IDEAS home Printed from https://ideas.repec.org/r/ucp/jnlbus/v54y1981i3p435-51.html
   My bibliography  Save this item

The "Speculative Efficiency" Hypothesis

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Hochradl, Markus & Wagner, Christian, 2010. "Trading the forward bias: Are there limits to speculation?," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 423-441, April.
  2. Hodrick, Robert J. & Srivastava, Sanjay, 1984. "An investigation of risk and return in forward foreign exchange," Journal of International Money and Finance, Elsevier, vol. 3(1), pages 5-29, April.
  3. Arouri, Mohamed El Hedi & Hammoudeh, Shawkat & Lahiani, Amine & Nguyen, Duc Khuong, 2013. "On the short- and long-run efficiency of energy and precious metal markets," Energy Economics, Elsevier, vol. 40(C), pages 832-844.
  4. HeeJoon Kang, 1992. "Forward exchange rates as unbiased predictors of future spot rates a review and re-interpretation," Open Economies Review, Springer, vol. 3(2), pages 215-232, June.
  5. Menzie Chinn & Jeffrey Frankel, 1991. "Patterns in Exchange Rate Forecasts for 25 Currencies," NBER Working Papers 3807, National Bureau of Economic Research, Inc.
  6. Hansen, Lars Peter, 2013. "Uncertainty Outside and Inside Economic Models," Nobel Prize in Economics documents 2013-7, Nobel Prize Committee.
  7. S. M. Ahmed & M. I. Ansari, 1997. "Modelling the efficiency of the Canadian foreign exchange market: a bivariate transfer function analysis," Applied Economics, Taylor & Francis Journals, vol. 29(1), pages 63-70.
  8. Vistesen, Claus, 2008. "Of Low Yielders and Carry Trading – the JPY and CHF as Market Risk Sentiment Gauges," MPRA Paper 9952, University Library of Munich, Germany.
  9. Engel, Charles, 2014. "Exchange Rates and Interest Parity," Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.),Handbook of International Economics, edition 1, volume 4, chapter 0, pages 453-522, Elsevier.
  10. Tarek A Hassan & Rui C Mano, 2019. "Forward and Spot Exchange Rates in a Multi-Currency World," The Quarterly Journal of Economics, Oxford University Press, vol. 134(1), pages 397-450.
  11. 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 5-21, March.
  12. Chyng-Hua Shen, 1997. "Testing for foreign exchange market efficiency - a trivariate vector autoregressive approach," Applied Financial Economics, Taylor & Francis Journals, vol. 7(6), pages 711-719.
  13. Caporale, Tony, 1998. "The impact of monetary regime changes: Some exchange rate evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 35(1), pages 85-94, March.
  14. Harald Reinton & Steven Ongena, 1999. "Out-of-sample forecasting performance of single equation monetary exchange rate models in Norwegian currency markets," Applied Financial Economics, Taylor & Francis Journals, vol. 9(6), pages 545-550.
  15. 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.
  16. 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.
  17. Eric Zivot, 1998. "Cointegration and Forward and Spot Exchange Rate Regressions," Econometrics 9812001, University Library of Munich, Germany.
  18. Markus J. Granziol & Matthias Denzler, 1985. "Zinssätze als Mittel zur Wechselkurs-Prognose?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 121(II), pages 83-94, June.
  19. Hélène Tordjman, 1997. "Spéculation, hétérogénéité des agents et apprentissage : un modèle de "marché des changes artificiel"," Revue Économique, Programme National Persée, vol. 48(4), pages 869-897.
  20. Suresh Ramakrishnan & Shamaila Butt & Melati Ahmad Anuar, 2017. "The Impact of Macroeconomic, Oil Prices and Socio-economic Factors on Exchange Rate in Pakistan: An Auto Regressive Distributed Lag Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 489-499.
  21. Henriksson, Roy. & Lessard, Donald R., 1982. "The efficiency of the forward exchange market : a conditional nonparametric test of forecasting ability," Working papers 1337-82., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  22. Richard E. Baldwin, 1990. "Re-Interpreting the Failure of Foreign Exchange Market Efficiency Tests:Small Transaction Costs, Big Hysteresis Bands," NBER Working Papers 3319, National Bureau of Economic Research, Inc.
