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Time-Variation and Structural Change in the Forward Discount: Implications for the Forward Rate Unbiasedness Hypothesis
16 references·4 citing·44 second hop
Time-Variation and Structural Change in the Forward Discount: Implications for the Forward Rate Unbiasedness Hypothesis (2000)Time-Variation and Structural Change in t…State-Space Models with Regime-Switching: Classical and Gibbs Sampling Approaches with Applications (2000)State-Space Models with Regim…Central bank intervention and exchange rate volatility (1998)Central bank intervention and…Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models (1998)Asymptotic Null Distribution …Identifying monetary policy in a small open economy under flexible exchange rates (1997)Identifying monetary policy i…The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …How the Bundesbank Conducts Monetary Policy (1996)How the Bundesbank Conducts M…Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP (1996)Erratum: The likelihood ratio…An Analysis of the Real Interest Rate Under Regime Shifts (1996)An Analysis of the Real Inter…Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates (1995)Some Empirical Evidence on th…Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots (1991)Pitfalls and Opportunities: W…Optimal Inference in Cointegrated Systems (1991)Optimal Inference in Cointegr…Anomalies: Foreign Exchange (1990)Anomalies: Foreign ExchangeThe Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Forward Discount Bias: Is it an Exchange Risk Premium? 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References

  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 2000State-Space Models with Regime-Switching: Classical and Gibbs Sampling Approaches with Applications1,153 cited
  • 1995Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates1,127 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 1991Optimal Inference in Cointegrated Systems1,110 cited
  • 1990Anomalies: Foreign Exchange902 cited
  • 1997Identifying monetary policy in a small open economy under flexible exchange rates793 cited
  • 1996An Analysis of the Real Interest Rate Under Regime Shifts779 cited
  • 1989Forward Discount Bias: Is it an Exchange Risk Premium?715 cited
  • 1991Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots681 cited
  • 1996Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP645 cited
  • 1998Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models551 cited
  • 1996How the Bundesbank Conducts Monetary Policy457 cited
  • 1998Central bank intervention and exchange rate volatility

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441 cited
  • 1980The "Speculative Efficiency" Hypothesis402 cited
  • Cited by

    • 2006The forward premium anomaly: statistical artefact or economic puzzle? New evidence from robust tests33 cited
    • 2009A New Look at the Forward Premium Puzzle30 cited
    • 2014Time variation in the standard forward premium regression: Some new models and tests28 cited
    • 2011Possible solutions to the forward bias paradox18 cited