.E.P.R. Discussion Papers.
  15. Michael Frömmel & Robinson Kruse, 2009. "Interest rate convergence in the EMS prior to European Monetary Union," CREATES Research Papers 2009-23, School of Economics and Management, University of Aarhus.
  16. Frankel, Jeffrey & Poonawala, Jumana, 2009. "The Forward Market in Emerging Currencies: Less Biased Than in Major Currencies," Working Paper Series rwp09-023, Harvard University, John F. Kennedy School of Government.
  17. Jeffrey A. Frankel & Kenneth A. Froot, 1986. "Short-term and long-term expectations of the yen/dollar exchange rate: evidence from survey data," International Finance Discussion Papers 292, Board of Governors of the Federal Reserve System (U.S.).
  18. Shakill Hassan & Sean Smith, 2011. "The Rand as a Carry Trade Target: Risk, Returns and Policy Implications," Working Papers 235, Economic Research Southern Africa.
  19. Bernard Dumas, 1993. "Partial- Vs. General-Equilibrium Models of the International Capital Market," NBER Working Papers 4446, National Bureau of Economic Research, Inc.
  20. Jylhä, Petri & Suominen, Matti, 2011. "Speculative capital and currency carry trades," Journal of Financial Economics, Elsevier, vol. 99(1), pages 60-75, January.
  21. Isaac, Alan G., 1998. "Risk premia and overshooting," Economics Letters, Elsevier, vol. 61(3), pages 359-364, December.
  22. repec:dgr:uvatin:19970014 is not listed on IDEAS
  23. Christopher F Baum & John Barkoulas, 2002. "Dynamics of Intra-EMS Interest Rate Linkages," Computing in Economics and Finance 2002 13, Society for Computational Economics.
  24. 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).
  25. 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.
  26. Tigran Poghosyan, 2009. "Are “new” and “old” EU members becoming more financially integrated? A threshold cointegration analysis," International Economics and Economic Policy, Springer, vol. 6(3), pages 259-281, October.
  27. 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.
  28. Lucio Sarno & Paul Schneider & Christian Wagner, 2012. "Properties of Foreign Exchange Risk Premiums," Working Paper Series 10_12, The Rimini Centre for Economic Analysis.
  29. Sercu, Piet & Vandebroek, Martina & Wu, Xueping, 2008. "Is the forward bias economically small? Evidence from European rates," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1284-1302, December.
  30. Graham Elliott & Takatoshi Ito, 1995. "Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market," NBER Working Papers 5376, National Bureau of Economic Research, Inc.
  31. Anella Munro, 2014. "Exchange rates, expected returns and risk," Reserve Bank of New Zealand Discussion Paper Series DP2014/01, Reserve Bank of New Zealand.
  32. Kenneth D. West, 2012. "Econometric Analysis of Present Value Models When the Discount Factor Is near One," NBER Working Papers 18247, National Bureau of Economic Research, Inc.
  33. Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
  34. Angelos Kanas & Christos Ioannidis, 2012. "Revisiting the forward—spot relation: an application of the nonparametric long-run correlation coefficient," Journal of Economics and Finance, Springer, vol. 36(1), pages 148-161, January.
  35. Robert J. Hodrick, 1988. "U.S. International Capital Flows: Perspectives From Rational Maximizing Models," NBER Working Papers 2729, National Bureau of Economic Research, Inc.
  36. Biswas, Rita & Shawky, Hany A., 1997. "Foreign exchange market efficiency: Evidence from the Gulf War period," Global Finance Journal, Elsevier, vol. 8(2), pages 199-210.
  37. Straetmans, Stefan & Versteeg, Roald & Wolff, Christian C, 2008. "Are Capital Controls in the Foreign Exchange Market Effective?," CEPR Discussion Papers 6727, C.E.P.R. Discussion Papers.
  38. Moore, Michael J. & Roche, Maurice J., 2012. "When does uncovered interest parity hold?," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 865-879.
