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Author
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Year
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Title
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Burnside, C., M. Eichenbaum, I. Kleshchelski, and S. Rebelo
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(2006)
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‘The Returns to Currency Speculation,’ National Bureau of Economic Research, Working Paper 12489, August 2006. www.nber.org/papers/w12489.
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Baillie, R.T. and R. Kilic
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(2005)
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‘Do Assymetric and Nonlinear adjustements Explain the Forward Premium Anomaly?’ http://www.lancs.ac.uk/staff/lubberin/seminars/pdffiles/baillieuippaperapril81.pdf.
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Chinn, M.D. and G. Meredith
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(2004)
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'Monetary policy and long-horizon uncovered interest parity,' IMF Staff Papers, vol.51 (3): 409-30.
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Frankel, J. and J. Poonawala
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(2004)
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‘The Forward Market in Emerging Currencies: Less Biased than in Major Currencies,’ http://ksghome.harvard.edu/~jfrankel/FDBiasEMktsJumanaurev06sbmSept1.pdf.
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Kritzman, M.
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(2004)
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‘The Forward Rate Bias: An Update,’ Economics and Portfolio Strategy, July 15, 2004: 7pp.
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Flood, R.P. and A.K. Rose
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(2002)
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‘Uncovered interest parity in crisis,’ IMF Staff Papers, vol.49 (2): 252-66. http://www.imf.org/external/pubs/ft/staffp/2002/02/pdf/flood.pdf
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Bekaert, G., M. Wei and Y. Xing
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(2002)
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'Uncovered interest rate parity and the term structure,' NBER working paper #8795, http://venus.icre.go.kr/metadata/22998_w8795.pdf.
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Radalj, K.
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(2002)
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‘Risk Premiums and the Forward Rate Anomaly: A Survey,’ http://www.iemss.org/iemss2002/proceedings/pdf/volume%20due/396_radalj.pdf.
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Berk, J.M. and K.H.W. Knot
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(2001)
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‘Testing for long horizon UIP using PPP-based exchange rate expectations,’ Journal of Banking and Finance, vol.25 (2) February: 377-91.
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Alexius, A.
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(2001)
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'Uncovered interest parity revisited,' Review of International Economics, vol.9 (3): 505-17.
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Christensen, M.
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(2000)
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‘Uncovered interest parity and policy behavior: New evidence,’ Economics Letters, vol..69 (1) October: 81-87.
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Baillie, R.T. and T. Bollerslev
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(2000)
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‘The forward premium anomaly is not as bad as you think,’ Journal of International Money and Finance, vol.19 (4) August: 471-88.
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Bansal, R. and M. Dahquist
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(2000)
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‘The forward premium puzzle: Different tales from developed and emerging markets,’ Journal of International Economics, vol.51 (1) : 115-44.
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Faust, Jon and J.H. Rogers
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(1999)
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‘Monetary policy's role in exchange rate behavior,’ International Finance Discussion Paper no.652, November. http://www.federalreserve.gov/pubs/ifdp/1999/652/ifdp652.pdf.
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Barnhart, S.W., R. McNown, M.S. Wallace
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(1999)
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‘Non-informative tests of the unbiased forward exchange rate,’ Journal of Financial and Quantitative Analysis, vol.34 (2) June: 265-91.
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Blom, M.H.J.
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(1999)
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‘Een theoretische en empirisch onderzoek naar de geldigheid van de ongedekte interest pariteit,’ DNB WO&E working paper no.576
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Anker, P.
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(1999)
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‘Uncovered interest parity, monetary policy and time-varying risk premia,’ Journal of International Money and Finance, vol.18 (6) December: 835-51.
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Meredith, G. and M.D. Chinn
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(1998)
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‘Long-horizon uncovered interest rate parity,’ NBER Working paper no.6797.
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Mark, N.C. and Y. Wu
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(1998)
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‘Rethinking deviations from uncovered interest parity: The role of covariance risk and noise,’ Economic Journal, vol.108 (451) November: 1686-1706.
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Ligeralde, A.V.
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(1997)
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‘Covariance matrix estimators and tests of market efficiency,’ Journal of International Money and Finance, vol.16 (2) April: 323-43.
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Huisman, Koedijk, Kool, Nissen
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(1997)
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‘Extreme support for uncovered interest parity,’ Journal of International Money and Finance, vol.17 (1) :
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Flood, R.P. and A.K. Rose
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(1996)
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‘Fixes: Of the forward discount puzzle,’ Review of Economics and Statistics, vol.78 (4) November: 748-52.
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Engel, C.
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(1996)
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‘The forward discount anomaly and the risk premium: A survey of the recent evidence,’ Journal of Empirical Finance, vol.3 (2): 123-92.
