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A Note on Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis
4 references·16 citing·42 second hop
A Note on Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis (1981)A Note on Exchange-Rate Expectations and …Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Proof that Properly Anticipat…The Economics of Exchange Rates (2004)The Economics of Exchange Rat…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…A Tract on Monetary Reform (1924)A Tract on Monetary ReformCurrency carry trade regimes: Beyond the Fama regression (2009)Currency carry trade regimes:…Chapter 37 Puzzles in international financial markets (1995)Chapter 37 Puzzles in interna…Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets (1995)Arbitrage, Cointegration, and…The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets (1989)The Time Variation of Risk an…Tests of international CAPM with time‐varying covariances (1989)Tests of international CAPM w…Interest rates and risk premia in the stock market and in the foreign exchange market (1987)Interest rates and risk premi…Are foreign exchange forecasts rational? (1986)Are foreign exchange forecast…Some evidence on the international inequality of real interest rates (1985)Some evidence on the internat…On time varying risk premia in the foreign exchange market: An econometric analysis (1985)On time varying risk premia i…International Capital Mobility and Crowding Out in the U.S. Economy: Imperfect Integration of Financial Markets or of Goods Markets? (1985)International Capital Mobilit…Interest Rate Determination in Developing Countries: A Conceptual Framework (1985)Interest Rate Determination i…Tests of rational expectations and no risk premium in forward exchange markets (1984)Tests of rational expectation…On the effects of sterilized intervention (1984)On the effects of sterilized …An investigation of risk and return in forward foreign exchange (1984)An investigation of risk and …The Real Interest Rate: A Multi-Country Empirical Study (1982)The Real Interest Rate: A Mul…In search of the exchange risk premium: A six-currency test assuming mean-variance optimization (1982)In search of the exchange ris…Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market (1979)A model of international asset pricing (1981)The statistical distribution of exchange rates: Empirical evidence and economic implications (1987)A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets (1990)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Fundamental determinants of national equity market returns: A perspective on conditional asset pricing (1997)What is Project Success: A Literature Review (2009)Asset Prices in an Exchange Economy (1978)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)Presidential Address: Discount Rates (2011)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Asset storability and price discovery in commodity futures markets: A new look (2001)Some Recent Developments in Futures Hedging (2002)An analysis of euro area sovereign CDS and their relation with government bonds (2015)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums (2013)THE DEMAND FOR RISKY ASSETS (1977)Domestic Saving and International Capital Flows (1980)The Current Account and Macroeconomic Adjustment in the 1970s (1981)Capital Mobility in Developing Countries: Some Measurement Issues and Empirical Estimates (1994)The Feldstein-Horioka puzzle and capital mobility: a review (1998)The Choice of Numeraire Currency in Panel Tests of Purchasing Power Parity (2001)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)Conditional variance and the risk premium in the foreign exchange market (1985)The econometric analysis of models with risk terms (1988)Banking on currency forecasts: How predictable is change in money? (1995)Foreign currency option values (1983)blurred boundaries: the discourse of corruption, the culture of politics, and the imagined state (1995)Financialisation and the slowdown of accumulation (2004)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Inefficient Markets (2000)Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets (2001)
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References

  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
  • 1924A Tract on Monetary Reform1,287 cited
  • 2004The Economics of Exchange Rates435 cited

Cited by

  • 1984An investigation of risk and return in forward foreign exchange322 cited
  • 1982In search of the exchange risk premium: A six-currency test assuming mean-variance optimization318 cited
  • 1985International Capital Mobility and Crowding Out in the U.S. Economy: Imperfect Integration of Financial Markets or of Goods Markets?318 cited
  • 1995Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets315 cited
  • 1995Chapter 37 Puzzles in international financial markets213 cited
  • 1987Interest rates and risk premia in the stock market and in the foreign exchange market186 cited
  • 1989The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets185 cited
  • 1986Are foreign exchange forecasts rational?177 cited
  • 1984On the effects of sterilized intervention165 cited
  • 1985On time varying risk premia in the foreign exchange market: An econometric analysis164 cited

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2009
Currency carry trade regimes: Beyond the Fama regression
154 cited
  • 1984Tests of rational expectations and no risk premium in forward exchange markets151 cited
  • 1989Tests of international CAPM with time‐varying covariances147 cited
  • 1985Some evidence on the international inequality of real interest rates144 cited
  • 1985Interest Rate Determination in Developing Countries: A Conceptual Framework143 cited
  • 1982The Real Interest Rate: A Multi-Country Empirical Study128 cited