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Citations for "Is it risk? : Explaining deviations from uncovered interest parity"

by Cumby, Robert E.

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  1. David W.R. Gruen & Gordon D. Menzies, 1991. "The Failure of Uncovered Interest Parity: Is it Near-rationality in the Foreign Exchange Market?," RBA Research Discussion Papers rdp9103, Reserve Bank of Australia.
  2. Marston, Richard C., 1997. "Tests of three parity conditions: Distinguishing risk premia and systematic forecast errors," Journal of International Money and Finance, Elsevier, vol. 16(2), pages 285-303, April.
  3. 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.
  4. Gruen, D.W.R. & Gizycki, M.C., 1993. "Explaining Forward Discount Bias: Is It Anchoring?," Papers 164, Princeton, Woodrow Wilson School - Public and International Affairs.
  5. Jylhä, Petri & Suominen, Matti, 2011. "Speculative capital and currency carry trades," Journal of Financial Economics, Elsevier, vol. 99(1), pages 60-75, January.
  6. 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.
  7. Lucio Sarno & Paul Schneider & Christian Wagner, 2012. "Properties of Foreign Exchange Risk Premiums," Working Paper Series 10_12, The Rimini Centre for Economic Analysis.
  8. 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.).
  9. Charles Engel, 1995. "The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence," NBER Working Papers 5312, National Bureau of Economic Research, Inc.
  10. Alex Luiz Ferreira., 2009. "Is it Risk? An Automated Approach to Explain the ex ante UIP Deviations of Brazil," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 46(133), pages 51-66.
  11. Christian Wagner, 2008. "Risk-Premia, Carry-Trade Dynamics, and Speculative Efficiency of Currency Markets," Working Papers 143, Oesterreichische Nationalbank (Austrian Central Bank).
  12. E. Scott Mayfield & Robert G. Murphy, 1993. "Explaining The Term Structure Of Interest Rates: A Panel Data Approach," Boston College Working Papers in Economics 230, Boston College Department of Economics.
  13. Owen F. Humpage & William P. Osterberg, 1990. "Intervention and the foreign exchange risk premium: an empirical investigation of daily effects," Working Paper 9009, Federal Reserve Bank of Cleveland.
  14. Paul Fenton & Alain Paquet, 1997. "International Interest Rate Differentials: The Interaction with Fiscal and Monetary Variables, and the Business Cycle," Cahiers de recherche CREFE / CREFE Working Papers 56, CREFE, Université du Québec à Montréal, revised Jan 1998.
  15. Alexius, Annika & Sellin, Peter, 2002. "Exchange rates and long-term bonds," Working Paper Series 2002:7, Uppsala University, Department of Economics, revised Mar 2006.
  16. Owen F. Humpage & William P. Osterberg, 1992. "New results on the impact of central-bank intervention on deviations from uncovered interest parity," Working Paper 9207, Federal Reserve Bank of Cleveland.
  17. 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.
  18. Karen K. Lewis, 1998. "International Home Bias in International Finance and Business Cycles," NBER Working Papers 6351, National Bureau of Economic Research, Inc.
  19. Matteo Maggiori, 2013. "The U.S. Dollar Safety Premium," 2013 Meeting Papers 75, Society for Economic Dynamics.
  20. Min, Hong-Ghi & McDonald, Judith A. & Choung, Jaeyong, 2003. "Dynamic capital mobility, capital-market risk, and contagion: evidence from seven Asian countries," Japan and the World Economy, Elsevier, vol. 15(2), pages 161-183, April.
  21. Tai, Chu-Sheng, 1999. "Time-varying risk premia in foreign exchange and equity markets: evidence from Asia-Pacific countries," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 291-316, November.
  22. 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.
  23. Heeho Kim, 2013. "Uncertainty and risk premium puzzle," Journal of Economics and Finance, Springer, vol. 37(1), pages 62-79, January.
  24. Mark, Nelson C. & Choi, Doo-Yull, 1997. "Real exchange-rate prediction over long horizons," Journal of International Economics, Elsevier, vol. 43(1-2), pages 29-60, August.
  25. repec:onb:oenbwp:y::i:143:b:1 is not listed on IDEAS
  26. David Backus & Silverio Foresi & Chris Telmer, 1996. "Affine Models of Currency Pricing," NBER Working Papers 5623, National Bureau of Economic Research, Inc.
  27. 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.
  28. Matti Suominen & Petri Jylhä, 2009. "Arbitrage Capital and Currency Carry Trade Returns," 2009 Meeting Papers 84, Society for Economic Dynamics.
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