  23. sonia KOUKI, 2019. "Analysis of Risk Premium Behavior in the Tunisian Foreign Exchange Market During Crisis Period," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 10(2), pages 28-38, December.
  24. Bandopadhyaya, Arindam, 1991. "Speculative efficiency and risk premium in the market for foreign exchange : In search of the true specification," Economics Letters, Elsevier, vol. 36(3), pages 299-304, July.
  25. 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.
  26. Rohit Vishal Kumar & Dhekra Azouzi, 2011. "Tunisian and Indian Forex Markets: A Comparision on Forward Rate Unbiased Hypothesis," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 14(40), pages 81-98, June.
  27. Anella Munro, 2015. "Exchange rates, expected returns and risk: what can we learn from Asia-Pacific currencies?," BIS Papers chapters, in: Bank for International Settlements (ed.),Cross-border Financial Linkages: Challenges for Monetary Policy and Financial Stability, volume 82, pages 137-166, Bank for International Settlements.
  28. Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2018. "Crash Risk in Currency Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(1), pages 137-170, February.
  29. Vikram Kumar, 2014. "Anticipated Liquidity Shock and Financial Market Equilibrium," Working Papers 14-08, Davidson College, Department of Economics.
  30. Kerstin Bernoth & Juergen von Hagen & Casper de Vries, 2010. "The Forward Premium Puzzle and Latent Factors Day by Day," DNB Working Papers 246, Netherlands Central Bank, Research Department.
  31. Momtchil Pojarliev, 2005. "Performance of Currency Trading Strategies in Developed and Emerging Markets: Some Striking Differences," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(3), pages 297-311, October.
  32. Stambaugh, Robert F., 1999. "Predictive regressions," Journal of Financial Economics, Elsevier, vol. 54(3), pages 375-421, December.
  33. Thomas C. Chiang, 1986. "Empirical Analysis On The Predictors Of Future Spot Rates," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(2), pages 153-162, June.
  34. repec:onb:oenbwp:y::i:143:b:1 is not listed on IDEAS
  35. Daniel, Kent & Hodrick, Robert J. & Lu, Zhongjin, 2017. "The Carry Trade: Risks and Drawdowns," Critical Finance Review, now publishers, vol. 6(2), pages 211-262, September.
  36. Bekaert, Geert & Hodrick, Robert J., 1993. "On biases in the measurement of foreign exchange risk premiums," Journal of International Money and Finance, Elsevier, vol. 12(2), pages 115-138, April.
  37. Gilbert Colletaz & Jean-Pierre Gourlaouen, 1990. "Coïntégration et structure par terme des taux d'intérêt," Revue Économique, Programme National Persée, vol. 41(4), pages 687-712.
  38. Berg, Kimberly A. & Mark, Nelson C., 2018. "Global macro risks in currency excess returns," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 300-315.
  39. Karen K. Lewis, 1994. "Puzzles in International Financial Markets," NBER Working Papers 4951, National Bureau of Economic Research, Inc.
  40. 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.
  41. Anella Munro, 2014. "Exchange rates, expected returns and risk," Reserve Bank of New Zealand Discussion Paper Series DP2014/01, Reserve Bank of New Zealand.
  42. Gregory, Allan W. & McCurdy, Thomas H., 1986. "The unbiasedness hypothesis in the forward foreign exchange market: A specification analysis with application to France, Italy, Japan, the United Kingdom and West Germany," European Economic Review, Elsevier, vol. 30(2), pages 365-381, April.
  43. 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.
  44. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
  45. Tauchen, George, 2001. "The bias of tests for a risk premium in forward exchange rates," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 695-704, December.
  46. 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.
  47. 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.
  48. Guy Meredith & Menzie D. Chinn, 1998. "Long-Horizon Uncovered Interest Rate Parity," NBER Working Papers 6797, National Bureau of Economic Research, Inc.
  49. Martin, Anna D. & Mauer, Laurence J., 2003. "Transaction versus economic exposure: which has greater cash flow consequences?," International Review of Economics & Finance, Elsevier, vol. 12(4), pages 437-449.
