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Expectations of Exchange Rates and Differential Inflation Rates: Further Evidence on Purchasing Power Parity in Efficient Markets
16 references·5 citing·39 second hop
Expectations of Exchange Rates and Differential Inflation Rates: Further Evidence on Purchasing Power Parity in Efficient Markets (1987)Expectations of Exchange Rates and Differ…Conditional variance and the risk premium in the foreign exchange market (1985)Conditional variance and the …Exchange Rate Theory and Practice (1984)Exchange Rate Theory and Prac…An investigation of risk and return in forward foreign exchange (1984)An investigation of risk and …Deviations from Purchasing Power Parity in the Long Run (1983)Deviations from Purchasing Po…International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence (1982)International Interest-Rate a…Interest rates and currency prices in a two-country world (1982)Interest rates and currency p…Flexible Exchange Rates, Prices and the Role of ‘News’: Lessons from the 1970s (1982)Flexible Exchange Rates, Pric…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Flexible Exchange Rates, Prices, and the Role of "News": Lessons from the 1970s (1981)Flexible Exchange Rates, Pric…A model of international asset pricing (1981)A model of international asse…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Exchange Rate Economics: Where Do We Stand? (1980)Exchange Rate Economics: Wher…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates (1976)Rational Expectations and the…Covered Interest Arbitrage: Unexploited Profits? (1975)Covered Interest Arbitrage: U…Risk Aversion and the Martingale Property of Stock Prices (1973)Risk Aversion and the Marting…Séries codépendantes : application à l’hypothèse de parité du pouvoir d’achat (2009)Séries codépendantes : applic…Cointegration and joint efficiency of international commodity markets (1999)Cointegration and joint effic…Relative PPP in the medium run (1994)Relative PPP in the medium runOn unit roots and real exchange rates: empirical evidence and Monte Carlo Analysis (1990)On unit roots and real exchan…VECTOR AUTOGRESSIVE TESTS OF UNCOVERED INTEREST RATE PARITY WITH ALLOWANCE FOR CONDITIONAL HETEROSCEDASTICITY (1989)VECTOR AUTOGRESSIVE TESTS OF …Forward and spot exchange rates (1984)The statistical properties of daily foreign exchange rates: 1974–1983 (1988)Nonparametric exchange rate prediction? (1990)A test for volatility spillover with application to exchange rates (2001)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)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)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Are Government Bonds Net Wealth? (1974)Empirical Tests of the Consumption‐Oriented CAPM (1989)The World Price of Foreign Exchange Risk (1995)International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)Presidential Address: Discount Rates (2011)Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules (1999)On the Complexities of Complex Economic Dynamics (1999)Perspectives on the recent currency crisis literature (1999)Beating the Foreign Exchange Market (1986)What Determines Government Spending Multipliers? (2012)On Jump Processes in the Foreign Exchange and Stock Markets (1988)The dynamics of exchange rate volatility: A multivariate latent factor ARCH model (1989)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1982Interest rates and currency prices in a two-country world1,256 cited
  • 1981A model of international asset pricing807 cited
  • 1981Flexible Exchange Rates, Prices, and the Role of "News": Lessons from the 1970s500 cited
  • 1984Exchange Rate Theory and Practice498 cited
  • 1983Deviations from Purchasing Power Parity in the Long Run497 cited
  • 1985Conditional variance and the risk premium in the foreign exchange market485 cited
  • 1980Exchange Rate Economics: Where Do We Stand?452 cited
  • 1982Flexible Exchange Rates, Prices and the Role of ‘News’: Lessons from the 1970s433 cited
  • 1975Covered Interest Arbitrage: Unexploited Profits?429 cited
  • 1976Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates428 cited
  • 1982International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence369 cited
  • 1973Risk Aversion and the Martingale Property of Stock Prices

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354 cited
  • 1984An investigation of risk and return in forward foreign exchange322 cited
  • Cited by

    • 2009Séries codépendantes : application à l’hypothèse de parité du pouvoir d’achat29 cited
    • 1999Cointegration and joint efficiency of international commodity markets29 cited
    • 1990On unit roots and real exchange rates: empirical evidence and Monte Carlo Analysis25 cited
    • 1989VECTOR AUTOGRESSIVE TESTS OF UNCOVERED INTEREST RATE PARITY WITH ALLOWANCE FOR CONDITIONAL HETEROSCEDASTICITY16 cited
    • 1994Relative PPP in the medium run15 cited