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Exchange Rates and UIP Violations at Short and Long Horizons
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Outgoing claims: the papers this work cites, builds on, or argues with.
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Understanding spot and forward exchange rate regressions
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The time‐series properties of the risk premium in the Yen/Dollar exchange market
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Empirical exchange rate models of the seventies
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On biases in the measurement of foreign exchange risk premiums
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Staggered prices in a utility-maximizing framework
inferredcites →https://doi.org/10.1016/0304-3932(84)90046-1openalex-extracted
Forward and spot exchange rates
inferredcites →https://doi.org/10.1016/0304-3932(86)90032-2openalex-extracted
Functional equivalence between liquidity costs and the utility of money
inferredcites →https://doi.org/10.1016/0304-3932(91)90007-bopenalex-extracted
Equilibria under ‘active’ and ‘passive’ monetary and fiscal policies
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Profits, risk, and uncertainty in foreign exchange markets
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What matters for financial development? Capital controls, institutions, and interactions
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Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects
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The (partial) rehabilitation of interest rate parity in the floating rate era: Longer horizons, alternative expectations, and emerging markets
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Home bias in global bond and equity markets: The role of real exchange rate volatility
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Uncovered interest rate parity and the term structure
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Exchange rate puzzles and distorted beliefs
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Asset prices and liquidity in an exchange economy
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Monetary policy, capital controls and seigniorage in an open economy
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Forecasting Currency Excess Returns: Can the Forward Bias Be Exploited?
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The Time Variation of Expected Returns and Volatility in Foreign-Exchange Markets
inferredcites →https://doi.org/10.1086/262056openalex-extracted
A Monetary Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles
inferredcites →https://doi.org/10.1086/386528openalex-extracted
The Flight‐to‐Liquidity Premium in U.S. Treasury Bond Prices
inferredcites →https://doi.org/10.1086/666526openalex-extracted
The Aggregate Demand for Treasury Debt
inferredcites →https://doi.org/10.1093/restud/rdq013openalex-extracted
Investor Overconfidence and the Forward Premium Puzzle
inferredcites →https://doi.org/10.1093/rfs/hhr068openalex-extracted
Common Risk Factors in Currency Markets
inferredcites →https://doi.org/10.1093/rfs/hhs108openalex-extracted
A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets
inferredcites →https://doi.org/10.1111/0020-8833.00051openalex-extracted
Domestic and Systemic Determinants of Capital Controls in the Developed and Developing World
inferredcites →https://doi.org/10.1111/1467-937x.00216openalex-extracted
Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates?
inferredcites →https://doi.org/10.1111/j.1467-937x.2009.00537.xopenalex-extracted
Time-Varying Risk, Interest Rates, and Exchange Rates in General Equilibrium
inferredcites →https://doi.org/10.1111/j.1538-4616.2007.00047.xopenalex-extracted
Monetary and Fiscal Policy Switching
inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb04399.xopenalex-extracted
Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05132.xopenalex-extracted
Accounting for Forward Rates in Markets for Foreign Currency
inferredcites →https://doi.org/10.1111/jofi.12088openalex-extracted
International Asset Pricing with Recursive Preferences
inferredcites →https://doi.org/10.1162/003465398557825openalex-extracted
Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data
inferredcites →https://doi.org/10.1162/jeea.2008.6.2-3.581openalex-extracted
Carry Trade: The Gains of Diversification
inferredcites →https://doi.org/10.1257/0002828053828518openalex-extracted
Estimation and Inference of Impulse Responses by Local Projections
inferredcites →https://doi.org/10.1257/aer.100.3.870openalex-extracted
Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle
inferredcites →https://doi.org/10.1257/aer.101.7.3456openalex-extracted
The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment
inferredcites →https://doi.org/10.1257/mac.4.3.33openalex-extracted
Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle
inferredcites →https://doi.org/10.1353/eca.2000.0020openalex-extracted
The Economic Consequences of Disappearing Government Debt
inferredcites →https://doi.org/10.17016/ifdp.2003.755ropenalex-extracted
Diversification, Original Sin, and International Bond Portfolios
inferredcites →https://doi.org/10.2139/ssrn.1361252openalex-extracted
Rare Disasters and Exchange Rates
inferredcites →https://doi.org/10.2139/ssrn.1604694openalex-extracted
Euro Money Market Spreads During the 2007-? Financial Crisis
inferredcites →https://doi.org/10.2139/ssrn.381861openalex-extracted
Diversification, Original Sin, and International Bond Portfolios
inferredcites →https://doi.org/10.2139/ssrn.679663openalex-extracted
Fluctuating Macro Policies and the Fiscal Theory
inferredcites →https://doi.org/10.2139/ssrn.883180openalex-extracted
Economic Effects and Structural Determinants of Capital Controls
inferredcites →https://doi.org/10.2307/2109573openalex-extracted
An Empirical Analysis of Ex Ante Profits from Forward Speculation in Foreign Exchange Markets
inferredcites →https://doi.org/10.2307/2111675openalex-extracted
The Origins of Financial Openness: A Study of Current and Capital Account Liberalization
inferredcites →https://doi.org/10.2307/2946646openalex-extracted
Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates
inferredcites →https://doi.org/10.2307/3867531openalex-extracted
Economic Effects and Structural Determinants of Capital Controls
inferredcites →https://doi.org/10.24148/wp2010-13openalex-extracted
Optimal Monetary Policy in Open Economies
inferredcites →https://doi.org/10.3386/w0474openalex-extracted
The "Speculative Efficiency" Hypothesis
inferredcites →https://doi.org/10.3386/w11077openalex-extracted
Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era
inferredcites →https://doi.org/10.3386/w17691openalex-extracted
Home Bias in Open Economy Financial Macroeconomics
inferredcites →https://doi.org/10.3386/w19623openalex-extracted
The Term Structure of Currency Carry Trade Risk Premia
inferredcites →https://doi.org/10.3386/w19854openalex-extracted
International Liquidity and Exchange Rate Dynamics
inferredcites →https://doi.org/10.3386/w20194openalex-extracted
Monetary/Fiscal Policy Mix and Agents' Beliefs
inferredcites →https://doi.org/10.3386/w20265openalex-extracted
The Liquidity Premium of Near-Money Assets
inferredcites →https://doi.org/10.3386/w20294openalex-extracted
Forward and Spot Exchange Rates in a Multi-currency World
inferredcites →https://doi.org/10.3386/w8905openalex-extracted
Monetary Policy and Exchange Rate Volatility in a Small Open Economy
inferredcites →https://doi.org/10.4324/9781315014593openalex-extracted
The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets
inferredcites →https://doi.org/10.1016/0022-1996(89)90052-4openalex-snapshot
External debt, capital flight and political risk
inferredcites →https://doi.org/10.1016/0927-5398(95)00016-xopenalex-snapshot
The forward discount anomaly and the risk premium: A survey of recent evidence
inferredcites →https://doi.org/10.1016/s0304-3932(02)00128-9openalex-snapshot
A Simple Framework for International Monetary Policy Analysis
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01525.xopenalex-snapshot
A Habit‐Based Explanation of the Exchange Rate Risk Premium
inferredcites →https://doi.org/10.1111/j.1540-6261.2010.01627.xopenalex-snapshot
Leverage, Moral Hazard, and Liquidity
inferredcites →https://doi.org/10.1111/j.1540-6261.2012.01728.xopenalex-snapshot
Carry Trades and Global Foreign Exchange Volatility
inferredcites →https://doi.org/10.2139/ssrn.879059openalex-snapshot
Technology Shocks and Aggregate Fluctuations: How Well Does the Real Business Cycle Model Fit Postwar U.S. Data?
inferredcites →https://doi.org/10.3386/w4353openalex-snapshot
The Political Economy of Capital Controls
inferredcites →https://doi.org/10.3386/w4951openalex-snapshot
Puzzles in International Financial Markets
inferredcites →https://doi.org/10.3386/w7766openalex-snapshot
Quality of Bureaucracy and Open-Economy Macro Policies
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
inferred← citeshttps://doi.org/10.1016/j.ememar.2017.10.007openalex-snapshot
Co-movement of exchange rates with interest rate differential, risk premium and FED policy in “fragile economies”
inferred← citeshttps://doi.org/10.1016/j.jedc.2024.104925openalex-snapshot
International portfolio rebalancing and fiscal policy spillovers
inferred← citeshttps://doi.org/10.1257/aer.20121365openalex-snapshot
Exchange Rates, Interest Rates, and the Risk Premium
inferred← citeshttps://doi.org/10.29086/10413/23153openalex-snapshot
The monetary model of exchange rate behaviour: the case of South Africa.
inferred← citeshttps://doi.org/10.3386/w21042openalex-snapshot
Exchange Rates, Interest Rates, and the Risk Premium
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