  50. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2012. "Properties of foreign exchange risk premiums," Journal of Financial Economics, Elsevier, vol. 105(2), pages 279-310.
  51. Sarita Bunsupha, 2018. "Extrapolative Beliefs and Exchange Rate Markets," PIER Discussion Papers 84, Puey Ungphakorn Institute for Economic Research, revised Apr 2018.
  52. Huisman, Ronald & Koedijk, Kees & Kool, Clemens & Nissen, Francois, 1998. "Extreme support for uncovered interest parity," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 211-228, February.
  53. 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.
  54. Craig Burnside, 2015. "The Carry Trade in Industrialized and Emerging Markets," Central Banking, Analysis, and Economic Policies Book Series, in: Claudio Raddatz & Diego Saravia & Jaume Ventura (ed.),Global Liquidity, Spillovers to Emerging Markets and Policy Responses, edition 1, volume 20, chapter 8, pages 245-280, Central Bank of Chile.
  55. Richard M. Levich, 1983. "Empirical Studies of Exchange Rates: Price Behavior, Rate Determinationand Market Efficiency," NBER Working Papers 1112, National Bureau of Economic Research, Inc.
  56. Gräb, Johannes & Kostka, Thomas, 2018. "Predicting risk premia in short-term interest rates and exchange rates," Working Paper Series 2131, European Central Bank.
  57. Chiang, I-Hsuan Ethan, 2015. "Modern portfolio management with conditioning information," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 114-134.
  58. Kuruppuarachchi, Duminda & Premachandra, I.M. & Roberts, Helen, 2019. "A novel market efficiency index for energy futures and their term structure risk premiums," Energy Economics, Elsevier, vol. 77(C), pages 23-33.
  59. 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.
  60. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2012. "Risk, Monetary Policy, and the Exchange Rate," NBER Macroeconomics Annual, University of Chicago Press, vol. 26(1), pages 247-309.
  61. Sam Nasypbek & Scheherazade S Rehman, 2011. "Explaining the returns of active currency managers," BIS Papers chapters, in: Bank for International Settlements (ed.),Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 211-256, Bank for International Settlements.
  62. Clarida, Richard H. & Sarno, Lucio & Taylor, Mark P. & Valente, Giorgio, 2003. "The out-of-sample success of term structure models as exchange rate predictors: a step beyond," Journal of International Economics, Elsevier, vol. 60(1), pages 61-83, May.
  63. Menzie Chinn & Jeffery Frankel, 1995. "More survey data on exchange rate expectations: More currencies, more horizons, more tests," International Finance 9508003, University Library of Munich, Germany.
  64. Dong, Xue & Minford, Patrick & Meenagh, David, 2019. "How important are the international financial market imperfections for the foreign exchange rate dynamics: A study of the sterling exchange rate," Journal of International Money and Finance, Elsevier, vol. 94(C), pages 62-80.
  65. 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.
  66. 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.
  67. Chernov, Mikhail & Creal, Drew, 2018. "Multihorizon Currency Returns and Purchasing Power Parity," CEPR Discussion Papers 12893, C.E.P.R. Discussion Papers.
  68. 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.
  69. Alina Serban, 2009. "Combining Mean Reversion and Momentum Trading Strategies in Foreign Exchange Markets," Working Papers 09-14, Department of Economics, West Virginia University.
  70. Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2015. "Carry and Trend Following Returns in the Foreign Exchange Market," Discussion Papers 15/07, Department of Economics, University of York.
  71. Huisman, R. & Mahieu, R.J., 2007. "Revisiting Uncovered Interest Rate Parity: Switching Between UIP and the Random Walk," ERIM Report Series Research in Management ERS-2007-001-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  72. Naka, Atsuyuki & Whitney, Gerald, 1995. "The unbiased forward rate hypothesis re-examined," Journal of International Money and Finance, Elsevier, vol. 14(6), pages 857-867, December.
  73. Sercu, Piet & Vinaimont, Tom, 2006. "The forward bias in the ECU: Peso risks vs. fads and fashions," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2409-2432, August.
  74. Kenneth A. Froot, 1990. "Short Rates and Expected Asset Returns," NBER Working Papers 3247, National Bureau of Economic Research, Inc.
