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Regime switches in exchange rate volatility and uncovered interest parity · Study

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ArticleRegime switches in exchange rate volatility and uncovered interest parity

Hibiki Ichiue2011

Article2011

Regime switches in exchange rate volatility and uncovered interest parity

Hibiki Ichiue · Kentaro Koyama

54 citations·0/0 files stored·Journal of International Money and Finance

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Global Financial Crisis and Policies

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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 2008Carry Trades and Currency Crashes 2007The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk

Cited by

2019The impacts of economic sanctions on exchange rate volatility 2012Measuring the risk premium in uncovered interest parity using the component GARCH-M model 2017Does news matter in China’s foreign exchange market? Chinese RMB volatility and public information arrivals 2012Impact of macro-economic surprises on carry trade activity 2015Can implied volatility predict returns on the currency carry trade?

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2008Regime Switches in Exchange Rate Volatility and Uncovered Interest Paritypreprint · 17 shared references 2011The Real Exchange Rate, Real Interest Rates, and the Risk Premiumreport · 10 shared references 2011Global Asset Pricingreview · 9 shared references 2013Exchange Rates and Interest Parityreport · 8 shared references 2013Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiumsarticle · 7 shared references 2016Currency Premia and Global Imbalancesarticle · 7 shared references

Details

Year2011

Typearticle

Published2011-08-04

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations54

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jimonfin.2011.07.003

openalex_workW3121365993

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2015

The frequency of regime switching in financial market volatility