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U.S. International capital flows: Perspectives from rational maximizing models
16 references·2 citing·48 second hop
U.S. International capital flows: Perspectives from rational maximizing models (1989)U.S. International capital flows: Perspec…The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets (2014)The Empirical Evidence on the…Production, growth and business cycles (1988)Production, growth and busine…Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations (1986)Using Survey Data to Test Sta…Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates? (1986)Testing for Bubbles in Exchan…Capital mobility in the world economy: Theory and measurement (1986)Capital mobility in the world…Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations (1985)Using Survey Data to Test Som…Money and Asset Prices in a Cash-in-Advance Economy (1985)Money and Asset Prices in a C…Forward and spot exchange rates (1984)Forward and spot exchange rat…Exchange Rate Theory and Practice (1984)Exchange Rate Theory and Prac…Interest rates and currency prices in a two-country world (1982)Interest rates and currency p…Government financing decisions and asset returns (1982)Government financing decision…EQUILIBRIUM IN A PURE CURRENCY ECONOMY (1980)EQUILIBRIUM IN A PURE CURRENC…A Theory of Exchange Rate Determination (1980)A Theory of Exchange Rate Det…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…The Phillips curve and labor markets (1976)The Phillips curve and labor …Econometric policy evaluation: A critique (1976)Econometric policy evaluation…The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …Dynamics of the Trade Balance and the Terms of Trade: The J-Curve? (1994)Dynamics of the Trade Balance…A Contribution to the Theory of Economic Growth (1956)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Long-Run Policy Analysis and Long-Run Growth (1991)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)The Race between Man and Machine: Implications of Technology for Growth, Factor Shares, and Employment (2018)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)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)Immiserizing Growth: A Geometrical Note (1958)Theory of Value (1959)Trying to Explain Home Bias in Equities and Consumption (1999)A Pragmatic View of Knowledge and Boundaries: Boundary Objects in New Product Development (2002)Risk, Uncertainty and Profit (1921)Rational Expectations and the Theory of Price Movements (1961)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Role of Monetary Policy (1995)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Does Culture Affect Economic Outcomes? (2006)Expectations and Exchange Rate Dynamics (1976)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)The use of technical analysis in the foreign exchange market (1992)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)A Theory of Demand for Products Distinguished by Place of Production (Une theorie de la demande de produits differencies d'apres leur origine) (Una teoria de la demanda de productos distinguiendolos segun el lugar de produccion) (1969)Time to Build and Aggregate Fluctuations (1982)Entry and Exit Decisions under Uncertainty (1989)Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates? (2002)Can Vertical Specialization Explain the Growth of World Trade? (2003)Fiscal Stimulus in a Monetary Union: Evidence from US Regions (2014)Generalized autoregressive conditional heteroskedasticity (1986)Statistical analysis of cointegration vectors (1988)Investor Psychology and Asset Pricing (2001)Exchange Rates and Fundamentals (2005)Carry Trades and Currency Crashes (2008)ARCH modeling in finance (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Potential GNP: Its measurement and significance (1979)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)
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References

  • 1976Econometric policy evaluation: A critique6,104 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1988Production, growth and business cycles2,193 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1982Interest rates and currency prices in a two-country world1,256 cited
  • 1985Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations744 cited
  • 1976The Phillips curve and labor markets628 cited
  • 2014The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets601 cited
  • 1980EQUILIBRIUM IN A PURE CURRENCY ECONOMY584 cited
  • 1984Exchange Rate Theory and Practice498 cited
  • 1986Capital mobility in the world economy: Theory and measurement446 cited
  • 1986Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations432 cited
  • 1980A Theory of Exchange Rate Determination405 cited
  • 1985Money and Asset Prices in a Cash-in-Advance Economy402 cited
  • 1986Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates?269 cited
  • 1982Government financing decisions and asset returns

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  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 1994Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?963 cited