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Is there a peso problem? Evidence from the dollar/pound exchange rate, 1976-1987
2 references·16 citing·56 second hopsampled
Is there a peso problem? Evidence from the dollar/pound exchange rate, 1976-1987 (1993)Is there a peso problem? Evidence from th…Rational-expectations econometric analysis of changes in regime (1988)Rational-expectations econome…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…The impact of oil shocks on exchange rates: A Markov-switching approach (2015)The impact of oil shocks on e…Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle (2012)Ambiguity Aversion: Implicati…Uncovered interest-rate parity over the past two centuries (2011)Uncovered interest-rate parit…Markov Switching Models in Empirical Finance (2011)Markov Switching Models in Em…Global Asset Pricing (2011)Global Asset PricingCarry Trades and Risk (2011)Carry Trades and RiskRare Disasters and Exchange Rates (2008)Rare Disasters and Exchange R…Rare Disasters and Exchange Rates (2008)Rare Disasters and Exchange R…Do Technological Improvements in the Manufacturing Sector Raise or Lower Employment? (2006)Do Technological Improvements…Regime-switching debt and taxation (2004)Regime-switching debt and tax…R&D, innovation, and technological progress: a test of the Schumpeterian framework without scale effects (2003)R&D, innovation, and technolo…Misspecified Structural Change, Threshold, and Markov-switching models (2002)Misspecified Structural Chang…Macroeconomic fundamentals and the DM/$ exchange rate: Temporal instability and the monetary model (2001)Macroeconomic fundamentals an…Switching between chartists and fundamentalists: a Markov regime-switching approach (1997)Switching between chartists a…21 Peso problems: Their theoretical and empirical implications (1996)21 Peso problems: Their theor…Chapter 37 Puzzles in international financial markets (1995)Chapter 37 Puzzles in interna…Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Why Does Stock Market Volatility Change Over Time? (1989)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)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)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Market Liquidity and Funding Liquidity (2008)Ambiguity in asset pricing and portfolio choice: a review of the literature (2012)The carry trade and fundamentals: Nothing to fear but FEER itself (2012)Forward and Spot Exchange Rates in a Multi-Currency World* (2018)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)International Asset Pricing with Recursive Preferences (2012)Market Segmentation and Differential Reactions of Local and Foreign Investors to Analyst Recommendations (2017)Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy (2020)On the Limitations of Government Borrowing: A Framework for Empirical Testing (1985)Resuscitating real business cycles (1999)Fiscal Policy Rules and Regime (In)Stability: Evidence from the U.S. (2005)Uncertain Fiscal Consolidations (2012)Accuracy, Speed and Robustness of Policy Function Iteration (2013)Endogenous Technological Change (1989)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)A Model of Growth Through Creative Destruction (1992)Scale effects in endogenous growth theory: an error of aggregation not specification (2006)Can Second-Generation Endogenous Growth Models Explain the Productivity Trends and Knowledge Production in the Asian Miracle Economies? (2010)A Panel Causality Analysis of the Relationship among Research and Development, Innovation, and Economic Growth in High-Income OECD Countries (2012)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)The impact of oil-market shocks on stock returns in major oil-exporting countries (2018)Do green investments react to oil price shocks? Implications for sustainable development (2020)The relationship between oil prices and exchange rates: Revisiting theory and evidence (2020)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)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations (1996)Industry Evidence on the Effects of Government Spending (2011)Reaction to technology shocks in Markov-switching structural VARs: Identification via heteroskedasticity (2013)Government grants, private R&D funding and innovation efficiency in transition economy (2015)American Economic Review (2019)Forward and spot exchange rates (1984)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)The Forward Market in Emerging Currencies: Less Biased Than in Major Currencies (2006)Long Run Macroeconomic Relations in the Global Economy (2007)Bond risk premia, macroeconomic fundamentals and the exchange rate (2011)A Monetary History of the United States, 1867-1960 (2017)
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References

  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1988Rational-expectations econometric analysis of changes in regime898 cited

Cited by

  • 2015The impact of oil shocks on exchange rates: A Markov-switching approach253 cited
  • 1995Chapter 37 Puzzles in international financial markets213 cited
  • 2003R&D, innovation, and technological progress: a test of the Schumpeterian framework without scale effects206 cited
  • 2011Uncovered interest-rate parity over the past two centuries168 cited
  • 2004Regime-switching debt and taxation154 cited
  • 2006Do Technological Improvements in the Manufacturing Sector Raise or Lower Employment?129 cited
  • 2012Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle119 cited
  • 2011Global Asset Pricing115 cited
  • 2011Markov Switching Models in Empirical Finance109 cited
  • 1997Switching between chartists and fundamentalists: a Markov regime-switching approach95 cited
  • 2008Rare Disasters and Exchange Rates92 cited
  • 199621 Peso problems: Their theoretical and empirical implications85 cited
  • 2002Misspecified Structural Change, Threshold, and Markov-switching models

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74 cited
  • 2001Macroeconomic fundamentals and the DM/$ exchange rate: Temporal instability and the monetary model73 cited
  • 2011Carry Trades and Risk70 cited
  • 2008Rare Disasters and Exchange Rates61 cited