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Monetary Policy and the Uncovered Interest Rate Parity Puzzle
12 references·1 citing·49 second hop
Monetary Policy and the Uncovered Interest Rate Parity PuzzleMonetary Policy and the Uncovered Interes…Country Size, Currency Unions, and International Asset Returns (2012)Country Size, Currency Unions…Common Risk Factors in Currency Markets (2011)Common Risk Factors in Curren…Long-Run Risk through Consumption Smoothing (2010)Long-Run Risk through Consump…Consumption Strikes Back? Measuring Long‐Run Risk (2008)Consumption Strikes Back? Mea…The Declining Equity Premium: What Role Does Macroeconomic Risk Play? (2007)The Declining Equity Premium:…An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets (1997)An Examination of Uncovered I…Liquidity and exchange rates (1992)Liquidity and exchange ratesImplications of Security Market Data for Models of Dynamic Economies (1991)Implications of Security Mark…Forward exchange rates and risk premiums in artificial economies (1991)Forward exchange rates and ri…The equity premium: A puzzle (1985)The equity premium: A puzzleStochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns (1983)Stochastic Consumption, Risk …Interest rates and currency prices in a two-country world (1982)Interest rates and currency p…The Carry Trade: Risks and Drawdowns (2014)The Carry Trade: Risks and Dr…Money and Interest in a Cash-in-Advance Economy (1985)Nominal exchange rate regimes and the behavior of real exchange rates: Evidence and implications (1986)Liquidity and interest rates (1990)The Returns to Currency Speculation (2006)How does regional institutional complexity affect MNE internationalization? (2016)Liquidity and Exchange Rates: An Empirical Investigation (2018)Immiserizing Growth: A Geometrical Note (1958)Theory of Value (1959)Asset Prices in an Exchange Economy (1978)Trying to Explain Home Bias in Equities and Consumption (1999)The Economics of Exchange Rates (2003)Real-time price discovery in global stock, bond and foreign exchange markets (2007)An Intertemporal Capital Asset Pricing Model (1973)On estimating the expected return on the market (1980)Predicting returns in the stock and bond markets (1986)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Chapter 18 A survey of behavioral finance (2003)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure (2010)Market Expectations in the Cross‐Section of Present Values (2013)Disaster on the horizon: The price effect of sea level rise (2019)On the Estimation of Beta-Pricing Models (1992)Numerical Methods in Economics (1998)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Asset Prices and Risk Sharing in Open Economies (2011)Euro Area Sovereign Debt Crisis: Can Contagion Spread from the Periphery to the Core? (2012)Asset Prices and Real Exchange Rates with Deep Habits (2014)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Comparing Predictive Accuracy (1994)Learning in Financial Markets (2009)Risks for the Long Run and the Real Exchange Rate (2011)The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment (2012)Risk, Return, and Equilibrium: Empirical Tests (1973)A Theory of the Term Structure of Interest Rates (1985)Carry Trades and Global Foreign Exchange Volatility (2012)Climate risks and market efficiency (2018)Risks and Returns of Cryptocurrency (2020)Asset Pricing with Limited Risk Sharing and Heterogeneous Agents (2007)Handbook of the Equity Risk Premium (2008)Asset Pricing in Production Economies with Extrapolative Expectations (2012)The Conditional CAPM and the Cross-Section of Expected Returns (1996)Conditional Skewness in Asset Pricing Tests (2000)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)
this work references cited by second hop

References

  • 1985The equity premium: A puzzle5,785 cited
  • 1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns1,549 cited
  • 1982Interest rates and currency prices in a two-country world1,256 cited
  • 1991Implications of Security Market Data for Models of Dynamic Economies1,182 cited
  • 2011Common Risk Factors in Currency Markets1,079 cited
  • 2008Consumption Strikes Back? Measuring Long‐Run Risk753 cited
  • 2007The Declining Equity Premium: What Role Does Macroeconomic Risk Play?375 cited
  • 2010Long-Run Risk through Consumption Smoothing345 cited
  • 1992Liquidity and exchange rates101 cited
  • 2012Country Size, Currency Unions, and International Asset Returns92 cited
  • 1997An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets60 cited
  • 1991Forward exchange rates and risk premiums in artificial economies37 cited

Cited by

  • 2014The Carry Trade: Risks and Drawdowns24 cited

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