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A Panel Data Analysis of Uncovered Interest Parity and Time-Varying Risk Premium
16 references·0 citing·40 second hopsampled
A Panel Data Analysis of Uncovered Interest Parity and Time-Varying Risk Premium (2020)A Panel Data Analysis of Uncovered Intere…Exchange Rates and Interest Parity (2014)Exchange Rates and Interest P…Animal spirits and the composition of innovation in a lab-equipment R&D model with transition (2012)Animal spirits and the compos…Uncovered interest-rate parity over the past two centuries (2011)Uncovered interest-rate parit…A bias-adjusted LM test of error cross-section independence (2008)A bias-adjusted LM test of er…Panel cointegration tests of the Fisher effect (2007)Panel cointegration tests of …A simple panel unit root test in the presence of cross‐section dependence (2007)A simple panel unit root test…Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle (2006)Nonlinearity in Deviations fr…The local power of some unit root tests for panel data (2004)The local power of some unit …Monetary Policy and Long-Horizon Uncovered Interest Parity (2004)Monetary Policy and Long-Hori…Testing for unit roots in heterogeneous panels (2003)Testing for unit roots in het…Unit root tests in panel data: asymptotic and finite-sample properties (2002)Unit root tests in panel data…Uncovered Interest Parity Revisited (2001)Uncovered Interest Parity Rev…Testing for stationarity in heterogeneous panel data (2000)Testing for stationarity in h…Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Pooled Mean Group Estimation …A reconsideration of the uncovered interest parity relationship (1994)A reconsideration of the unco…Anomalies: Foreign Exchange (1990)Anomalies: Foreign ExchangeDistribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Another look at the instrumental variable estimation of error-components models (1995)Introductory Econometrics for Finance (2008)Renewable energy consumption and income in emerging economies (2009)CO2 emissions, economic growth, energy consumption, trade and urbanization in new EU member and candidate countries: A panel data analysis (2014)Book Review: Time Series Analysis: Forecasting and Control (1977)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Bounds testing approaches to the analysis of level relationships (2001)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)A reinvestigation of EKC model by ecological footprint measurement for high, middle and low income countries (2018)The effect of ICT, financial development, growth, and trade openness on CO2 emissions: an empirical analysis (2018)The nexus between digital economy and carbon dioxide emissions in China: The moderating role of investments in research and development (2022)Endogenous Technological Change (1989)Endogenous Technological Change (1990)The Economics of Industrial Innovation (2012)Determinants of CO2 emissions in the European Union: The role of renewable and non-renewable energy (2016)The renewable energy and economic growth nexus in Black Sea and Balkan countries (2016)Dynamic relationship among environmental regulation, technological innovation and energy efficiency based on large scale provincial panel data in China (2017)Forward and spot exchange rates (1984)Continuous Auctions and Insider Trading (1985)Journal of monetary economics (1987)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Monetary Theory and Policy (1999)The Economics of Exchange Rates (2003)Specification Tests in Econometrics (1978)Renewable energy consumption and economic growth: Evidence from a panel of OECD countries (2009)Common Correlated Effects Estimation of Heterogenous Dynamic Panel Data Models with Weakly Exogenous Regressors (2013)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Spatial Econometrics: Methods and Models (1988)Assessing cross-sectional correlation in panel data (1995)General Diagnostic Tests for Cross Section Dependence in Panels (2004)Testing for Cross-Sectional Dependence in Panel-Data Models (2006)Testing Weak Cross-Sectional Dependence in Large Panels (2014)General diagnostic tests for cross-sectional dependence in panels (2020)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)Testing slope homogeneity in large panels (2007)Testing for Granger non-causality in heterogeneous panels (2012)
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References

  • 2003Testing for unit roots in heterogeneous panels15,744 cited
  • 2007A simple panel unit root test in the presence of cross‐section dependence13,768 cited
  • 2002Unit root tests in panel data: asymptotic and finite-sample properties13,211 cited
  • 1999Pooled Mean Group Estimation of Dynamic Heterogeneous Panels6,941 cited
  • 2000Testing for stationarity in heterogeneous panel data3,066 cited
  • 2008A bias-adjusted LM test of error cross-section independence2,607 cited
  • 2004The local power of some unit root tests for panel data2,422 cited
  • 2007Panel cointegration tests of the Fisher effect1,260 cited
  • 1990Anomalies: Foreign Exchange905 cited
  • 2012Animal spirits and the composition of innovation in a lab-equipment R&D model with transition476 cited
  • 1994A reconsideration of the uncovered interest parity relationship445 cited
  • 2004Monetary Policy and Long-Horizon Uncovered Interest Parity403 cited
  • 2014Exchange Rates and Interest Parity284 cited
  • 2001Uncovered Interest Parity Revisited192 cited
  • 2011Uncovered interest-rate parity over the past two centuries173 cited
  • 2006

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Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle
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