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Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era
16 references·16 citing·40 second hopsampled
Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era (2005)Testing Uncovered Interest Parity at Shor…Empirical exchange rate models of the nineties: Are any fit to survive? (2005)Empirical exchange rate model…Monetary Policy and Long-Horizon Uncovered Interest Parity (2004)Monetary Policy and Long-Hori…The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence (1995)The Forward Discount Anomaly …Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets (1995)Arbitrage, Cointegration, and…THE POWER OF COINTEGRATION TESTS (1992)THE POWER OF COINTEGRATION TE…Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement (1992)Dividend Yields and Expected …A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …Statistical Analysis of Cointegration Vectors (1991)Statistical Analysis of Coint…Optimal Inference in Cointegrated Systems (1991)Optimal Inference in Cointegr…Exchange Rate Economics: A Survey (1991)Exchange Rate Economics: A Su…Anomalies: Foreign Exchange (1990)Anomalies: Foreign ExchangeStatistical analysis of cointegration vectors (1988)Statistical analysis of coint…Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations (1986)Using Survey Data to Test Sta…Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations (1985)Using Survey Data to Test Som…Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market (1979)Empirical regularities in the…Inflation and Exchange Rate Pass-Through (2019)Inflation and Exchange Rate P…The relationship between exchange rates and interest rates in a small open emerging economy: The case of Romania (2017)The relationship between exch…New Evidence on the Forward Premium Puzzle (2016)New Evidence on the Forward P…Carry funding and safe haven currencies: A threshold regression approach (2015)Carry funding and safe haven …Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers (2013)Macroprudential Stress Testin…The Relationship between Exchange Rates and Interest Rate Differentials: A Wavelet Approach (2012)The Relationship between Exch…Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle (2012)Ambiguity Aversion: Implicati…Interest rate co-movements, global factors and the long end of the term spread (2011)Interest rate co-movements, g…Dynamic Relations between Stock Returns and Exchange Rate Changes (2011)Dynamic Relations between Sto…Uncovered Interest Parity at Long Horizons: Evidence on Emerging Economies* (2009)Uncovered Interest Parity at …THE ECONOMICS OF THE UNCOVERED INTEREST PARITY CONDITION FOR EMERGING MARKETS (2008)THE ECONOMICS OF THE UNCOVERE…Short-Run Exchange-Rate Dynamics: Theory and Evidence (2008)Short-Run Exchange-Rate Dynam…Incomplete Information Processing: A Solution to the Forward Discount Puzzle (2007)Incomplete Information Proces…Foreign currency-denominated borrowing in the absence of operating incentives☆ (2007)Foreign currency-denominated …The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly (2005)The Information in Long-Matur…Rational Inattention: A Solution to the Forward Discount Puzzle (2005)Rational Inattention: A Solut…Forward and spot exchange rates (1984)Continuous Auctions and Insider Trading (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)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework (1998)Introductory Econometrics for Finance (2008)Expectations and Exchange Rate Dynamics (1976)ARCH modeling in finance (1992)The use of technical analysis in the foreign exchange market (1992)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Dynamic Econometrics (1995)Testing for Error Correction in Panel Data* (2007)Impact of renewable energy consumption and financial development on CO2 emissions and economic growth in the MENA region: A panel vector autoregressive (PVAR) analysis (2019)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Generalized autoregressive conditional heteroskedasticity (1986)Investor Psychology and Asset Pricing (2001)Exchange Rates and Fundamentals (2005)Empirical exchange rate models of the seventies (1983)Comparing Predictive Accuracy (1994)Exchange Rates and Fundamentals (2004)International Financial Adjustment (2007)Exchange Rate Predictability (2013)Expected stock returns and volatility (1987)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Expected Stock Returns and Variance Risk Premia (2009)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)A Cointegration Analysis of Treasury Bill Yields (1992)A Stastistical Analysis of Cointegration for I(2) Variables (1995)Numerical distribution functions of likelihood ratio tests for cointegration (1999)
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References

  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
  • 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement1,521 cited
  • 1992THE POWER OF COINTEGRATION TESTS1,319 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 1991Optimal Inference in Cointegrated Systems1,110 cited
  • 1990Anomalies: Foreign Exchange902 cited
  • 1985Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations738 cited
  • 2005Empirical exchange rate models of the nineties: Are any fit to survive?717 cited
  • 1991Statistical Analysis of Cointegration Vectors537 cited
  • 1979Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market502 cited
  • 1986Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations432 cited
  • 2004Monetary Policy and Long-Horizon Uncovered Interest Parity403 cited
  • 1991Exchange Rate Economics: A Survey397 cited
  • 1995Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets

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315 cited
  • 1995The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence315 cited
  • Cited by

    • 2012Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle119 cited
    • 2015Carry funding and safe haven currencies: A threshold regression approach96 cited
    • 2011Dynamic Relations between Stock Returns and Exchange Rate Changes81 cited
    • 2013Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers77 cited
    • 2019Inflation and Exchange Rate Pass-Through76 cited
    • 2012The Relationship between Exchange Rates and Interest Rate Differentials: A Wavelet Approach75 cited
    • 2017The relationship between exchange rates and interest rates in a small open emerging economy: The case of Romania69 cited
    • 2007Foreign currency-denominated borrowing in the absence of operating incentives☆66 cited
    • 2008THE ECONOMICS OF THE UNCOVERED INTEREST PARITY CONDITION FOR EMERGING MARKETS58 cited
    • 2005Rational Inattention: A Solution to the Forward Discount Puzzle58 cited
    • 2016New Evidence on the Forward Premium Puzzle51 cited
    • 2005The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly50 cited
    • 2011Interest rate co-movements, global factors and the long end of the term spread43 cited
    • 2007Incomplete Information Processing: A Solution to the Forward Discount Puzzle38 cited
    • 2008Short-Run Exchange-Rate Dynamics: Theory and Evidence37 cited
    • 2009Uncovered Interest Parity at Long Horizons: Evidence on Emerging Economies*34 cited