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Can perpetual learning explain the forward-premium puzzle?
16 references·12 citing·50 second hop
Can perpetual learning explain the forward-premium puzzle? (2008)Can perpetual learning explain the forwar…Exchange Rates and Fundamentals (2005)Exchange Rates and Fundamenta…Exchange Rates and Fundamentals (2004)Exchange Rates and Fundamenta…Learning about monetary policy rules (2002)Learning about monetary polic…Learning and Expectations in Macroeconomics (2001)Learning and Expectations in …The Conquest of American Inflation (1999)The Conquest of American Infl…The Conquest of American Inflation (1999)The Conquest of American Infl…Heterogeneous beliefs and routes to chaos in a simple asset pricing model (1998)Heterogeneous beliefs and rou…The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Anomalies: Foreign Exchange (1990)Anomalies: Foreign ExchangeConvergence of least squares learning mechanisms in self-referential linear stochastic models (1989)Convergence of least squares …Forward and spot exchange rates (1984)Forward and spot exchange rat…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence (1977)A Monetary Approach To The Ex…A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence (1976)A Monetary Approach to the Ex…Gradual learning about shocks and the forward premium puzzle (2018)Gradual learning about shocks…Explaining exchange rate anomalies in a model with Taylor-rule fundamentals and consistent expectations (2016)Explaining exchange rate anom…Carry trade and foreign exchange rate puzzles (2013)Carry trade and foreign excha…MODEL UNCERTAINTY AND EXCHANGE RATE VOLATILITY* (2012)MODEL UNCERTAINTY AND EXCHANG…Learning to forecast the exchange rate: Two competing approaches (2012)Learning to forecast the exch…Foreign exchange market efficiency under recent crises: Asia-Pacific focus (2012)Foreign exchange market effic…APPLICATION OF AN ADAPTIVE STEP-SIZE ALGORITHM IN MODELS OF HYPERINFLATION (2012)APPLICATION OF AN ADAPTIVE ST…The solution to the forward-bias puzzle (2010)The solution to the forward-b…Internal rationality, imperfect market knowledge and asset prices (2010)Internal rationality, imperfe…Learning and Macroeconomics (2009)Learning and MacroeconomicsStock Market Volatility and Learning (2008)Stock Market Volatility and L…Exchange rates and fundamentals under adaptive learning (2008)Exchange rates and fundamenta…Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)The Purchasing-Power Parity Doctrine: A Reappraisal (1964)Theoretical Notes on Trade Problems (1964)On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials (1979)The Economics of Exchange Rates (2003)The Purchasing Power Parity Debate (2004)The Quarterly Journal of Economics (2024)Asset Prices in an Exchange Economy (1978)A Rational Route to Randomness (1997)Time series properties of an artificial stock market (1999)Agent-based computational finance: Suggested readings and early research (2000)The Economy as an Evolving Complex System II (2018)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)Discretion versus policy rules in practice (1993)The Science of Monetary Policy: A New Keynesian Perspective (1999)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)The Taylor Rule and Optimal Monetary Policy (2001)Testing for Indeterminacy: An Application to U.S. Monetary Policy (2004)Monetary Policy and Exchange Rate Volatility in a Small Open Economy (2005)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)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)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)A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection (2003)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)
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References

  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 2001Learning and Expectations in Macroeconomics2,079 cited
  • 1998Heterogeneous beliefs and routes to chaos in a simple asset pricing model1,697 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 1977A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence981 cited
  • 2002Learning about monetary policy rules932 cited
  • 1990Anomalies: Foreign Exchange902 cited
  • 1989Convergence of least squares learning mechanisms in self-referential linear stochastic models871 cited
  • 1976A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence824 cited
  • 2005Exchange Rates and Fundamentals808 cited
  • 1999The Conquest of American Inflation757 cited
  • 2004Exchange Rates and Fundamentals723 cited
  • 1999The Conquest of American Inflation

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653 cited

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  • 2010Internal rationality, imperfect market knowledge and asset prices188 cited
  • 2009Learning and Macroeconomics131 cited
  • 2012Foreign exchange market efficiency under recent crises: Asia-Pacific focus78 cited
  • 2013Carry trade and foreign exchange rate puzzles74 cited
  • 2012Learning to forecast the exchange rate: Two competing approaches44 cited
  • 2008Stock Market Volatility and Learning42 cited
  • 2008Exchange rates and fundamentals under adaptive learning29 cited
  • 2012MODEL UNCERTAINTY AND EXCHANGE RATE VOLATILITY*28 cited
  • 2010The solution to the forward-bias puzzle27 cited
  • 2012APPLICATION OF AN ADAPTIVE STEP-SIZE ALGORITHM IN MODELS OF HYPERINFLATION27 cited
  • 2018Gradual learning about shocks and the forward premium puzzle20 cited
  • 2016Explaining exchange rate anomalies in a model with Taylor-rule fundamentals and consistent expectations16 cited