  75. 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.
  76. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004. "Testing forward exchange rate unbiasedness efficiently: a semiparametric approach," Journal of Applied Economics, Universidad del CEMA, vol. 7, pages 325-353, November.
  77. Ferdinand Dreher & Johannes Gräb & Thomas Kostka, 2020. "From carry trades to curvy trades," The World Economy, Wiley Blackwell, vol. 43(3), pages 758-780, March.
  78. Hodrick, Robert J. & Srivastava, Sanjay, 1987. "Foreign currency futures," Journal of International Economics, Elsevier, vol. 22(1-2), pages 1-24, February.
  79. 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.
  80. Wang, Peijie & Jones, Trefor, 2002. "Testing for efficiency and rationality in foreign exchange markets--a review of the literature and research on foreign exchange market efficiency and rationality with comments," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 223-239, April.
  81. Lambelet, Jean-Christian & Mihailov, Alexander, 2005. "The Triple-Parity Law," Economics Discussion Papers 8896, University of Essex, Department of Economics.
  82. Dimitris Kenourgios, 2005. "Testing Efficiency And The Unbiasedness Hypothesis Of The Emerging Greek Futures Market," Finance 0512015, University Library of Munich, Germany.
  83. Grossmann, Axel & Simpson, Marc W., 2010. "Forecasting the Yen/U.S. Dollar exchange rate: Empirical evidence from a capital enhanced relative PPP-based model," Journal of Asian Economics, Elsevier, vol. 21(5), pages 476-484, October.
  84. Peter Rowland, 2003. "Uncovered Interest Parity and the USD/COP Echange Rate," Borradores de Economia 227, Banco de la Republica de Colombia.
  85. Ahmad, Rubi & Rhee, S. Ghon & Wong, Yuen Meng, 2012. "Foreign exchange market efficiency under recent crises: Asia-Pacific focus," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1574-1592.
  86. Kuo, Chen-Yin, 2016. "Does the vector error correction model perform better than others in forecasting stock price? An application of residual income valuation theory," Economic Modelling, Elsevier, vol. 52(PB), pages 772-789.
  87. Cenedese, Gino & Sarno, Lucio & Tsiakas, Ilias, 2014. "Foreign exchange risk and the predictability of carry trade returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 302-313.
  88. Craig Burnside & Mario Cerrato & Zhekai Zhang, 2018. "Foreign exchange order fl ow as a risk factor," Working Papers 2018_04, Business School - Economics, University of Glasgow.
  89. Jose Eduardo de A. Ferreira, 2006. "Effects of Fundamentals on the Exchange Rate: A Panel Analysis for a Sample of Industrialised and Emerging Economies," Studies in Economics 0603, School of Economics, University of Kent.
  90. Richard M Levich & Frank Packer, 2015. "Development and functioning of FX markets in Asia and the Pacific," BIS Papers chapters, in: Bank for International Settlements (ed.),Cross-border Financial Linkages: Challenges for Monetary Policy and Financial Stability, volume 82, pages 75-132, Bank for International Settlements.
  91. Malini, Nair, 2005. "Arbitrage, Cointegration and Testing the Unbiasedness Hypothesis in Coffee Futures Traded at the CSCE," MPRA Paper 37857, University Library of Munich, Germany.
  92. Lux, Thomas & Schornstein, Sascha, 2005. "Genetic learning as an explanation of stylized facts of foreign exchange markets," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 169-196, February.
  93. Corinne Winters, 2008. "The Carry Trade, Portfolio Diversification, and the Adjustment of the Japanese Yen," Discussion Papers 08-2, Bank of Canada.
  94. Levine, Ross, 1989. "An International Arbitrage Pricing Model with PPP Deviations," Economic Inquiry, Western Economic Association International, vol. 27(4), pages 587-599, October.
  95. Sonia Pangusión Espinosa., "undated". "Testing Uncovered Interest Rate Parity: The Spanish case," Studies on the Spanish Economy 128, FEDEA.
  96. Bilson, John F O, 1981. "The "Speculative Efficiency" Hypothesis," The Journal of Business, University of Chicago Press, vol. 54(3), pages 435-451, July.
