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Changing Beliefs and Systematic Rational Forecast Errors with Evidence from Foreign Exchange
5 references·16 citing·55 second hop
Changing Beliefs and Systematic Rational Forecast Errors with Evidence from Foreign Exchange (1989)Changing Beliefs and Systematic Rational …Convergence of least squares learning mechanisms in self-referential linear stochastic models (1989)Convergence of least squares …Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates? (1986)Testing for Bubbles in Exchan…Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations (1985)Using Survey Data to Test Som…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…The Exchange Rate, The Balance Of Payments and Monetary and Fiscal Policy Under A Regime of Controlled Floating (1977)The Exchange Rate, The Balanc…Uncovered interest-rate parity over the past two centuries (2011)Uncovered interest-rate parit…Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics (2009)Changing Monetary Policy Rule…New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates (2008)New evidence on the puzzles: …Simple monetary policy rules and exchange rate uncertainty (2005)Simple monetary policy rules …Learning, Asset‐Pricing Tests, and Market Efficiency (2002)Learning, Asset‐Pricing Tests…Structural Breaks, Incomplete Information, and Stock Prices (2001)Structural Breaks, Incomplete…Peso problem explanations for term structure anomalies (2001)Peso problem explanations for…The Term Structure of Forward Exchange Premiums and the Forecastability of Spot Exchange Rates: Correcting the Errors (1997)The Term Structure of Forward…The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective (1996)The Time Variation of Risk an…The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence (1995)The Forward Discount Anomaly …Chapter 37 Puzzles in international financial markets (1995)Chapter 37 Puzzles in interna…Chapter 33 Empirical research on nominal exchange rates (1995)Chapter 33 Empirical research…Do stationary risk premia explain it all? (1994)Do stationary risk premia exp…Accounting for Forward Rates in Markets for Foreign Currency (1993)Accounting for Forward Rates …Exchange Rate Expectations: A Survey of Survey Studies (1991)Exchange Rate Expectations: A…A cointegration test for market efficiency (1991)A cointegration test for mark…Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Some International Evidence on Output-Inflation Tradeoffs. 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(1980)Strategic Trading When Agents Forecast the Forecasts of Others (1996)On economic applications of evolutionary game theory (1998)Robust Permanent Income and Pricing (1999)Specification Tests in Econometrics (1978)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Famous First Bubbles (1990)On Testing for Speculative Bubbles (1990)Crypto-currency bubbles: an application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices (2015)Forward and spot exchange rates (1984)Anomalies: Foreign Exchange (1990)ARCH modeling in finance (1992)The use of technical analysis in the foreign exchange market (1992)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Chapter 13 Consumption-based asset pricing (2003)Term Structure Dynamics in Theory and Reality (2003)Flights to Safety (2019)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era (2005)The Returns to Currency Speculation (2006)The Continuing Puzzle of Short Horizon Exchange Rate Forecasting (2008)MONEY, INCOME, AND CAUSALITY (1972)What are the Effects of Fiscal Policy Shocks? (2008)WHY AGNOSTIC SIGN RESTRICTIONS ARE NOT ENOUGH: UNDERSTANDING THE DYNAMICS OF OIL MARKET VAR MODELS (2012)Exchange Rates and Monetary Policy Uncertainty (2016)Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market (1979)Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations (1986)Forward Discount Bias: Is it an Exchange Risk Premium? (1989)Relationship Banking, Fragility, and the Asset-Liability Matching Problem (2007)Predictability in financial markets: What do survey expectations tell us? (2008)
this work references cited by second hop

References

  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1989Convergence of least squares learning mechanisms in self-referential linear stochastic models871 cited
  • 1985Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations738 cited
  • 1977The Exchange Rate, The Balance Of Payments and Monetary and Fiscal Policy Under A Regime of Controlled Floating480 cited
  • 1986Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates?269 cited

Cited by

  • 2002Learning, Asset‐Pricing Tests, and Market Efficiency377 cited
  • 1995The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence315 cited
  • 2008New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates253 cited
  • 2001Peso problem explanations for term structure anomalies232 cited
  • 1991Exchange Rate Expectations: A Survey of Survey Studies221 cited
  • 1995Chapter 37 Puzzles in international financial markets213 cited
  • 1993Accounting for Forward Rates in Markets for Foreign Currency208 cited
  • 1995Chapter 33 Empirical research on nominal exchange rates207 cited
  • 1996The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective199 cited

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  • 2005Simple monetary policy rules and exchange rate uncertainty179 cited
  • 2001Structural Breaks, Incomplete Information, and Stock Prices173 cited
  • 2011Uncovered interest-rate parity over the past two centuries168 cited
  • 1997The Term Structure of Forward Exchange Premiums and the Forecastability of Spot Exchange Rates: Correcting the Errors163 cited
  • 1991A cointegration test for market efficiency149 cited
  • 1994Do stationary risk premia explain it all?145 cited
  • 2009Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics143 cited