  39. Robert J. Barro & José F. Ursúa, 2012. "Rare Macroeconomic Disasters," Annual Review of Economics, Annual Reviews, vol. 4(1), pages 83-109, 07.
  40. Huang, Huichou & MacDonald, Ronald & Zhao, Yang, 2012. "Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs," MPRA Paper 53745, University Library of Munich, Germany, revised 18 Nov 2013.
  41. repec:onb:oenbwp:y::i:143:b:1 is not listed on IDEAS
  42. John Y. Campbell & Karine Serfaty-de Medeiros & Luis M. Viceira, 2007. "Global Currency Hedging," NBER Working Papers 13088, National Bureau of Economic Research, Inc.
  43. 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.
  44. Spronk, Richard & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2013. "Carry trade and foreign exchange rate puzzles," European Economic Review, Elsevier, vol. 60(C), pages 17-31.
  45. Arun Muralidhar & Masakazu Arikawa, 2007. "Hedging Currency Risk In International Investment And Trade," CARF F-Series CARF-F-090, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  46. Kenneth A. Froot & Jeffrey A. Frankel, 1989. "Interpreting Tests of Forward Discount Bias Using Survey Data on Exchange Rate Expectations," NBER Working Papers 1963, National Bureau of Economic Research, Inc.
  47. 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.
  48. Gino Cenedese & Lucio Sarno & Ilias Tsiakas, 2014. "Foreign Exchange Risk and the Predictability of Carry Trade Returns," Working Paper Series 02_14, The Rimini Centre for Economic Analysis.
  49. Juan-Ángel Jiménez-Martín & Alfonso Novales Cinca, 2009. "State-Uncertainty preferences and the Risk Premium in the Exchange rate market," Documentos de Trabajo del ICAE 0917, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  50. Joachim Zietz & Ghassem Homaifar, 1994. "Exchange rate uncertainty and the efficiency of the forward market for foreign exchange," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 130(3), pages 461-475, September.
  51. Froot, Kenneth A. & Ito, Takatoshi, 1989. "On the consistency of short-run and long-run exchange rate expectations," Journal of International Money and Finance, Elsevier, vol. 8(4), pages 487-510, December.
  52. Mathias Hoffmann & Rahel Suter, 2013. "Systematic consumption risk in currency returns," ECON - Working Papers 124, Department of Economics - University of Zurich.
  53. Andres Vesilind, 2006. "Profitability of simple trading strategies exploiting the forward premium bias in foreign exchange markets and the time premium in yield curves," Bank of Estonia Working Papers 2006-04, Bank of Estonia, revised 12 Oct 2006.
  54. Aidan Corcoran, 2009. "The Determinants of Carry Trade Risk Premia," The Institute for International Integration Studies Discussion Paper Series iiisdp287, IIIS.
  55. Lorand Ambrus-Lakatos & Balazs Vilagi & Janos Vincze, 2004. "Deviations from interest rate parity in small open economies: A quantitative-theoretical investigation," IEHAS Discussion Papers 0403, Institute of Economics, Centre for Economic and Regional Studies, Hungarian Academy of Sciences.
  56. repec:dgr:kubcen:1999123 is not listed on IDEAS
  57. Han, Bing & Hirshleifer, David & Wang, Tracy, 2005. "Investor Overconfidence and the Forward Discount Puzzle," MPRA Paper 6497, University Library of Munich, Germany, revised Dec 2007.
  58. 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.
  59. Guidolin, Massimo & Timmermann, Allan, 2009. "Forecasts of US short-term interest rates: A flexible forecast combination approach," Journal of Econometrics, Elsevier, vol. 150(2), pages 297-311, June.
  60. Campbell, John Y & Viceira, Luis M & White, Josh S., 2002. "Foreign Currency for Long-Term Investors," CEPR Discussion Papers 3463, C.E.P.R. Discussion Papers.
  61. Hodrick, Robert J. & Srivastava, Sanjay, 1986. "The covariation of risk premiums and expected future spot exchange rates," Journal of International Money and Finance, Elsevier, vol. 5(1, Supple), pages S5-S21, March.
