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Regime Switches in Exchange Rate Volatility and Uncovered Interest Parity · Study

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PreprintRegime Switches in Exchange Rate Volatility and Uncovered Interest Parity

Hibiki Ichiue2008

OA

Preprintgreen2008

Regime Switches in Exchange Rate Volatility and Uncovered Interest Parity

30 citations·0/0 files stored·SSRN Electronic Journal

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Monetary Policy and Economic Impact Global Financial Crisis and Policies Financial Risk and Volatility Modeling

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 2008Market Liquidity and Funding Liquidity 1984Forward and spot exchange rates 1999Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?2008Carry Trades and Currency Crashes 2007The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk 2010Do Peso Problems Explain the Returns to the Carry Trade?

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2009Currency Carry Trade Regimes: Beyond the Fama Regression 2012Impact of macro-economic surprises on carry trade activity 2015Can implied volatility predict returns on the currency carry trade?2016Carry Trades and Exchange Rate Volatility: A TVAR Approach

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2011Regime switches in exchange rate volatility and uncovered interest parityarticle · 17 shared references 2011The Real Exchange Rate, Real Interest Rates, and the Risk Premiumreport · 9 shared references 2012Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzlearticle · 8 shared references 2011Global Asset Pricingreview · 8 shared references 2013Exchange Rates and Interest Parityreport · 8 shared references 2018Forward and Spot Exchange Rates in a Multi-Currency World*article · 7 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations30

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.2139/ssrn.1106790

openalex_workW2245688264

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