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Asset markets and relative prices in exchange rate determination
0 references·16 citing·56 second hopsampled
Asset markets and relative prices in exchange rate determination (1980)Asset markets and relative prices in exch…China's Dominance Hypothesis and the Emergence of a Tri-polar Global Currency System (2013)China's Dominance Hypothesis …Portfolio Choice in a Monetary Open-Economy DSGE Model (2005)Portfolio Choice in a Monetar…A Long run structural macroeconometric model of the UK (2003)A Long run structural macroec…PPP and the Balassa Samuelson Effect (2001)PPP and the Balassa Samuelson…What Determines Real Exchange Rates? 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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)
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  • 1982Flexible Exchange Rates, Prices and the Role of ‘News’: Lessons from the 1970s433 cited
  • 1982In search of the exchange risk premium: A six-currency test assuming mean-variance optimization318 cited
  • 2003A Long run structural macroeconometric model of the UK225 cited
  • 1985Chapter 15 The specification and influence of asset markets224 cited
  • 1977Exchange rates in the short run217 cited
  • 1995Chapter 37 Puzzles in international financial markets213 cited
  • 1995Chapter 33 Empirical research on nominal exchange rates207 cited
  • 1983Currency substitution, capital mobility and money demand194 cited
  • 1999What Determines Real Exchange Rates? The Long and the Short of It193 cited
  • 1989Tests of international CAPM with time‐varying covariances147 cited
  • 2013China's Dominance Hypothesis and the Emergence of a Tri-polar Global Currency System145 cited
  • 2001PPP and the Balassa Samuelson Effect135 cited
  • 1985Chapter 19 Empirical studies of exchange rates: Price behavior, rate determination and market efficiency126 cited
  • 1981Macroeconomic Determinants of Real Exchange Rates115 cited

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1994
A Survey of Empirical Research on Nominal Exchange Rates
109 cited
  • 2005Portfolio Choice in a Monetary Open-Economy DSGE Model107 cited