  97. Vasilyev, Dmitry (Васильев, Дмитрий) & Busygin, Vladimir (Бусыгин, Владимир) & Busygin, Sergei (Бусыгин, Сергей), 2016. "Testing and Interpreting Uncovered Interest Parity in Russia
    [Проверка И Интерпретация Выполнения Процентного Паритета В России]
    ," Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 4, pages 35-55, August.
  98. 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.
  99. J. Benson Durham, 2014. "Arbitrage-free affine models of the forward price of foreign currency," Staff Reports 665, Federal Reserve Bank of New York.
  100. Richard H. Clarida & Mark P. Taylor, 1993. "The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates: Correcting the Errors," NBER Working Papers 4442, National Bureau of Economic Research, Inc.
  101. Winston T. Lin, 1999. "Dynamic and Stochastic Instability and the Unbiased Forward Rate Hypothesis: A Variable Mean Response Approach," Multinational Finance Journal, Multinational Finance Journal, vol. 3(3), pages 173-221, September.
  102. Alexakis, Panayotis & Apergis, Nicholas, 1996. "ARCH effects and cointegration: Is the foreign exchange market efficient?," Journal of Banking & Finance, Elsevier, vol. 20(4), pages 687-697, May.
  103. Charles Engel, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," NBER Working Papers 17116, National Bureau of Economic Research, Inc.
  104. Ghosh, Atish R. & Ostry, Jonathan D. & Chamon, Marcos, 2016. "Two targets, two instruments: Monetary and exchange rate policies in emerging market economies," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 172-196.
  105. Chen, Pei-wen & Huang, Han-ching & Su, Yong-chern, 2014. "The central bank in market efficiency: The case of Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 239-260.
  106. Charles Engel, 2011. "Comment on "Risk, Monetary Policy and the Exchange Rate"," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 310-314, National Bureau of Economic Research, Inc.
  107. Raj Aggarwal & Winston T. Lin & Sunil K. Mohanty, 2008. "Are Forward Exchange Rates Rational Forecasts of Future Spot Rates? An Improved Econometric Analysis for the Major Currencies," Multinational Finance Journal, Multinational Finance Journal, vol. 12(1-2), pages 1-20, March-Jun.
  108. Lee, Suzanne S. & Wang, Minho, 2019. "The impact of jumps on carry trade returns," Journal of Financial Economics, Elsevier, vol. 131(2), pages 433-455.
  109. Shang-Jin Wei & Jeffrey A. Frankel, 1991. "Are Option-Implied Forecasts of Exchange Rate Volatility Excessively Variable?," NBER Working Papers 3910, National Bureau of Economic Research, Inc.
  110. David Alan Peel & Pantelis Promponas, 2016. "Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K," Working Papers 144439514, Lancaster University Management School, Economics Department.
  111. Frenkel, Jacob A. & Mussa, Michael L., 1985. "Asset markets, exchange rates and the balance of payments," Handbook of International Economics, in: R. W. Jones & P. B. Kenen (ed.),Handbook of International Economics, edition 1, volume 2, chapter 14, pages 679-747, Elsevier.
  112. Vitaly Orlov, 2018. "Solvency Risk Premia and the Carry Trades," Working Papers on Finance 1802, University of St. Gallen, School of Finance.
  113. Baillie, Richard T. & Kilic, Rehim, 2006. "Do asymmetric and nonlinear adjustments explain the forward premium anomaly?," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 22-47, February.
  114. Brenner, Robin J. & Kroner, Kenneth F., 1995. "Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(1), pages 23-42, March.
  115. Su, EnDer & Fen, Yu-Gin, 2011. "Applying the structural equation model rule-based fuzzy system with genetic algorithm for trading in currency market," MPRA Paper 35474, University Library of Munich, Germany.
  116. Jeffrey A. Frankel & Kenneth A. Froot, 1985. "Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations," NBER Working Papers 1672, National Bureau of Economic Research, Inc.
  117. Kearney, Fearghal & Cummins, Mark & Murphy, Finbarr, 2019. "Using extracted forward rate term structure information to forecast foreign exchange rates," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 1-14.
