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Co-movement of exchange rates with interest rate differential, risk premium and FED policy in “fragile economies”
16 references·3 citing·43 second hopsampled
Co-movement of exchange rates with interest rate differential, risk premium and FED policy in “fragile economies” (2017)Co-movement of exchange rates with intere…Exchange Rates, Interest Rates, and the Risk Premium (2016)Exchange Rates, Interest Rate…Tapering talk: The impact of expectations of reduced Federal Reserve security purchases on emerging markets (2015)Tapering talk: The impact of …International Liquidity and Exchange Rate Dynamics * (2015)International Liquidity and E…On the International Spillovers of US Quantitative Easing (2013)On the International Spillove…Carry Trades and Global Foreign Exchange Volatility (2012)Carry Trades and Global Forei…Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis (2011)Co-movement of energy commodi…Oil and the macroeconomy: using wavelets to analyze old issues (2010)Oil and the macroeconomy: usi…Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle (2010)Infrequent Portfolio Decision…A Habit‐Based Explanation of the Exchange Rate Risk Premium (2010)A Habit‐Based Explanation of …Using wavelets to decompose the time–frequency effects of monetary policy (2008)Using wavelets to decompose t…Carry Trades and Currency Crashes (2008)Carry Trades and Currency Cra…Carry Trades and Currency Crashes (2008)Carry Trades and Currency Cra…Exchange rate puzzles and distorted beliefs (2004)Exchange rate puzzles and dis…The forward premium puzzle: different tales from developed and emerging economies (2000)The forward premium puzzle: d…The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …A reconsideration of the uncovered interest parity relationship (1994)A reconsideration of the unco…Financial market integration of emerging markets: Heavy tails, structural shifts, nonlinearity, and asymmetric persistence (2022)Financial market integration …The long-run interrelationship between exchange rate and interest rate: the case of Mexico (2019)The long-run interrelationshi…EXCHANGE RATE AND INTEREST RATE DIFFERENTIAL IN G7 ECONOMIES (2019)EXCHANGE RATE AND INTEREST RA…Common risk factors in the returns on stocks and bonds (1993)Discretion versus policy rules in practice (1993)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Common Risk Factors in Currency Markets (2011)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)Dynamic Conditional Correlation (2002)Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets (2016)Wavelet-based test of co-movement and causality between oil and renewable energy stock prices (2016)Multifractal analysis of financial markets: a review (2019)Interpreting the macroeconomic time series facts (1992)Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series (1999)What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis (2015)Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis (2020)Risk, Return, and Equilibrium: Empirical Tests (1973)The Pricing of Options and Corporate Liabilities (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Currency momentum strategies (2012)Conditional risk premia in currency markets and other asset classes (2014)Intermediary asset pricing: New evidence from many asset classes (2017)Expectations and Exchange Rate Dynamics (1976)Forward and spot exchange rates (1984)The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk (2007)Safe Haven Currencies (2010)Empirical exchange rate models of the seventies (1983)The Determinants of Credit Spread Changes (2001)Market Liquidity and Funding Liquidity (2008)Do Peso Problems Explain the Returns to the Carry Trade? (2010)Noise Trader Risk in Financial Markets (1990)The Limits of Arbitrage (1995)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)Exchange Arrangements Entering the Twenty-First Century: Which Anchor will Hold?* (2019)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)Optimal Properties of Exponentially Weighted Forecasts (1960)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)The forward premium anomaly is not as bad as you think (2000)Monetary Policy and Long-Horizon Uncovered Interest Parity (2004)Evaporating Liquidity (2012)
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References

  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited
  • 2015International Liquidity and Exchange Rate Dynamics *821 cited
  • 2008Carry Trades and Currency Crashes792 cited
  • 2008Carry Trades and Currency Crashes654 cited
  • 2008Using wavelets to decompose the time–frequency effects of monetary policy590 cited
  • 2000The forward premium puzzle: different tales from developed and emerging economies501 cited
  • 2011Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis498 cited
  • 2010A Habit‐Based Explanation of the Exchange Rate Risk Premium484 cited
  • 1994A reconsideration of the uncovered interest parity relationship445 cited
  • 2010Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle368 cited
  • 2010Oil and the macroeconomy: using wavelets to analyze old issues348 cited
  • 2016Exchange Rates, Interest Rates, and the Risk Premium346 cited
  • 2004Exchange rate puzzles and distorted beliefs302 cited
  • 2013On the International Spillovers of US Quantitative Easing278 cited

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  • 2015Tapering talk: The impact of expectations of reduced Federal Reserve security purchases on emerging markets264 cited
  • Cited by

    • 2019The long-run interrelationship between exchange rate and interest rate: the case of Mexico25 cited
    • 2019EXCHANGE RATE AND INTEREST RATE DIFFERENTIAL IN G7 ECONOMIES18 cited
    • 2022Financial market integration of emerging markets: Heavy tails, structural shifts, nonlinearity, and asymmetric persistence15 cited