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Citations for "Risk, Uncertainty and Exchange Rates"

by Robert J. Hodrick

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  1. Richard T. Baillie & Rehim Kilic, 2005. "Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly?," Working Papers 543, Queen Mary University of London, School of Economics and Finance.
  2. Baillie, Richard T. & Kim, Kun Ho, 2015. "Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 99-111.
  3. Annika Alexius & Peter Sellin, 2012. "Exchange Rates and Long-Term Bonds," Scandinavian Journal of Economics, Wiley Blackwell, vol. 114(3), pages 974-990, 09.
  4. Margarida Duarte & Alan C. Stockman, 2001. "Rational Speculation and Exchange Rates," NBER Working Papers 8362, National Bureau of Economic Research, Inc.
  5. Bernard Dumas & Bruno Solnik, 1993. "The World Price of Foreign Exchange Risk," NBER Working Papers 4459, National Bureau of Economic Research, Inc.
  6. Baillie, Richard T. & Chang, Sanders S., 2011. "Carry trades, momentum trading and the forward premium anomaly," Journal of Financial Markets, Elsevier, vol. 14(3), pages 441-464, August.
  7. Heejoon Han & Dennis Kristensen, 2014. "Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 416-429, July.
  8. Oscar Jorda & Kevin Salyer, . "The Response of Term Rates to Monetary Policy Uncertainty," Department of Economics 01-06, California Davis - Department of Economics.
  9. Robert C. Feenstra & Jon D. Kendall, 1994. "Passthrough of Exchange Rates and Purchasing Power Parity," NBER Working Papers 4842, National Bureau of Economic Research, Inc.
  10. Canova, Fabio & Marrinan, Jane, 1996. "Reconciling the term structure of interest rates with the consumption-based ICAP model," Journal of Economic Dynamics and Control, Elsevier, vol. 20(4), pages 709-750, April.
  11. Juan-Ángel Jiménez-Martín & Rodrigo Peruga Urrea, 2004. "Macroeconomic and policy uncertainty and Exchange rate risk Premium," Documentos de Trabajo del ICAE 0412, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  12. Han, Heejoon & Park, Joon Y., 2008. "Time series properties of ARCH processes with persistent covariates," Journal of Econometrics, Elsevier, vol. 146(2), pages 275-292, October.
  13. Camiel de Koning & Stefan Straetmans, 1997. "Variation in the Slope Coefficient of the Fama Regression for Testing Uncovered Interest Rate Parity: Evidence from Fixed and Time-varying Coefficient Approaches," Tinbergen Institute Discussion Papers 97-014/2, Tinbergen Institute.
  14. MacDonald, Ronald, 2000. "Is the foreign exchange market 'risky'? Some new survey-based results," Journal of Multinational Financial Management, Elsevier, vol. 10(1), pages 1-14, January.
  15. Breedon, Francis & Rime, Dagfinn & Vitale, Paolo, 2010. "A Transaction Data Study of the Forward Bias Puzzle," CEPR Discussion Papers 7791, C.E.P.R. Discussion Papers.
  16. Juan A. Lafuente & Jesús Ruiz, 2002. "The Bias For Forward Exchange Rate And The Risk Premium: An Explanation With A Stochastic And Dynamic General Equilibrium Model," Working Papers. Serie EC 2002-20, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  17. Sangdai Ryoo, 2002. "Testing for Sunspot in the Foreign Exchange Market," International Economic Journal, Taylor & Francis Journals, vol. 16(3), pages 39-58.
  18. Landon, Stuart & Smith, Constance, 1999. "The risk premium, exchange rate expectations, and the forward exchange rate: Estimates for the Yen-Dollar rate," MPRA Paper 9775, University Library of Munich, Germany.
  19. Bacchetta, Philippe & van Wincoop, Eric, 1997. "Trade in Nominal Assets and Net International Capital Flows," CEPR Discussion Papers 1569, C.E.P.R. Discussion Papers.
  20. 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.
  21. Bekaert, Geert & Engstrom, Eric & Xing, Yuhang, 2009. "Risk, uncertainty, and asset prices," Journal of Financial Economics, Elsevier, vol. 91(1), pages 59-82, January.
  22. Barkoulas, John T. & Baum, Christopher F. & Onochie, Joseph, 1997. "A nonparametric investigation of the 90-day t-bill rate," Review of Financial Economics, Elsevier, vol. 6(2), pages 187-198.
  23. Baillie, Richard T. & Osterberg, William P., 2000. "Deviations from daily uncovered interest rate parity and the role of intervention," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 363-379, December.
