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Measuring the forward foreign exchange risk premium: multi-country evidence from unobserved components models
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Measuring the forward foreign exchange risk premium: multi-country evidence from unobserved components models (2000)Measuring the forward foreign exchange ri…The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets (2014)The Empirical Evidence on the…Extreme support for uncovered interest parity (1998)Extreme support for uncovered…The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …Chapter 37 Puzzles in international financial markets (1995)Chapter 37 Puzzles in interna…Puzzles in International Financial Markets (1994)Puzzles in International Fina…Premia in Forward Foreign Exchange as Unobserved Components: A Note (1993)Premia in Forward Foreign Exc…On biases in the measurement of foreign exchange risk premiums (1993)On biases in the measurement …The empirical evidence on the efficiency of forward and futures foreign exchange markets (1988)The empirical evidence on the…Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal- Extraction Approach (1987)Forward Foreign Exchange Rate…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Forward and spot exchange rates (1984)The Forward Market in Emerging Currencies: Less Biased than in Major Currencies (2009)Currency Excess Returns and Global Downside Market Risk (2012)On financial risk and the safe haven characteristics of Swiss franc exchange rates (2015)Econometric Analysis of Panel Data (2021)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Economic Action and Social Structure: The Problem of Embeddedness (1985)Efficient Capital Markets: II (1991)Technical trading rule profitability and foreign exchange intervention (1999)The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment (2011)Rare Disasters and Exchange Rates * (2015)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Regime Changes and Financial Markets (2012)Time Series Analysis: Forecasting and Control (1977)Rewards Available to Currency Futures Speculators: Compensation for Risk or Evidence of Inefficient Pricing? (1992)FOREIGN EXCHANGE RATE EXPECTATIONS: SURVEY AND SYNTHESIS (2007)How puzzling is the forward premium puzzle? A meta-analysis (2021)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Empirical exchange rate models of the seventies (1983)Big news in small samples (1997)Foreign Exchange Risk Premium: Does Fiscal Policy Matter? Evidence From Italian Data (1997)More evidence on the dollar risk premium in the foreign exchange market (2004)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)Exchange Rates and Fundamentals (2005)Carry Trades and Currency Crashes (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Heterogeneous expectations and tests of efficiency in the yen/dollar forward exchange rate market (1999)Yield Curve Predictors of Foreign Exchange Returns (2010)Global Asset Pricing (2011)Asset‐pricing Puzzles and Incomplete Markets (1993)Global Currency Hedging (2010)Carry Trade and Momentum in Currency Markets (2011)Oil prices and the rise and fall of the US real exchange rate (1998)Affine Term Structure Models and the Forward Premium Anomaly (2001)A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets (2012)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)
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References

  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 2014The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets601 cited
  • 1994Puzzles in International Financial Markets523 cited
  • 1993On biases in the measurement of foreign exchange risk premiums275 cited
  • 1988The empirical evidence on the efficiency of forward and futures foreign exchange markets235 cited
  • 1995Chapter 37 Puzzles in international financial markets213 cited
  • 1987Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal- Extraction Approach142 cited
  • 1998Extreme support for uncovered interest parity96 cited
  • 1993Premia in Forward Foreign Exchange as Unobserved Components: A Note26 cited

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