  62. Derek Bond & Michael J. Harrison & Niall Hession & Edward J. O'Brien, 2006. "Some Empirical Observations on the Forward Exchange Rate Anomaly," Trinity Economics Papers tep2006, Trinity College Dublin, Department of Economics.
  63. Philippe Bacchetta & Eric van Wincoop, 2007. "Random Walk Expectations and the Forward Discount Puzzle," NBER Working Papers 13205, National Bureau of Economic Research, Inc.
  64. Bernoth, Kerstin & de Vries, Casper G & von Hagen, Jürgen, 2010. "The Forward Premium Puzzle and Latent Factors Day by Day," CEPR Discussion Papers 7772, C.E.P.R. Discussion Papers.
  65. Fatemi, Ali M. & Tavakkol, Amir & Dukas, Stephen P., 1996. "Foreign exchange exposure and the pricing of exchange rate risk," Global Finance Journal, Elsevier, vol. 7(2), pages 169-189.
  66. Hyun Song Shin & Erkko Etula & Tobias Adrian, 2010. "Risk Appetite and Exchange Rates," 2010 Meeting Papers 311, Society for Economic Dynamics.
  67. Richard C. Marston, 1992. "Interest Differentials Under Fixed and Flexible Exchange Rates: The Effects of Capital Controls and Exchange Risk," NBER Working Papers 4053, National Bureau of Economic Research, Inc.
  68. Hibiki Ichiue & Kentaro Koyama, 2007. "Regime Switches in Exchange Rate Volatility and Uncovered Interest Parity," Bank of Japan Working Paper Series 07-E-22, Bank of Japan.
  69. Maria Aguirre & Reza Saidi, 1999. "Feedback trading in exchange-rate markets: Evidence from within and across economic blocks," Journal of Economics and Finance, Springer, vol. 23(1), pages 1-14, March.
  70. Jules Vanbinsbergen & Wouter H. Hueskes & Ralph Koijen & Evert B Vrugt, 2012. "Equity Yields," Working Papers 2012-007, Becker Friedman Institute for Research In Economics.
    • Jules H. van Binsbergen & Wouter Hueskes & Ralph Koijen & Evert B. Vrugt, 2011. "Equity Yields," NBER Working Papers 17416, National Bureau of Economic Research, Inc.
  71. Carsten-Patrick Meier, 1999. "Predicting Real Exchange Rates from Real Interest Rate Differentials and Net Foreign Asset Stocks: Evidence for the Mark/Dollar Parity," Kiel Working Papers 962, Kiel Institute for the World Economy.
  72. Jeffrey Frankel and Kenneth Froot., 1991. "Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market," Economics Working Papers 91-158, University of California at Berkeley.
  73. Ronald MacDonald & Jun Nagayasu, 2013. "Currency forecast errors at times of low interest rates: evidence from survey data on the Yen/Dollar exchange rate," Working Papers 1321, University of Strathclyde Business School, Department of Economics.
  74. Kent Daniel & Robert J. Hodrick & Zhongjin Lu, 2014. "The Carry Trade: Risks and Drawdowns," NBER Working Papers 20433, National Bureau of Economic Research, Inc.
  75. Nijman, T.E. & de Roon, F.A., 2001. "Testing for mean-variance spanning : A survey," Other publications TiSEM 0159f80a-c61b-4519-b004-a, Tilburg University, School of Economics and Management.
  76. 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.
  77. Maurice Obstfeld & Kenneth Rogoff, 1998. "Risk and Exchange Rates," NBER Working Papers 6694, National Bureau of Economic Research, Inc.
  78. 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.
  79. Burnside, Craig & Eichenbaum, Martin & Kleshchelski, Isaac & Rebelo, Sérgio, 2006. "The Returns to Currency Speculation," CEPR Discussion Papers 5883, C.E.P.R. Discussion Papers.
