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Does foreign-exchange intervention matter? The portfolio effect
3 references·16 citing·49 second hop
Does foreign-exchange intervention matter? The portfolio effect (1993)Does foreign-exchange intervention matter…Forward Discount Bias: Is it an Exchange Risk Premium? (1989)Forward Discount Bias: Is it …Bayesian skepticism on unit root econometrics (1988)Bayesian skepticism on unit r…Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations (1985)Using Survey Data to Test Som…Tourism development and environmental degradation in the United States: evidence from wavelet-based analysis (2016)Tourism development and envir…Bubble thy neighbour: Portfolio effects and externalities from capital controls (2016)Bubble thy neighbour: Portfol…Capital Flows and Foreign Exchange Intervention (2014)Capital Flows and Foreign Exc…Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence (2008)Central Bank Communication an…The effectiveness of foreign exchange intervention in emerging market countries: Evidence from the Czech koruna (2007)The effectiveness of foreign …The Relationship Between Exchange Rates and Inflation Targeting Revisited (2006)The Relationship Between Exch…Is Official Exchange Rate Intervention Effective? 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(1997)Why do central banks interven…Central bank intervention and risk in the forward market (1997)Central bank intervention and…Chapter 37 Puzzles in international financial markets (1995)Chapter 37 Puzzles in interna…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The theory and practice of econometrics (1986)Common stochastic trends in international stock markets (1992)Energy consumption, real income and temporal causality: results from a multi-country study based on cointegration and error-correction modelling techniques (1996)Predictive regressions (1999)Empirical exchange rate models of the seventies (1983)Generalized autoregressive conditional heteroskedasticity (1986)Stock return variances (1986)Central bank intervention and foreign exchange rates: new evidence from FIGARCH estimations (2002)What prompts Japan to intervene in the Forex market? 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(2016)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Impact of tourism on CO2emission: evidence from Pakistan (2017)The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach (2019)Dynamic common correlated effects of trade openness, FDI, and institutional performance on environmental quality: evidence from OIC countries (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Heterogeneous expectations and tests of efficiency in the yen/dollar forward exchange rate market (1999)Yield Curve Predictors of Foreign Exchange Returns (2010)Global Asset Pricing (2011)A Theory of Intraday Patterns: Volume and Price Variability (1988)Market microstructure theory (1995)The coordination channel of foreign exchange intervention: A nonlinear microstructural analysis (2007)Emerging Market Volatility (2014)The Effectiveness of Central-Bank Intervention: A Survey of the Literature After 1982 (1993)Event Studies in Economics and Finance (1997)Foundations of International Macroeconomics (1997)Talking heads: the effects of ECB statements on the euro–dollar exchange rate (2005)Content Analysis for the Social Sciences and Humanities (1970)Maps of Bounded Rationality: Psychology for Behavioral Economics (2003)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)The Information Content of Central Bank Minutes (2012)Stock Returns Over the FOMC Cycle (2015)Fed Speak on Main Street: Central Bank Communication and Household Expectations (2016)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Economics of Exchange Rates (2003)
this work references cited by second hop

References

  • 1985Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations738 cited
  • 1989Forward Discount Bias: Is it an Exchange Risk Premium?715 cited
  • 1988Bayesian skepticism on unit root econometrics527 cited

Cited by

  • 2002The market microstructure of central bank intervention279 cited
  • 2003Is sterilised foreign exchange intervention effective after all? an event study approach230 cited
  • 2006The Relationship Between Exchange Rates and Inflation Targeting Revisited224 cited
  • 2016Tourism development and environmental degradation in the United States: evidence from wavelet-based analysis220 cited
  • 1997Why do central banks intervene?219 cited
  • 2008Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence213 cited
  • 1995Chapter 37 Puzzles in international financial markets213 cited
  • 2001The Great Recession: Lessons for Macroeconomic Policy from Japan212 cited
  • 2004Is Official Exchange Rate Intervention Effective?212 cited
  • 2000Efficient Monetary Policy Design near Price Stability197 cited
  • 2016Bubble thy neighbour: Portfolio effects and externalities from capital controls180 cited
  • 2003

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Monetary policy, foreign exchange intervention, and the exchange rate in a unifying framework
176 cited
  • 2004Identifying the efficacy of central bank interventions: evidence from Australia and Japan171 cited
  • 2007The effectiveness of foreign exchange intervention in emerging market countries: Evidence from the Czech koruna162 cited
  • 2014Capital Flows and Foreign Exchange Intervention150 cited
  • 1997Central bank intervention and risk in the forward market147 cited