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Uncovered Interest Parity at Long Horizons: Evidence on Emerging Economies*
16 references·4 citing·44 second hop
Uncovered Interest Parity at Long Horizons: Evidence on Emerging Economies* (2009)Uncovered Interest Parity at Long Horizon…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 …Other People's Money (2005)Other People's MoneyEmpirical exchange rate models of the nineties: Are any fit to survive? (2005)Empirical exchange rate model…The Unsustainable US Current Account Position Revisited (2004)The Unsustainable US Current …Monetary Policy and Long-Horizon Uncovered Interest Parity (2004)Monetary Policy and Long-Hori…On the determinants of Original Sin: an empirical investigation (2003)On the determinants of Origin…The forward premium puzzle: different tales from developed and emerging economies (2000)The forward premium puzzle: d…New Facts in Finance (1999)New Facts in FinanceTesting the adequacy of smooth transition autoregressive models (1996)Testing the adequacy of smoot…A reconsideration of the uncovered interest parity relationship (1994)A reconsideration of the unco…Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World (1992)Dynamic Equilibrium and the R…Anomalies: Foreign Exchange (1990)Anomalies: Foreign ExchangeForward Discount Bias: Is it an Exchange Risk Premium? (1989)Forward Discount Bias: Is it …Forward and spot exchange rates (1984)Forward and spot exchange rat…Capital Controls, Political Risk, and Deviations from Interest-Rate Parity (1980)Capital Controls, Political R…The existence of uncovered interest parity in the CIS countries (2014)The existence of uncovered in…Uncovered interest parity puzzle: Asymmetric responses (2012)Uncovered interest parity puz…Uncovered Interest Parity: Cross‐Sectional Evidence (2011)Uncovered Interest Parity: Cr…The precise form of uncovered interest parity: A heterogeneous panel application in ASEAN-5 countries (2010)The precise form of uncovered…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)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)Testing Linearity Against Smooth Transition Autoregressive Models (1988)Characterizing nonlinearities in business cycles using smooth transition autoregressive models (1992)Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals (2000)Panel Smooth Transition Regression Models (2005)Modelling Nonlinear Economic Time Series (2010)Optimum consumption and portfolio rules in a continuous-time model (1971)Theory of Rational Option Pricing (1973)Are Financial Assets Priced Locally or Globally? (2002)International Trade and Macroeconomic Dynamics with Heterogeneous Firms* (2005)Theory of rational option pricing (2005)Financial Intermediation, International Risk Sharing, and Reserve Currencies (2017)Risk, Return, and Equilibrium: Empirical Tests (1973)Expectations and Exchange Rate Dynamics (1976)The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk (2007)Safe Haven Currencies (2010)Common Risk Factors in Currency Markets (2011)Empirical exchange rate models of the seventies (1983)Discretion versus policy rules in practice (1993)A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets (2012)Crash-neutral currency carry trades (2014)Exchange Rates, Interest Rates, and the Risk Premium (2016)Comparing Predictive Accuracy (1994)Exchange Rates and Fundamentals (2004)International Financial Adjustment (2007)Exchange Rate Predictability (2013)Optimal Properties of Exponentially Weighted Forecasts (1960)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)The forward premium anomaly is not as bad as you think (2000)Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle (2010)ARCH modeling in finance (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Economics of Exchange Rates (2003)Foreign participation in local currency bond markets (2006)Design Failures in the Eurozone: Can They Be Fixed? (2013)Local Currency Sovereign Risk (2016)
this work references cited by second hop

References

  • 1984Forward and spot exchange rates2,167 cited
  • 1990Anomalies: Foreign Exchange902 cited
  • 2005Empirical exchange rate models of the nineties: Are any fit to survive?717 cited
  • 1989Forward Discount Bias: Is it an Exchange Risk Premium?715 cited
  • 1992Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World642 cited
  • 1996Testing the adequacy of smooth transition autoregressive models536 cited
  • 2000The forward premium puzzle: different tales from developed and emerging economies501 cited
  • 1994A reconsideration of the uncovered interest parity relationship445 cited
  • 2004Monetary Policy and Long-Horizon Uncovered Interest Parity403 cited
  • 2005Other People's Money341 cited
  • 1980Capital Controls, Political Risk, and Deviations from Interest-Rate Parity329 cited
  • 1999New Facts in Finance321 cited
  • 2003On the determinants of Original Sin: an empirical investigation288 cited
  • 2005The (partial) rehabilitation of interest rate parity in the floating rate era: Longer horizons, alternative expectations, and emerging markets281 cited
  • 2004The Unsustainable US Current Account Position Revisited277 cited

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  • 2005Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand?273 cited
  • Cited by

    • 2010The precise form of uncovered interest parity: A heterogeneous panel application in ASEAN-5 countries27 cited
    • 2014The existence of uncovered interest parity in the CIS countries21 cited
    • 2011Uncovered Interest Parity: Cross‐Sectional Evidence13 cited
    • 2012Uncovered interest parity puzzle: Asymmetric responses13 cited