  118. Durlauf, Steven N. & Hall, Robert E., 1988. "Bounds on the Variances of Specification Errors in Models with Expectations," CEPR Publications 244420, Stanford University, Center for Economic Policy Research.
  119. Claus VISTESEN, 2009. "Carry Trade Fundamentals And The Financial Crisis 2007-2010," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 4(2(8)_ Sum).
  120. 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.
  121. Filippou, Ilias & Taylor, Mark P, 2019. "Forward-Looking Policy Rules and Currency Premia," CEPR Discussion Papers 13835, C.E.P.R. Discussion Papers.
  122. Craig Burnside, 2009. "Comment on "Carry Trades and Currency Crashes"," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 349-359, National Bureau of Economic Research, Inc.
  123. Mikhail Chernov & Drew D. Creal, 2018. "International Yield Curves and Currency Puzzles," NBER Working Papers 25206, National Bureau of Economic Research, Inc.
  124. Ho, Tsung-Wu, 2003. "A re-examination of the unbiasedness forward rate hypothesis using dynamic SUR model," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(3), pages 542-559.
  125. Doskov, Nikolay & Swinkels, Laurens, 2015. "Empirical evidence on the currency carry trade, 1900–2012," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 370-389.
  126. Frederick Nieuwland & Willem Verschoor & Christian Wolff, 2000. "Exchange risk premia in the European monetary system," Applied Financial Economics, Taylor & Francis Journals, vol. 10(4), pages 351-360.
  127. Bhatti, Razzaque H., 2014. "The existence of uncovered interest parity in the CIS countries," Economic Modelling, Elsevier, vol. 40(C), pages 227-241.
  128. Christian Dunis & Jia Miao, 2007. "Trading foreign exchange portfolios with volatility filters: the carry model revisited," Applied Financial Economics, Taylor & Francis Journals, vol. 17(3), pages 249-255.
  129. Stuart Landon & Constance E. Smith, 2003. "The Risk Premium, Exchange Rate Expectations, and the Forward Exchange Rate: Estimates for the Yen--Dollar Rate," Review of International Economics, Wiley Blackwell, vol. 11(1), pages 144-158, February.
  130. Kuruppuarachchi, Duminda & Lin, Hai & Premachandra, I.M., 2019. "Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices," Economic Modelling, Elsevier, vol. 77(C), pages 92-112.
  131. McCallum, Bennett T., 1994. "A reconsideration of the uncovered interest parity relationship," Journal of Monetary Economics, Elsevier, vol. 33(1), pages 105-132, February.
  132. Coelho dos Santos, Marcelo Bittencourt & Klotzle, Marcelo Cabus & Figueiredo Pinto, Antonio Carlos, 2016. "Evidence of risk premiums in emerging market carry trade currencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 103-115.
  133. Young Se Kim & Gwi Hwan Seol, 2016. "Monetary Policy Regime Shifts and Uncovered Interest Parity Revisited: The Euro–US Dollar Exchange Rate," International Economic Journal, Taylor & Francis Journals, vol. 30(3), pages 360-378, July.
  134. 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;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 130(3), pages 461-475, September.
  135. 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.
  136. repec:ebl:ecbull:v:6:y:2008:i:26:p:1-18 is not listed on IDEAS
  137. Prakash Kannan, 2008. "Perspectives on High Real Interest Rates in Turkey," IMF Working Papers 08/251, International Monetary Fund.
  138. Sebastian Edwards, 1981. "Floating Excahnge Rates, Exectations and New Information," UCLA Economics Working Papers 227, UCLA Department of Economics.
  139. Dhekra Azouzi & Rohit Vishal Kumar & Chaker Aloui, 2011. "Forward Rate Unbiasedness Hypothesis in the Tunisian Exchange Rate Market," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 1(2), pages 17-44, July.
  140. Napolitano, Oreste, 2000. "The efficiency hypothesis and the role of 'news' in the Euro/British pound exchange rate market: an empirical analysis using daily data," ISER Working Paper Series 2000-30, Institute for Social and Economic Research.
  141. Havenner, Arthur & Modjtahedi, Bagher, 1986. "Foreign Exchange Rates: A Multiple Currency And Maturity Analysis," Working Papers 225804, University of California, Davis, Department of Agricultural and Resource Economics.
