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ArticleOfficial interventions and the forward premium anomaly

Nelson Chung Mark2007

Article2007

Official interventions and the forward premium anomaly

Nelson Chung Mark · Young‐Kyu Moh

29 citations·0/0 files stored·Journal of Empirical Finance

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Global Financial Crisis and Policies

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Continuous-Time Finance.1996The forward discount anomaly and the risk premium: A survey of recent evidence 1991Target Zones and Exchange Rate Dynamics 1990Anomalies: Foreign Exchange 2003Why is it so difficult to beat the random walk forecast of exchange rates?1997Transactions Costs and Nonlinear Adjustment in Real Exchange Rates; An Empirical Investigation 1989Forward Discount Bias: Is it an Exchange Risk Premium?

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2011Uncovered Interest Parity: Cross‐Sectional Evidence 2018Money Growth and Inflation: New Evidence from a Nonlinear and Asymmetric Analysis

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2006The forward premium anomaly: statistical artefact or economic puzzle? New evidence from robust testsarticle · 12 shared references 2007Model‐free evaluation of directional predictability in foreign exchange marketsarticle · 11 shared references 2013Exchange Rates and Interest Parityreport · 10 shared references 2014Time variation in the standard forward premium regression: Some new models and testsarticle · 10 shared references 2007THE ECONOMICS OF UNCOVERED INTEREST PARITY CONDITION FOR EMERGING MARKETS: A SURVEYpreprint · 10 shared references 2000Time-Variation and Structural Change in the Forward Discount: Implications for the Forward Rate Unbiasedness Hypothesispreprint · 10 shared references

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Year2007

Typearticle

Published2007-04-26

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations29

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jempfin.2006.10.002

openalex_workW2023485458

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