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An Equilibrium Model of Exchange Rate Determination and Asset Pricing with Nontraded Goods and Imperfect Information
13 references·14 citing·45 second hop
An Equilibrium Model of Exchange Rate Determination and Asset Pricing with Nontraded Goods and Imperfect Information (1987)An Equilibrium Model of Exchange Rate Det…Capital flows, investment, and exchange rates (1987)Capital flows, investment, an…Currency prices, terms of trade, and interest rates: A general equilibrium asset-pricing cash-in-advance approach (1985)Currency prices, terms of tra…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…Currency Preferences, Purchasing Power Risks, and the Determination of Exchange Rates in an Optimizing Model (1984)Currency Preferences, Purchas…International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…Interest rates and currency prices in a two-country world (1982)Interest rates and currency p…Macroeconomic Policy, Exchange-Rate Dynamics, and Optimal Asset Accumulation (1980)Macroeconomic Policy, Exchang…The diversifiability of exchange risk (1979)The diversifiability of excha…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The Exchange Rate, The Balance Of Payments and Monetary and Fiscal Policy Under A Regime of Controlled Floating (1977)The Exchange Rate, The Balanc…The Exchange Rate And The Balance of Payments In The Short Run and in The Long Run: A Monetary Approach (1977)The Exchange Rate And The Bal…Expectations and Exchange Rate Dynamics (1976)Expectations and Exchange Rat…An aggregation theorem for securities markets (1974)An aggregation theorem for se…Financial Integration in the EU28 Equity Market: measures and drivers (2022)Financial Integration in the …Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals (2011)Conditional Skewness of Stock…Predictable Trade Flows and Returns of Trade-Linked Countries (2010)Predictable Trade Flows and R…Nonlinear dynamics and competing behavioral interpretations: Evidence from intra‐day FTSE‐100 index and futures data (2006)Nonlinear dynamics and compet…Asset Prices and Exchange Rates (2006)Asset Prices and Exchange Rat…The international CAPM when expected returns are time-varying (2004)The international CAPM when e…The exchange rate and purchasing power parity: extending the theory and tests (2004)The exchange rate and purchas…Nonlinear predictability of short-run deviations in UK stock market returns (2004)Nonlinear predictability of s…Non‐linear dynamics in international stock market returns (2004)Non‐linear dynamics in intern…Exchange rate misalignment and nonlinear convergence to purchasing power parity in the European exchange rate mechanism (2001)Exchange rate misalignment an…The Asian currency crash: were badly driven fundamentals to blame?☆ (1999)The Asian currency crash: wer…Nominal rigidity and monetary uncertainty in a small open economy (1998)Nominal rigidity and monetary…Equilibrium real exchange rates: closed-form theoretical solutions and some empirical evidence (1997)Equilibrium real exchange rat…Chapter 6 International portfolio choice and asset pricing: An integrative survey (1995)Chapter 6 International portf…The monetary dynamics of hyperinflation (1956)International Economics (1969)A Model of Exchange Rate Determination under Currency Substitution and Rational Expectations (1977)The monetary approach to the balance of payments (1977)A Model of Exchange Rate Dynamics (1982)Flexible Exchange Rates, Prices and the Role of ‘News’: Lessons from the 1970s (1982)Some International Evidence on Output-Inflation Tradeoffs. (1973)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)MONETARY AND PORTFOLIO-BALANCE MODELS OF EXCHANGE RATE DETERMINATION (1992)Order Flow and Exchange Rate Dynamics (1999)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Asset Prices in an Exchange Economy (1978)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Optimal fiscal and monetary policy in an economy without capital (1983)Sticky Goods Prices, Flexible Asset Prices, Monopolistic Competition, and Monetary Policy (1986)Real exchange-rate variability under pegged and floating nominal exchange-rate systems: An equilibrium theory (1988)Nonparametric estimation of structural models for high-frequency currency market data (1995)Immiserizing Growth: A Geometrical Note (1958)Theory of Value (1959)Trying to Explain Home Bias in Equities and Consumption (1999)The Economics of Exchange Rates (2003)Real-time price discovery in global stock, bond and foreign exchange markets (2007)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Time‐Varying World Market Integration (1995)Value versus Growth: The International Evidence (1998)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)The cost of capital, corporation finance and the theory of investment (2008)The decision and the organization (1965)The Theory of Syndicates (1968)A MEAN‐VARIANCE SYNTHESIS OF CORPORATE FINANCIAL THEORY (1973)Two-Person Dynamic Equilibrium in the Capital Market (1989)Chapter 8 Micro data and general equilibrium models (1999)Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices (2002)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Empirical exchange rate models of the seventies (1983)Convergence Across States and Regions (1991)The Purchasing Power Parity Puzzle (1996)The Current Account in the Macroeconomic Adjustment Process (1983)The Rate of Time Preference and Dynamic Economic Analysis (1983)The dynamics of a small open economy in response to monetary, fiscal, and productivity shocks (1991)
this work references cited by second hop

References

  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
  • 1982Interest rates and currency prices in a two-country world1,256 cited
  • 1974An aggregation theorem for securities markets484 cited
  • 1977The Exchange Rate, The Balance Of Payments and Monetary and Fiscal Policy Under A Regime of Controlled Floating480 cited
  • 1977The Exchange Rate And The Balance of Payments In The Short Run and in The Long Run: A Monetary Approach365 cited
  • 1980Macroeconomic Policy, Exchange-Rate Dynamics, and Optimal Asset Accumulation209 cited
  • 1985Currency prices, terms of trade, and interest rates: A general equilibrium asset-pricing cash-in-advance approach143 cited
  • 1979The diversifiability of exchange risk121 cited
  • 1987Capital flows, investment, and exchange rates90 cited
  • 1984Currency Preferences, Purchasing Power Risks, and the Determination of Exchange Rates in an Optimizing Model67 cited

Cited by

  • 2006Asset Prices and Exchange Rates53 cited

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2004
The international CAPM when expected returns are time-varying
50 cited
  • 2004Non‐linear dynamics in international stock market returns47 cited
  • 2011Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals45 cited
  • 1999The Asian currency crash: were badly driven fundamentals to blame?☆44 cited
  • 1995Chapter 6 International portfolio choice and asset pricing: An integrative survey41 cited
  • 2022Financial Integration in the EU28 Equity Market: measures and drivers37 cited
  • 2006Nonlinear dynamics and competing behavioral interpretations: Evidence from intra‐day FTSE‐100 index and futures data37 cited
  • 2010Predictable Trade Flows and Returns of Trade-Linked Countries35 cited
  • 1997Equilibrium real exchange rates: closed-form theoretical solutions and some empirical evidence28 cited
  • 2004Nonlinear predictability of short-run deviations in UK stock market returns25 cited
  • 2004The exchange rate and purchasing power parity: extending the theory and tests20 cited
  • 1998Nominal rigidity and monetary uncertainty in a small open economy17 cited
  • 2001Exchange rate misalignment and nonlinear convergence to purchasing power parity in the European exchange rate mechanism13 cited