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Do asymmetric and nonlinear adjustments explain the forward premium anomaly? · Study

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ArticleDo asymmetric and nonlinear adjustments explain the forward premium anomaly?

Richard T. Baillie2005

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Articlegreen2005

Do asymmetric and nonlinear adjustments explain the forward premium anomaly?

Richard T. Baillie · Rehim Kılıç

156 citations·0/0 files stored·Journal of International Money and Finance

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Global Financial Crisis and Policies

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References

1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES 1984Forward and spot exchange rates 2002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS 1996The forward discount anomaly and the risk premium: A survey of recent evidence 2001The Microstructure Approach to Exchange Rates 1990Anomalies: Foreign Exchange 2003Why is it so difficult to beat the random walk forecast of exchange rates?1992Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World

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2011Carry trades, momentum trading and the forward premium anomaly 2021How puzzling is the forward premium puzzle? A meta-analysis 2020The tail behavior of safe haven currencies: A cross-quantilogram analysis 2009Trading the forward bias: Are there limits to speculation?2009Uncovered Interest Parity at Long Horizons: Evidence on Emerging Economies*2015Uncovered interest parity: The long and the short of it

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2006Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzlearticle · 14 shared references 2005The Forward Bias Puzzle and Nonlinearity in Deviations from Uncovered Interest Parity: A New Perspectivepreprint · 14 shared references 2008An Economic Evaluation of Empirical Exchange Rate Modelsarticle · 12 shared references 2011Carry trades, momentum trading and the forward premium anomalyarticle · 11 shared references 2007Forecasting Currency Excess Returns: Can the Forward Bias Be Exploited?article · 11 shared references 2014Time variation in the standard forward premium regression: Some new models and testsarticle · 11 shared references

Details

Year2005

Typearticle

Published2005-12-29

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations156

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jimonfin.2005.10.002

openalex_workW1980412868

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2009A New Look at the Forward Premium Puzzle

2013Nonlinear adjustment, purchasing power parity and the role of nominal exchange rates and prices