  142. Pasricha, Gurnain Kaur, 2006. "Survey of Literature on Covered and Uncovered Interest Parities," MPRA Paper 22737, University Library of Munich, Germany.
  143. Stefanescu, Răzvan & Dumitriu, Ramona, 2020. "Efectul Turn-of-the-Year pe piaţa valutară din România
    [The Turn-of-the-Year Effect in the Romanian foreign exchange market]
    ," MPRA Paper 99365, University Library of Munich, Germany, revised 30 Mar 2020.
  144. Christian Wagner, 2008. "Risk-Premia, Carry-Trade Dynamics, and Speculative Efficiency of Currency Markets," Working Papers 143, Oesterreichische Nationalbank (Austrian Central Bank).
  145. 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.
  146. Narayan, Paresh Kumar & Sharma, Susan Sunila & Phan, Dinh Hoang Bach & Liu, Guangqiang, 2020. "Predicting exchange rate returns," Emerging Markets Review, Elsevier, vol. 42(C).
  147. Berg, Kimberly A. & Mark, Nelson C., 2018. "Measures of global uncertainty and carry-trade excess returns," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 212-227.
  148. Michael Mussa, 1993. "Discussion of 'Recent Thinking About Exchange Rate Determination and Policy'," RBA Annual Conference Volume (Discontinued), in: Adrian Blundell-Wignall (ed.),The Exchange Rate, International Trade and the Balance of Payments, Reserve Bank of Australia.
  149. Geetesh Bhardwaj & Gary Gorton & K. Rouwenhorst, 2008. "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," Yale School of Management Working Papers amz2429, Yale School of Management.
  150. Bilson, John F.O. & Cernauskas, Deborah, 2007. "Currency and credit markets," Journal of International Money and Finance, Elsevier, vol. 26(7), pages 1187-1205, November.
  151. Nyahoho, Emmanuel, 1995. "La concurrence de monnaies dans un marché financier dématérialisé," L'Actualité Economique, Société Canadienne de Science Economique, vol. 71(3), pages 334-364, septembre.
  152. Sofiane Amri, 2008. "Analysing the forward premium anomaly using a Logistic Smooth Transition Regression model," Economics Bulletin, AccessEcon, vol. 6(26), pages 1-18.
  153. Christian Wolff, 2000. "Forward foreign exchange rates and expected future spot rates," Applied Financial Economics, Taylor & Francis Journals, vol. 10(4), pages 371-377.
  154. 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.
  155. Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2012. "Sources of Risk in Currency Returns," CEPR Discussion Papers 8745, C.E.P.R. Discussion Papers.
  156. Edwards, Sebastian, 1982. "Exchange rates and `news': A multi-currency approach," Journal of International Money and Finance, Elsevier, vol. 1(1), pages 211-224, January.
  157. Karen K. Lewis, 2011. "Global asset pricing," Globalization Institute Working Papers 88, Federal Reserve Bank of Dallas, revised 2011.
  158. Thomas Mikosch & Casper G. de Vries, 2006. "Tail Probabilities for Regression Estimators," Tinbergen Institute Discussion Papers 06-085/2, Tinbergen Institute.
  159. Waheed, Muhammad, 2009. "Forward rate unbiased hypothesis, risk premium and exchange rate expectations: estimates on Pakistan Rupee-US Dollar," MPRA Paper 33167, University Library of Munich, Germany, revised Jul 2010.
  160. repec:onb:oenbwp:y:2009:i:2:b:1 is not listed on IDEAS
  161. 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.
  162. Richard H. Clarida & Mark P. Taylor, 1997. "The Term Structure Of Forward Exchange Premiums And The Forecastability Of Spot Exchange Rates: Correcting The Errors," The Review of Economics and Statistics, MIT Press, vol. 79(3), pages 353-361, August.
  163. Lee, Suzanne S. & Wang, Minho, 2020. "Tales of tails: Jumps in currency markets," Journal of Financial Markets, Elsevier, vol. 48(C).
  164. Dejan Živkov & Jovan Njegić & Mirela Momčilović & Ivan Milenković, 2016. "Exchange Rate Volatility and Uncovered Interest Rate Parity in the European Emerging Economies," Prague Economic Papers, University of Economics, Prague, vol. 2016(3), pages 253-270.
