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Liquidity premia and interest rate parity
16 references·2 citing·51 second hop
Liquidity premia and interest rate parity (2015)Liquidity premia and interest rate parityExchange Rates and Interest Parity (2014)Exchange Rates and Interest P…The Aggregate Demand for Treasury Debt (2012)The Aggregate Demand for Trea…Consumption, government spending, and the real exchange rate (2012)Consumption, government spend…Can structural small open-economy models account for the influence of foreign disturbances? (2010)Can structural small open-eco…Monetary policy and exchange rate overshooting: Dornbusch was right after all (2009)Monetary policy and exchange …New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates (2008)New evidence on the puzzles: …Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Shocks and Frictions in US Bu…Euler equations and money market interest rates: A challenge for monetary policy models (2007)Euler equations and money mar…The Flight‐to‐Liquidity Premium in U.S. Treasury Bond Prices (2004)The Flight‐to‐Liquidity Premi…Delaying the Inevitable: Interest Rate Defense and Balance of Payments Crises (2003)Delaying the Inevitable: Inte…The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices (2002)The Flight-to-Liquidity Premi…A Monetary Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles (1996)A Monetary Explanation of the…Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates (1995)Some Empirical Evidence on th…Anomalies: Foreign Exchange (1990)Anomalies: Foreign ExchangeForward and spot exchange rates (1984)Forward and spot exchange rat…Biases in Dynamic Models with Fixed Effects (1981)Biases in Dynamic Models with…The Global Dollar Cycle (2023)The Global Dollar CycleA Liquidity‐Based Resolution of the Uncovered Interest Parity Puzzle (2019)A Liquidity‐Based Resolution …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)Expectations and Exchange Rate Dynamics (1976)Empirical exchange rate models of the seventies (1983)The federal funds rate and the channels of monetary transmission (1989)Large Bayesian vector auto regressions (2009)Capital Flows and the Risk-Taking Channel of Monetary Policy (2013)Cross-Border Banking and Global Liquidity (2014)Are Government Bonds Net Wealth? (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modeling Term Structures of Defaultable Bonds (1999)A Macroprudential Approach to Financial Regulation (2011)Monetary Policy as Financial Stability Regulation (2012)The Deposits Channel of Monetary Policy* (2017)Bank Runs, Deposit Insurance, and Liquidity (1983)Parsimonious Modeling of Yield Curves (1987)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Valuation in Over-the-Counter Markets (2007)Bond Supply and Excess Bond Returns (2014)Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis? (2020)The Transactions Demand for Cash: An Inventory Theoretic Approach (1952)The equity premium: A puzzle (1985)Recursive Methods in Economic Dynamics (1989)Monetary policy and asset prices (2007)Asset prices and liquidity in an exchange economy (2010)The History and Economics of Safe Assets (2017)Continuous Auctions and Insider Trading (1985)Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations (1985)Carry Trades and Currency Crashes (2008)Carry Trades and Currency Crashes (2008)What do we learn from the price of crude oil futures? (2010)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Endogenous Liquidity in Asset Markets (2004)Liquidity risk of corporate bond returns: conditional approach (2013)Flights to Safety (2019)Discretion versus policy rules in practice (1993)The Science of Monetary Policy: A New Keynesian Perspective (1999)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)A model of unconventional monetary policy (2010)Financial Intermediation and Credit Policy in Business Cycle Analysis (2010)When Is the Government Spending Multiplier Large? (2011)Comparing Predictive Accuracy (1995)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Global trends in interest rates (2019)U.S. Monetary Policy and International Risk Spillovers (2019)Banking, Trade, and the Making of a Dominant Currency (2020)Initial conditions and moment restrictions in dynamic panel data models (1995)Initial conditions and moment restrictions in dynamic panel data models (1998)How to do Xtabond2: An Introduction to Difference and System GMM in Stata (2009)
this work references cited by second hop

References

  • 1981Biases in Dynamic Models with Fixed Effects8,724 cited
  • 2007Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach4,628 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 2012The Aggregate Demand for Treasury Debt1,591 cited
  • 1995Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates1,127 cited
  • 1990Anomalies: Foreign Exchange902 cited
  • 2004The Flight‐to‐Liquidity Premium in U.S. Treasury Bond Prices561 cited
  • 2002The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices319 cited
  • 2014Exchange Rates and Interest Parity284 cited
  • 1996A Monetary Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles256 cited
  • 2008New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates253 cited
  • 2012Consumption, government spending, and the real exchange rate244 cited
  • 2010Can structural small open-economy models account for the influence of foreign disturbances?226 cited
  • 2009Monetary policy and exchange rate overshooting: Dornbusch was right after all176 cited
  • 2007Euler equations and money market interest rates: A challenge for monetary policy models

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120 cited
  • 2003Delaying the Inevitable: Interest Rate Defense and Balance of Payments Crises97 cited
  • Cited by

    • 2023The Global Dollar Cycle30 cited
    • 2019A Liquidity‐Based Resolution of the Uncovered Interest Parity Puzzle11 cited