SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Interest rate parity and foreign exchange risk premia in the ERM
16 references·3 citing·47 second hop
Interest rate parity and foreign exchange risk premia in the ERM (1996)Interest rate parity and foreign exchange…One Market, One Money? (1996)One Market, One Money?The World Price of Foreign Exchange Risk (1995)The World Price of Foreign Ex…A reconsideration of the uncovered interest parity relationship (1994)A reconsideration of the unco…Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models (1993)Stochastic Devaluation Risk a…The foreign exchange risk premium in a target zone with devaluation risk (1992)The foreign exchange risk pre…The World Price of Covariance Risk (1991)The World Price of Covariance…Target Zones and Exchange Rate Dynamics (1991)Target Zones and Exchange Rat…Assessing Target Zone Credibility: Mean Reversion and Devaluation Expectations in the ERM 1979-1992 (1991)Assessing Target Zone Credibi…Can a time-varying risk premium explain excess returns in the forward market for foreign exchange? (1990)Can a time-varying risk premi…The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets (1989)The Time Variation of Risk an…Interest rates and risk premia in the stock market and in the foreign exchange market (1987)Interest rates and risk premi…The equity premium: A puzzle (1985)The equity premium: A puzzleInternational Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…Empirical Studies of Exchange Rates: Price Behavior, Rate Determinationand Market Efficiency (1983)Empirical Studies of Exchange…Deviations from Purchasing Power Parity in the Long Run (1983)Deviations from Purchasing Po…International Volatility and Economic Growth: The First Ten Years of The International Seminar on MacroeconomicsInternational Volatility and …EXCHANGE RATE TARGET ZONES: A SURVEY OF THE LITERATURE (2011)EXCHANGE RATE TARGET ZONES: A…The Effects of Liberalisation on Market and Currency Risk in the European Union (2001)The Effects of Liberalisation…Price and volatility spillovers between interest rate and exchange value of the US dollar (2001)Price and volatility spillove…How Far Can We Push The "Law of One Price"? (1976)Purchasing power parity (1978)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Nominal exchange rate regimes and the behavior of real exchange rates: Evidence and implications (1986)Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World (1992)The Economics of Exchange Rates (2003)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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 Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Risk and Predictability of International Equity Returns (1993)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Common Risk Factors in Currency Markets (2011)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Optimal Properties of Exponentially Weighted Forecasts (1960)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward and spot exchange rates (1984)The forward premium anomaly is not as bad as you think (2000)Monetary Policy and Long-Horizon Uncovered Interest Parity (2004)Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle (2010)Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market (1979)Flexible Exchange Rates, Prices, and the Role of "News": Lessons from the 1970s (1981)An empirical examination of long-run purchasing power parity using cointegration techniques (1988)Real and nominal exchange rates in the long run: An empirical investigation (1990)Target Zones and Realignments (1990)An Interpretation of Recent Research on Exchange Rate Target Zones (1992)Are currency crises self-fulfilling? (1997)Implied exchange rate distributions: evidence from OTC option markets (1998)The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets (2014)Spillovers of stock return volatility to Asian equity markets from Japan and the US (2003)The Euro and European financial market dependence (2007)Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach (2011)No Single Currency Regime is Right for All Countries or At All Times (1999)Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? (2001)The Trilemma in History: Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility (2004)Fiscal flows in the United States and Canada: Lessons for monetary union in Europe (1995)Fiscal discipline and flexibility in EMU: the implementation of the Stability and Growth Pact (1998)Ruling Europe the politics of the stability and growth pact (2010)
this work references cited by second hop

References

  • 1985The equity premium: A puzzle5,785 cited
  • 1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
  • 1991The World Price of Covariance Risk1,139 cited
  • 1991Target Zones and Exchange Rate Dynamics1,089 cited
  • 1983Deviations from Purchasing Power Parity in the Long Run497 cited
  • n.d.International Volatility and Economic Growth: The First Ten Years of The International Seminar on Macroeconomics458 cited
  • 1994A reconsideration of the uncovered interest parity relationship445 cited
  • 1996One Market, One Money?335 cited
  • 1993Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models269 cited
  • 1995The World Price of Foreign Exchange Risk265 cited
  • 1983Empirical Studies of Exchange Rates: Price Behavior, Rate Determinationand Market Efficiency206 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
  • 1991Assessing Target Zone Credibility: Mean Reversion and Devaluation Expectations in the ERM 1979-1992126 cited
  • 1990Can a time-varying risk premium explain excess returns in the forward market for foreign exchange?

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

118 cited
  • 1992The foreign exchange risk premium in a target zone with devaluation risk112 cited
  • Cited by

    • 2001The Effects of Liberalisation on Market and Currency Risk in the European Union46 cited
    • 2001Price and volatility spillovers between interest rate and exchange value of the US dollar42 cited
    • 2011EXCHANGE RATE TARGET ZONES: A SURVEY OF THE LITERATURE34 cited