  24. Zhu, Zhen, 2002. "Time-varying forward bias and the expected excess return," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(2), pages 119-137, April.
  25. Dios Palomares, Rafaela & Martínez Paz, José Miguel & Martínezcarrasco Pleite, Federico, 2006. "Including environmental variables in the effi ciency analysis: A three-step method/El análisis de efi ciencia con variables de entorno: un método de programas con tres etapas," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 24, pages 477-497, Abril.
  26. Feenstra, R.C. & Kendall, J.D., 1991. "Exchange Rate Volatility and International Prices," Papers 377, California Davis - Institute of Governmental Affairs.
  27. Robert J. Hodrick, 1988. "U.S. International Capital Flows: Perspectives From Rational Maximizing Models," NBER Working Papers 2729, National Bureau of Economic Research, Inc.
  28. 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.
  29. Puri, Tribhuvan N., 1996. "Capital flows and net international investment," International Review of Financial Analysis, Elsevier, vol. 5(2), pages 113-130.
  30. Bansal, Ravi & Gallant, A. Ronald & Hussey, Robert & Tauchen, George, 1995. "Nonparametric estimation of structural models for high-frequency currency market data," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 251-287.
  31. Seongman Moon & Carlos Velasco, 2011. "The Forward Discount Puzzle: Identi cation of Economic Assumptions," Working Papers 1112, Research Institute for Market Economy, Sogang University.
  32. Nijman, T.E. & Palm, F.C., 1991. "Recent developments in modeling volatility in financial data," Discussion Paper 1991-68, Tilburg University, Center for Economic Research.
  33. 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.
  34. 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.
  35. Dumas, Bernard & Harvey, Campbell R. & Ruiz, Pierre, 2000. "Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?," Working Papers 00-2, University of Pennsylvania, Wharton School, Weiss Center.
  36. Richard T., Baillie, 2011. "Possible solutions to the forward bias paradox," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 617-622, October.
  37. Maurice Obstfeld & Kenneth Rogoff, 1998. "Risk and Exchange Rates," NBER Working Papers 6694, National Bureau of Economic Research, Inc.
  38. Hodrick, Robert J & Kocherlakota, Narayana R & Lucas, Deborah, 1991. "The Variability of Velocity in Cash-in-Advance Models," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 358-84, April.
  39. Chionis, Dionysios & MacDonald, Ronald, 1997. "Some tests of market microstructure hypotheses in the foreign exchange market," Journal of Multinational Financial Management, Elsevier, vol. 7(3), pages 203-229, October.
  40. Bruce Felmincham & Peter Mansfield, 1997. "Rationality and the Risk Premium on the Australian dollar," International Economic Journal, Taylor & Francis Journals, vol. 11(3), pages 47-59.
  41. Leachman, Lori L. & Francis, Bill, 1996. "Equity market return volatility: Dynamics and transmission among the G-7 countries," Global Finance Journal, Elsevier, vol. 7(1), pages 27-52.
  42. repec:adr:anecst:y:1991:i:24:p:01 is not listed on IDEAS
  43. Christian Wagner, 2008. "Risk-Premia, Carry-Trade Dynamics, and Speculative Efficiency of Currency Markets," Working Papers 143, Oesterreichische Nationalbank (Austrian Central Bank).
  44. Matthias Bauer & Martin Zenker, 2012. "Minor Nuisance Around Foreign Exchange Markets - Lessons from the Stability and Growth Pact Debate," Global Financial Markets Working Paper Series 2012-32, Friedrich-Schiller-University Jena.
  45. Albuquerque, Rui, 2008. "The forward premium puzzle in a model of imperfect information," Economics Letters, Elsevier, vol. 99(3), pages 461-464, June.
  46. Bhar, Ramprasad & Kim, Suk-Joong & Pham, Toan M., 2004. "Exchange rate volatility and its impact on the transaction costs of covered interest rate parity," Japan and the World Economy, Elsevier, vol. 16(4), pages 503-525, December.
  47. 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.
  48. Francis Breedon & Dagfinn Rime & Paolo Vitale, 2015. "Carry Trades, Order Flow and the Forward Bias Puzzle," Working Papers 761, Queen Mary University of London, School of Economics and Finance.
  49. Andrew Abel, . "Stock Prices Under Time-Varying Dividend Risk: An Exact Solution in an Infinite-Horizon General Equilibrium Model," Rodney L. White Center for Financial Research Working Papers 15-88, Wharton School Rodney L. White Center for Financial Research.
  50. 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.