  165. 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.
  166. Heinrich W. Ursprung, 1982. "Einige Bemerkungen zur empirischen Überprüfung der Effizienzhypothese für Devisenterminmärkte," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 118(I), pages 81-92, March.
  167. Chulho Jung & K. Doroodian & Robert Albarano, 1998. "The unbiased forward rate hypothesis: a re-examination," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 567-575.
  168. Miah, Fazlul & Altiti, Omar, 2020. "Risk premium or irrational expectations? An investigation into the causes of forward discount bias across 27 developed and developing economies forward rates," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  169. Bekaert, Geert, 2001. "Editor's foreword to the special issue: "On the predictability of asset returns"," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 451-457, December.
  170. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2010. "Properties of Foreign Exchange Risk Premia," MPRA Paper 21302, University Library of Munich, Germany.
  171. Wu, Chih-Chiang & Wu, Chang-Che, 2017. "The asymmetry in carry trade and the U.S. dollar," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 304-313.
  172. Matti Suominen & Petri Jylhä, 2009. "Arbitrage Capital and Currency Carry Trade Returns," 2009 Meeting Papers 84, Society for Economic Dynamics.
  173. John Pippenger, 1991. "Forward rates as predictors of future spot rates in small open economies: The case of Kuwait," Open Economies Review, Springer, vol. 2(2), pages 183-201, June.
  174. 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.
  175. Kenneth A. Froot & Jeffrey A. Frankel, 1986. "Interpreting Tests of Forward Discount Bias Using Survey Data on Exchange Rate Expectations," NBER Working Papers 1963, National Bureau of Economic Research, Inc.
  176. MacDonald, Ronald & Moore, Michael J., 2001. "The spot-forward relationship revisited: an ERM perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(1), pages 29-52, March.
  177. 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.
  178. P. Chong, 1987. "Does Interest Parity Hold for Australia?," Economics Discussion / Working Papers 87-03, The University of Western Australia, Department of Economics.
  179. Saskia ter Ellen & Willem F.C. Verschoor, 2017. "Heterogeneous beliefs and asset price dynamics: a survey of recent evidence," Working Paper 2017/22, Norges Bank.
  180. Bilson, John F. O. & Hsieh, David A., 1987. "The profitability of currency speculation," International Journal of Forecasting, Elsevier, vol. 3(1), pages 115-130.
  181. Dimitris Kenourgios & Aristeidis Samitas, 2005. "Testing Efficiency Of The Copper Futures Market: New Evidence From London Metal Exchange," Finance 0512010, University Library of Munich, Germany.
  182. Edwards, Sebastian, 1983. "Floating exchange rates, expectations and new information," Journal of Monetary Economics, Elsevier, vol. 11(3), pages 321-336.
  183. W A Razzak, 1998. "The forward rate unbiasedness hypothesis in inflation-targeting regimes," Reserve Bank of New Zealand Discussion Paper Series G99/3, Reserve Bank of New Zealand, revised Aug 1999.
  184. S.P.G. Teo, 1990. "The Efficiency of the Australian Foreign Exchange Market," Economics Discussion / Working Papers 90-25, The University of Western Australia, Department of Economics.
  185. 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).
  186. Zura Kakushadze & Willie Yu, 2019. "iCurrency?," Papers 1911.01272, arXiv.org, revised Nov 2019.
  187. Josh Stillwagon, 2013. "Does the Consumption CAPM Help in Accounting for Expected Currency Returns?," Working Papers 1317, Trinity College, Department of Economics.
  188. Edmonds, Radcliffe Jr. & So, Jacky Y. C., 2004. "Is exchange rate volatility excessive? An ARCH and AR approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 122-154, February.
  189. Shively, Philip A., 2000. "Stationary time-varying risk premia in forward foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 19(2), pages 273-288, April.
  190. Cheong, Calvin W.H. & Sinnakkannu, Jothee & Ramasamy, Sockalingam, 2017. "On the predictability of carry trade returns: The case of the Chinese Yuan," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 358-376.
IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.