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Phillips, P.C.B., J.W. McFarland and P.C. McMahon
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(1996)
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‘Robust tests of forward exchange market efficiency with empirical evidence from the 1920’s,’ Journal of Applied Econometrics, vol.11 (1) Jan-Feb: 1-22.
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Lewis, K.K.
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(1995)
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‘Puzzles in international financial markets,’ in G. Grossman, K. Rogoff (eds.) Handbook of International Economics, vol.3. Elsevier: 1913-71.
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McFarland, J.W., P.C. McMahon and Y. Ngama
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(1994)
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‘Forward exchange rates and expectations during the 1920s: A re-examination of the evidence,’ Journal of International Finance, vol.13 (6) December: 627-36.
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McCallum, B.T.
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(1994)
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‘A reconsideration of the uncovered interest parity relationship,’ Journal of Monetary Economics, vol.33 (1) February: 105-32.
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Bekaert, G. and R. J. Hodrick
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(1993)
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‘On biases in the measurement of foreign exchange risk premiums,’ Journal of International Money and Finance, vol.12 (2) April: 115-38.
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Mayfield, E.S. and R.G. Murphy
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(1992)
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‘Interest rate parity and the exchange risk premium: Evidence from panel data,’ Economics Letters, vol.40 (3) November: 319-24.
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Byers, J.D. and D.A. Peel
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(1991)
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‘Some evidence on the efficiency of the sterling-dollar and sterling-franc forward exchange rates in the interwar period,’ Economics Letters, vol.35 (3) March: 317-22.
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Gruijters, A.P.D.
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(1991)
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‘De efficientie van valutamarkten: een overzicht,’ Maandschrift Economie, vol.55 (4): 244-67.
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MacDonald, R. and M.P. Taylor
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(1991)
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‘Risk, efficiency and speculation in the 1920s foreign exchange market: An overlapping data analysis,’ Weltwirtschaftliches Archiv, vol.127 (3): 500-23.
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MacDonald, R. and M.P. Taylor
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(1990)
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‘The term structure of forward exchange premia: The inter-war experience,’ The Manchester School of Economics and Social Studies, vol.58 (1) March: 54-65.
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Frankel, J.A. and K.A. Froot
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(1990)
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‘Exchange rate forecasting techniques, survey data, and implications for the foreign exchange market,’ NBER Working paper no.3470.
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Froot, K.A. and R.H. Thaler
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(1990)
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‘Anomalies: Foreign exchange,’ Journal of Economic Perspectives, vol.4 (3) : 179-92.
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Lewis, K.K.
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(1989)
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‘Changing beliefs and systematic rational forecast errors with evidence from foreign exchange,’ American Economic Review, vol.79 (4) September: 621-36.
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Froot, K.A. and J.A. Frankel
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(1989)
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‘Forward discount bias: Is it an exchange risk premium?’ Quarterly Journal of Economics, vol.104 (1) February: 139-61.
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Cornell, B.
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(1989)
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‘The impact of data errors on measurement of the foreign exchange risk premium,’ Journal of International Money and Finance, vol.8 ( ) : 147-57.
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Cumby, R.
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(1988)
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‘Is it risk? Explaining deviations from uncovered interest rate parity,’ Journal of Monetary Economics, vol.22 (2) September: 279-99.
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Clinton, K.
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(1988)
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‘Transactions costs and covered interest arbitrage: Theory and evidence,’ Journal of Political Economy, vol.96 (2) April: 358-70.
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Hodrick, R.
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(1987)
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The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets. Harwood.
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Frankel, J.A. and K.A. Froot
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(1987)
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‘Using survey data to test standard propositions regarding exchange rate expectations,’ American Economic Review, vol.77 (1) March: 133-53.
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Fama, E.F.
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(1984)
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‘Forward and spot exchange rates,’ Journal of Monetary Economics, vol.14 (3) November: 319-38.
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Meese, R. and K. Rogoff
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(1983)
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‘Empirical Exchange Rate Models of the 1970’s: Do They Fit Out of Sample?’ Journal of International Economics.
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Bilson, J.F.O.
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(1981)
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‘The speculative efficiency hypothesis,’ Journal of Business, vol.54 (3) July 1981: 435-51.
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Frankel, J.
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(1980)
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‘Tests of Rational Expectations in the Forward Exchange Rate Market,’ vol. 46, (4), April. Reprinted in On Exchange Rates, 1997, pp. 189-205, Cambridge: MIT Press.
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Hansen, L.P., and R. J. Hodrick
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(1980)
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‘Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis,’ The Journal of Political Economy, Vol. 88, (5), October: 829-853.
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Tyron, R.
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(1979)
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‘Testing for rational expectations in foreign exchange markets,’ International Finance Discussion Paper No. 139, Federal Reserve Board, May 1979).
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