  80. Emmanuel Farhi & Samuel Paul Fraiberger & Xavier Gabaix & Romain Ranciere & Adrien Verdelhan, 2009. "Crash Risk in Currency Markets," NBER Working Papers 15062, National Bureau of Economic Research, Inc.
  81. C. Ennew, & N. Kellard, & P. Newbold, A. J. Rayner & M. E. Wohar,, . "Two Puzzles in the Analysis of Foreign Exchange Market Efficiency," Discussion Papers 96/18, University of Nottingham, School of Economics.
  82. Choi, Kyongwook & Zivot, Eric, 2007. "Long memory and structural changes in the forward discount: An empirical investigation," Journal of International Money and Finance, Elsevier, vol. 26(3), pages 342-363, April.
  83. Luca Benati, 2006. "Affine term structure models for the foreign exchange risk premium," Bank of England working papers 291, Bank of England.
  84. Nelson Mark & Yangru Wu, 1998. "Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise," Working Papers 98-05, Ohio State University, Department of Economics.
  85. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2010. "Countercyclical Currency Risk Premia," NBER Working Papers 16427, National Bureau of Economic Research, Inc.
  86. Bond, Derek & Harrison, Michael J & O’Brien, Edward J., 2006. "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Research Technical Papers 2/RT/06, Central Bank of Ireland.
  87. Bacchetta, Philippe & Mertens, Elmar & van Wincoop, Eric, 2009. "Predictability in financial markets: What do survey expectations tell us?," Journal of International Money and Finance, Elsevier, vol. 28(3), pages 406-426, April.
  88. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2008. "Time-varying risk, interest rates, and exchange rates in general equilibrium," Staff Report 371, Federal Reserve Bank of Minneapolis.
  89. Sanglim Lee, 2012. "Expected Currency Excess Returns and International Business Cycles," Working papers 2012-16, University of Connecticut, Department of Economics.
  90. Olesia Kozlova, 2013. "Forward-Rate Bias, Imperfect Knowledge, and Risk: Evidence from Developed and Developing Countries," 2013 Papers pko627, Job Market Papers.
  91. Levine, Ross, 1989. "An International Arbitrage Pricing Model with PPP Deviations," Economic Inquiry, Western Economic Association International, vol. 27(4), pages 587-99, October.
  92. 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.
  93. González, Fernando & Launonen, Simo, 2005. "Towards European monetary integration: the evolution of currency risk premium as a measure for monetary convergence prior to the implementation of currency unions," Working Paper Series 0569, European Central Bank.
  94. Giorgio Valente & H. L. Leon & Lucio Sarno, 2006. "Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," IMF Working Papers 06/136, International Monetary Fund.
  95. Federico Nucera & Giorgio Valente, 2013. "Carry Trades and the Performance of Currency Hedge Funds," Working Papers 032013, Hong Kong Institute for Monetary Research.
  96. Jeffrey Frankel & Menzie Chinn, 1991. "Exchange Rate Expectations and the Risk Premium: Tests For a Cross- Section of 17 Currencies," NBER Working Papers 3806, National Bureau of Economic Research, Inc.
  97. Hilde C. Bjørnland, 2005. "Monetary policy and the illusionary exchange rate puzzle," Working Paper 2005/11, Norges Bank.
  98. Anna Pavlova & Roberto Rigobon, 2007. "Asset Prices and Exchange Rates," Review of Financial Studies, Society for Financial Studies, vol. 20(4), pages 1139-1180.
  99. Sonia Pangusión Espinosa., . "Testing Uncovered Interest Rate Parity: The Spanish case," Studies on the Spanish Economy 128, FEDEA.
  100. repec:ebl:ecbull:v:6:y:2008:i:15:p:1-14 is not listed on IDEAS
  101. Giannellis, Nikolaos & Papadopoulos, Athanasios P., 2009. "Testing for efficiency in selected developing foreign exchange markets: An equilibrium-based approach," Economic Modelling, Elsevier, vol. 26(1), pages 155-166, January.
