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The “forward premium puzzle” and the sovereign default risk
16 references·7 citing·43 second hop
The “forward premium puzzle” and the sovereign default risk (2012)The “forward premium puzzle” and the sove…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Carry Trades and Currency Crashes (2008)Carry Trades and Currency Cra…The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk (2007)The Cross Section of Foreign …The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…The Six Major Puzzles in International Macroeconomics: Is There a Common Cause? (2000)The Six Major Puzzles in Inte…The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …Testing the adequacy of smooth transition autoregressive models (1996)Testing the adequacy of smoot…Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…Predictable Stock Returns: The Role of Small Sample Bias (1993)Predictable Stock Returns: Th…Characterizing nonlinearities in business cycles using smooth transition autoregressive models (1992)Characterizing nonlinearities…Anomalies: Foreign Exchange (1990)Anomalies: Foreign ExchangeThe equity premium: A puzzle (1985)The equity premium: A puzzleForward and spot exchange rates (1984)Forward and spot exchange rat…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…The existence and severity of the forward premium puzzle during tranquil and turbulent periods: Developed versus developing country currencies (2021)The existence and severity of…Inflation targeting and the forward bias puzzle in emerging countries (2018)Inflation targeting and the f…Uncovered interest parity: The long and the short of it (2015)Uncovered interest parity: Th…Empirical evidence on the currency carry trade, 1900–2012 (2014)Empirical evidence on the cur…Monetary policy and the first- and second-moment exchange rate change during the global financial crisis: Evidence from Thailand (2013)Monetary policy and the first…Does the forward premium puzzle disappear over the horizon? (2013)Does the forward premium puzz…An analysis of forward exchange rate biasedness across developed and developing country currencies: Do observed patterns persist out of sample? (2013)An analysis of forward exchan…Expectations and Exchange Rate Dynamics (1976)Comparing Predictive Accuracy (1994)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)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)Asset Prices in an Exchange Economy (1978)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)An Intertemporal Capital Asset Pricing Model (1973)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)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)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Common risk factors in the returns on stocks and bonds (1993)Prospect Theory and Asset Prices (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Credit Spreads and Business Cycle Fluctuations (2012)The Limits of Financial Globalization (2005)An Equilibrium Model of “Global Imbalances” and Low Interest Rates (2008)Cultural Biases in Economic Exchange? * (2009)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 2000The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?2,067 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 1995Exchange rates and fundamentals: Evidence on long-horizon predictability1,044 cited
  • 1990Anomalies: Foreign Exchange902 cited
  • 1992Characterizing nonlinearities in business cycles using smooth transition autoregressive models890 cited
  • 2008Carry Trades and Currency Crashes792 cited
  • 1993Predictable Stock Returns: The Role of Small Sample Bias651 cited
  • 1996Testing the adequacy of smooth transition autoregressive models536 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2007The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk528 cited
  • Cited by

    • 2015Uncovered interest parity: The long and the short of it31 cited
    • 2014Empirical evidence on the currency carry trade, 1900–201226 cited
    • 2013Monetary policy and the first- and second-moment exchange rate change during the global financial crisis: Evidence from Thailand25 cited
    • 2021The existence and severity of the forward premium puzzle during tranquil and turbulent periods: Developed versus developing country currencies23 cited
    • 2013An analysis of forward exchange rate biasedness across developed and developing country currencies: Do observed patterns persist out of sample?20 cited
    • 2018Inflation targeting and the forward bias puzzle in emerging countries19 cited
    • 2013Does the forward premium puzzle disappear over the horizon?11 cited