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Can time-varying risk premiums explain the excess returns in the interest rate parity condition?
16 references·0 citing·47 second hop
Can time-varying risk premiums explain the excess returns in the interest rate parity condition? (2014)Can time-varying risk premiums explain th…A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets (2012)A Long-Run Risks Explanation …Do Peso Problems Explain the Returns to the Carry Trade? (2010)Do Peso Problems Explain the …The forward market in emerging currencies: Less biased than in major currencies (2009)The forward market in emergin…Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Shocks and Frictions in US Bu…The Forward Market in Emerging Currencies: Less Biased Than in Major Currencies (2006)The Forward Market in Emergin…Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? (2005)Viewpoint: Towards a solution…The (partial) rehabilitation of interest rate parity in the floating rate era: Longer horizons, alternative expectations, and emerging markets (2005)The (partial) rehabilitation …Uncovered Interest Parity in Crisis (2002)Uncovered Interest Parity in …Closing Small Open Economy Models (2002)Closing Small Open Economy Mo…The forward premium puzzle: different tales from developed and emerging economies (2000)The forward premium puzzle: d…Approximate Asymptotic P Values for StructuraS-Change Tests (1997)Approximate Asymptotic P Valu…Approximate Asymptotic P Values for Structural-Change Tests (1997)Approximate Asymptotic P Valu…The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective (1996)The Time Variation of Risk an…The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Some Tests of Specification f…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Tests for Parameter Instability in Regressions with 1(1) Processes (1992)Tests for Parameter Instability in Regressions with I(1) Processes (1992)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Chapter 1 Business cycle fluctuations in us macroeconomic time series (1999)What is an Oil Shock? (2000)Are Oil Shocks Inflationary?: Asymmetric and Nonlinear Specifications versus Changes in Regime (2002)Specification Tests in Econometrics (1978)Another look at the instrumental variable estimation of error-components models (1995)Initial conditions and moment restrictions in dynamic panel data models (1998)Risk, Return, and Equilibrium: Empirical Tests (1973)Expectations and Exchange Rate Dynamics (1976)Forward and spot exchange rates (1984)The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk (2007)Safe Haven Currencies (2010)Common Risk Factors in Currency Markets (2011)The equity premium: A puzzle (1985)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Good and bad uncertainty: Macroeconomic and financial market implications (2015)Rare Disasters and Exchange Rates * (2015)Bond Risk Premiums with Machine Learning (2020)Debt, Deficits, and Finite Horizons (1985)Real Business Cycles in a Small Open Economy (1991)Emerging Market Business Cycles: The Cycle Is the Trend (2007)Transition Modeling and Econometric Convergence Tests (2007)Sudden Stops, Financial Crises, and Leverage (2010)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Investor Psychology and Asset Pricing (2001)Exchange Rates and Fundamentals (2005)Carry Trades and Currency Crashes (2008)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)Common risk factors in the returns on stocks and bonds (1993)Liquidity Risk and Expected Stock Returns (2003)Forecasting stock market returns: The sum of the parts is more than the whole (2011)Currency momentum strategies (2012)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Has U.S. Monetary Policy Changed? Evidence from Drifting Coefficients and Real-Time Data (2005)Modelling the impact of oil prices on Vietnam’s stock prices (2009)Modelling oil price and exchange rate co-movements (2011)
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References

  • 1991Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations33,089 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2007Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach4,628 cited
  • 2002Closing Small Open Economy Models2,432 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 2012A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets531 cited
  • 2010Do Peso Problems Explain the Returns to the Carry Trade?522 cited
  • 1997Approximate Asymptotic P Values for StructuraS-Change Tests520 cited
  • 2000The forward premium puzzle: different tales from developed and emerging economies501 cited
  • 1997Approximate Asymptotic P Values for Structural-Change Tests374 cited
  • 2005The (partial) rehabilitation of interest rate parity in the floating rate era: Longer horizons, alternative expectations, and emerging markets281 cited
  • 2005Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand?273 cited
  • 2002Uncovered Interest Parity in Crisis206 cited
  • 1996The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective

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199 cited
  • 2009The forward market in emerging currencies: Less biased than in major currencies173 cited
  • 2006The Forward Market in Emerging Currencies: Less Biased Than in Major Currencies146 cited
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