  102. Evsey Gurvich & Vladimir Sokolov & Alexey Ulyukaev, 2009. "Analysis of the Relationship Between the Exchange Rate Policy of the Russian Central Bank and the Interest Rates: Uncovered and Covered Parity," Journal of the New Economic Association, New Economic Association, issue 1-2, pages 104-126.
  103. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2007. "If exchange rates are random walks then almost everything we say about monetary policy is wrong," Working Papers 650, Federal Reserve Bank of Minneapolis.
  104. repec:dgr:kubcen:199168 is not listed on IDEAS
  105. Grossmann, Axel & Lee, Allissa A. & Simpson, Marc W., 2014. "Forward premium anomaly of the British pound and the euro," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 140-156.
  106. Barabás, Gyula, 1996. "Kamatparitás lebegő és csúszó leértékeléses árfolyamrendszerben
    [Interest parity in floating and in crawling-peg foreign exchange rate régimes]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 972-994.
  107. Barbara Rossi, 2013. "Exchange rate predictability," Economics Working Papers 1369, Department of Economics and Business, Universitat Pompeu Fabra.
  108. Rahel Studer-Suter & Alexandra Janssen, 2014. "The Swiss franc's honeymoon," ECON - Working Papers 170, Department of Economics - University of Zurich.
  109. Elliott, Graham & Ito, Takatoshi, 1999. "Heterogeneous expectations and tests of efficiency in the yen/dollar forward exchange rate market," Journal of Monetary Economics, Elsevier, vol. 43(2), pages 435-456, April.
  110. Katarzyna Anna Czech, & Adam Waszkowski, 2012. "Foreign Exchange Market Efficiency. Empirical Results For The Usd/Eur Market," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 8(3), pages 1-9, October.
  111. Charles Engel, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," NBER Working Papers 17116, National Bureau of Economic Research, Inc.
  112. Hollifield, Burton & Yaron, Amir, 2001. "The Foreign Exchange Risk Premium: Real and Nominal Factors," Working Papers 01-1, University of Pennsylvania, Wharton School, Weiss Center.
  113. 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.).
  114. Seongman Moon & Carlos Velasco, 2011. "The Forward Discount Puzzle: Identi cation of Economic Assumptions," Working Papers 1112, Research Institute for Market Economy, Sogang University.
  115. Hilde C. Bjørnland, 2009. "Monetary policy and exchange rate overshooting: Dornbusch was right after all," Working Paper 2009/09, Norges Bank.
  116. Jordà, Òscar & Taylor, Alan M., 2012. "The carry trade and fundamentals: Nothing to fear but FEER itself," Journal of International Economics, Elsevier, vol. 88(1), pages 74-90.
  117. Choudhry, Taufiq, 1999. "Re-examining forward market efficiency Evidence from fractional and Harris-Inder cointegration tests," International Review of Economics & Finance, Elsevier, vol. 8(4), pages 433-453, November.
  118. Brealey, R. A. & Kaplanis, E. C., 1995. "Discrete exchange rate hedging strategies," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 765-784, August.
  119. Jon Faust & John H. Rogers & Shing-Yi B. Wang & Jonathan H. Wright, 2003. "The high-frequency response of exchange rates and interest rates to macroeconomic announcements," International Finance Discussion Papers 784, Board of Governors of the Federal Reserve System (U.S.).
  120. José Carreño & Paulo Cox, 2014. "Carry Trade y Turbulencias Cambiarias con el Peso Chileno," Working Papers Central Bank of Chile 733, Central Bank of Chile.
  121. Georges Prat & Remzi Uctum, 2012. "Modeling the horizon-dependent risk premium in the forex market: evidence from survey data," EconomiX Working Papers 2012-29, University of Paris West - Nanterre la Défense, EconomiX.
  122. Paul D. McNelis & G.C. Lim, 1998. "Parameterizing Currency Risk in the EMS: The Irish Pound and Spanish Peseta against the German Mark," International Finance 9805001, EconWPA.