  51. Chadwick, Meltem Gülenay & Fazilet, Fatih & Tekatli, Necati, 2015. "Understanding the common dynamics of the emerging market currencies," Economic Modelling, Elsevier, vol. 49(C), pages 120-136.
  52. W A Razzak & Thomas Grennes, 1998. "The long-run nominal exchange rate: specification and estimation issues," Reserve Bank of New Zealand Discussion Paper Series G98/5, Reserve Bank of New Zealand.
  53. 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.
  54. Clarida, Richard H, 1994. "Cointegration, Aggregate Consumption, and the Demand for Imports: A Structural Econometric Investigation," American Economic Review, American Economic Association, vol. 84(1), pages 298-308, March.
  55. Adrian, Tobias & Etula, Erkko & Shin, Hyun Song, 2009. "Risk appetite and exchange Rates," Staff Reports 361, Federal Reserve Bank of New York, revised 10 Dec 2015.
  56. Geert Bekaert & Robert J. Hodrick, 1991. "On Biases in the Measurement of Foreign Exchange Risk Premiums," NBER Working Papers 3861, National Bureau of Economic Research, Inc.
  57. Fatum, Rasmus, 2015. "Foreign exchange intervention when interest rates are zero: Does the portfolio balance channel matter after all?," Journal of International Money and Finance, Elsevier, vol. 57(C), pages 185-199.
  58. Diamandis, Panayiotis F. & Georgoutsos, Dimitris A. & Kouretas, Georgios P., 2008. "Testing the forward rate unbiasedness hypothesis during the 1920s," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(4), pages 358-373, October.
  59. Tarek Harchaoui & Faouzi Tarkhani & Terence Yuen, 2005. "The Effects of the Exchange Rate on Investment: Evidence from Canadian Manufacturing Industries," Staff Working Papers 05-22, Bank of Canada.
  60. Hong, Yongmiao, 2001. "A test for volatility spillover with application to exchange rates," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 183-224, July.
  61. Rui Albuquerque, 2004. "The Forward Premium Puzzle in a Model of Imperfect Information: Theory and Evidence," International Finance 0405007, EconWPA.
  62. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
  63. Ruiz, Jesús & Pérez, Rafaela & Lafuente, Juan Ángel, 2012. "Monetary policy regimes and the forward bias for foreign exchange," DEE - Working Papers. Business Economics. WB 12960, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  64. Balvers, Ronald J. & H. Bergstrand, Jeffrey, 1997. "Equilibrium real exchange rates: closed-form theoretical solutions and some empirical evidence," Journal of International Money and Finance, Elsevier, vol. 16(3), pages 345-366, June.
  65. Peter N Smith & Michael R Wickens, . "Asset Pricing with Observable Stochastic Discount Factors," Discussion Papers 02/03, Department of Economics, University of York.
  66. John Barkoulas & Christopher F. Baum & Joseph Onochie, 1996. "Nonlinear Nonparametric Prediction of the 90-Day T-Bill Rate," Boston College Working Papers in Economics 320., Boston College Department of Economics.
  67. Baillie, Richard T. & P. Osterberg, William, 1997. "Central bank intervention and risk in the forward market," Journal of International Economics, Elsevier, vol. 43(3-4), pages 483-497, November.
  68. Lafuente, Juan Angel & Ruiz, Jesus, 2006. "Monetary policy and forward bias for foreign exchange revisited: Empirical evidence from the US-UK exchange rate," Economic Modelling, Elsevier, vol. 23(2), pages 238-264, March.
  69. Juan Ángel Lafuente & Jesús Ruiz, 2002. "Time-Varying forward Bias and the Volatility of Risk Premium: a Monetary Explanation," Documentos de Trabajo del ICAE 0214, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  70. Hu, Michael Y. & Tsoukalas, Christos, 1999. "Combining conditional volatility forecasts using neural networks: an application to the EMS exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(4), pages 407-422, November.
  71. Juan-Ángel Jiménez-Martín & Rafael Flores de Frutos, 2004. "The Fit of Dynamic Equilibrium Models of Exchange Rate," Documentos de Trabajo del ICAE 0411, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  72. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  73. Dumas, Bernard & Solnik, Bruno, 1995. " The World Price of Foreign Exchange Risk," Journal of Finance, American Finance Association, vol. 50(2), pages 445-79, June.
  74. Richard T. Baillie & William P. Osterberg, 1998. "Central bank intervention and overnight uncovered interest rate parity," Working Paper 9823, Federal Reserve Bank of Cleveland.
  75. Alexius, Annika, 2002. "Can Endogenous Monetary Policy Explain the Deviations from UIP," Working Paper Series 2002:17, Uppsala University, Department of Economics.
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