  123. Robert J. Hodrick, 1987. "Risk, Uncertainty and Exchange Rates," NBER Working Papers 2429, National Bureau of Economic Research, Inc.
  124. 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.
  125. Chakraborty, Avik, 2009. "Learning, The Forward Premium Puzzle, And Market Efficiency," Macroeconomic Dynamics, Cambridge University Press, vol. 13(S1), pages 31-57, May.
  126. Adrien Verdelhan, 2005. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Boston University - Department of Economics - Working Papers Series WP2005-032, Boston University - Department of Economics.
  127. repec:dgr:uvatin:2097014 is not listed on IDEAS
  128. Inci, Ahmet Can, 2005. "ERM effects on currency spot and futures markets," Global Finance Journal, Elsevier, vol. 16(2), pages 145-163, December.
  129. Mahajan, Arvind & Wagner, Andrew J., 1999. "Nonlinear dynamics in foreign exchange rates," Global Finance Journal, Elsevier, vol. 10(1), pages 1-23.
  130. Derek Bond & Michael Harrison & Niall Hession & Edward O'Brien, 2010. "Nonlinearity as an explanation of the forward exchange rate anomaly," Applied Economics Letters, Taylor & Francis Journals, vol. 17(13), pages 1237-1239.
  131. Charles van Marrewijk, 2004. "An Introduction to International Money and Foreign Exchange Markets," School of Economics Working Papers 2004-02, University of Adelaide, School of Economics.
  132. Stephen Hall & Amangeldi Kenjegaliev & P.A.V.B. Swamy & George S. Tavlas, 2013. "Measuring Currency Pressures: The Cases of the Japanese Yen, the Chinese Yuan, and the U.K. Pound," Discussion Papers in Economics 13/10, Department of Economics, University of Leicester.
  133. Philippe Mueller & Andreas Stathopoulos & Andrea Vedolin, . "International Correlation Risk," FMG Discussion Papers dp716, Financial Markets Group.
  134. 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.
  135. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
  136. 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.
  137. Campbell, John Y. & Clarida, Richard H., 1987. "The dollar and real interest rates," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 27(1), pages 103-139, January.
  138. Fabio Canova & Takatoshi Ito, 1988. "On Time-Series Properties of Time-Varying Risk Premium in the Yen/Dollar Exchange Market," NBER Working Papers 2678, National Bureau of Economic Research, Inc.
  139. Kenneth N. Kuttner & Adam S. Posen, 2001. "Beyond Bipolar: A Three-Dimensional Assessment of Monetary Frameworks," Working Paper Series WP01-7, Peterson Institute for International Economics.
  140. Nakagawa, Hironobu, 2002. "Real exchange rates and real interest differentials: implications of nonlinear adjustment in real exchange rates," Journal of Monetary Economics, Elsevier, vol. 49(3), pages 629-649, April.
  141. 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.
  142. Ron Jongen & Willem F.C. Verschoor & Christian C.P. Wolff, 2008. "Foreign Exchange Rate Expectations: Survey And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 22(1), pages 140-165, 02.
  143. Mo, Henry & Wu, Liuren, 2007. "International capital asset pricing: Evidence from options," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 465-498, September.
  144. Jongen, Ron & Verschoor, Willem F.C. & Wolff, Christian C.P. & Zwinkels, Remco C.J., 2012. "Explaining dispersion in foreign exchange expectations: A heterogeneous agent approach," Journal of Economic Dynamics and Control, Elsevier, vol. 36(5), pages 719-735.
  145. 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.
  146. Jean-Michel Sahut, 2014. "A Flexible Non Linear Model to Test the Expectation Hypothesis of Interest Rates," Working Papers 2014-352, Department of Research, Ipag Business School.
  147. Alina Serban, 2009. "Combining Mean Reversion and Momentum Trading Strategies in Foreign Exchange Markets," Working Papers 09-14, Department of Economics, West Virginia University.
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