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Uncovered interest-rate parity over the past two centuries
16 references·16 citing·48 second hopsampled
Uncovered interest-rate parity over the past two centuries (2011)Uncovered interest-rate parity over the p…A Monetary History of the United States, 1867-1960 (2017)A Monetary History of the Uni…The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets (2014)The Empirical Evidence on the…Do Peso Problems Explain the Returns to the Carry Trade? (2010)Do Peso Problems Explain the …A Monetary History of the United States, 1867-1960 (2008)A Monetary History of the Uni…Affine Term Structure Models and the Forward Premium Anomaly (2001)Affine Term Structure Models …The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries (1996)Real Exchange Rate Behavior: …The World Price of Foreign Exchange Risk (1995)The World Price of Foreign Ex…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)Long Swings in the Dollar: Ar…Forward and spot exchange rates (1984)Forward and spot exchange rat…Monetary Trends in the United States and the United Kingdom (1982)Monetary Trends in the United…A History of Interest Rates. (1978)A History of Interest Rates.A Monetary History of the United States, 1867-1960 (1964)A Monetary History of the Uni…A history of interest rates (1963)A history of interest ratesHow Raising Interest Rates Can Cause Inflation and Currency Depreciation (2020)How Raising Interest Rates Ca…Covid-19 pandemic and tail-dependency networks of financial assets (2020)Covid-19 pandemic and tail-de…Exchange rate comovements, hedging and volatility spillovers on new EU forex markets (2018)Exchange rate comovements, he…Uncertainty and deviations from uncovered interest rate parity (2017)Uncertainty and deviations fr…Financial crises, exchange rate linkages and uncovered interest parity: Evidence from G7 markets (2017)Financial crises, exchange ra…Uncovered interest parity: The long and the short of it (2015)Uncovered interest parity: Th…Time variation in the standard forward premium regression: Some new models and tests (2014)Time variation in the standar…Empirical evidence on the currency carry trade, 1900–2012 (2014)Empirical evidence on the cur…Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market: The case of Turkey (2014)Effects of volatility shocks …Spillovers of currency carry trade returns, market risk sentiment, and U.S. market returns (2013)Spillovers of currency carry …Households’ foreign currency borrowing in Central and Eastern Europe (2012)Households’ foreign currency …Foreign exchange market efficiency under recent crises: Asia-Pacific focus (2012)Foreign exchange market effic…Bond risk premia, macroeconomic fundamentals and the exchange rate (2011)Bond risk premia, macroeconom…Bond Risk Premia, Macroeconomic Fundamentals and the Exchange Rate (2009)Bond Risk Premia, Macroeconom…Long Run Macroeconomic Relations in the Global Economy (2007)Long Run Macroeconomic Relati…The Forward Market in Emerging Currencies: Less Biased Than in Major Currencies (2006)The Forward Market in Emergin…Empirical exchange rate models of the seventies (1983)How Big Is the Random Walk in GNP? (1988)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)ARCH modeling in finance (1992)The Economics of Exchange Rates (2003)Introductory Econometrics for Finance (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)Expectations and Exchange Rate Dynamics (1976)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles (2001)The Purchasing Power Parity Debate (2004)Little Science, Big Science (1963)A Monetary History of the United States 1867-1960 (1964)Bank Runs, Deposit Insurance, and Liquidity (1983)Rules, discretion and reputation in a model of monetary policy (1983)Why Does Stock Market Volatility Change Over Time? (1989)From Financial Crash to Debt Crisis (2011)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Cointegration and Tests of Present Value Models (1987)The Information in Long-Maturity Forward Rates (1987)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Bond Risk Premia (2005)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Investor Psychology and Asset Pricing (2001)Exchange Rates and Fundamentals (2005)Carry Trades and Currency Crashes (2008)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)Asset Prices in an Exchange Economy (1978)International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)A New Approach to Measuring Financial Contagion (2000)International Liquidity and Exchange Rate Dynamics * (2015)Liquidity, loanable funds, and real activity (1992)Price-level determinacy without control of a monetary aggregate (1995)The Gold Standard as a “Good Housekeeping Seal of Approval” (1996)Trends and random walks in macroeconomic time series (1988)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)
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References

  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 2017A Monetary History of the United States, 1867-19602,467 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 2008A Monetary History of the United States, 1867-19601,158 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?984 cited
  • 1996Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries886 cited
  • 1995The World Price of Foreign Exchange Risk765 cited
  • 1982Monetary Trends in the United States and the United Kingdom701 cited
  • 1963A history of interest rates619 cited
  • 1964A Monetary History of the United States, 1867-1960602 cited
  • 2014The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets601 cited
  • 2001Affine Term Structure Models and the Forward Premium Anomaly594 cited
  • 1978A History of Interest Rates.540 cited

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2010
Do Peso Problems Explain the Returns to the Carry Trade?
522 cited

Cited by

  • 2006The Forward Market in Emerging Currencies: Less Biased Than in Major Currencies146 cited
  • 2007Long Run Macroeconomic Relations in the Global Economy135 cited
  • 2011Bond risk premia, macroeconomic fundamentals and the exchange rate134 cited
  • 2020Covid-19 pandemic and tail-dependency networks of financial assets131 cited
  • 2017Uncertainty and deviations from uncovered interest rate parity124 cited
  • 2018Exchange rate comovements, hedging and volatility spillovers on new EU forex markets96 cited
  • 2012Households’ foreign currency borrowing in Central and Eastern Europe96 cited
  • 2012Foreign exchange market efficiency under recent crises: Asia-Pacific focus78 cited
  • 2014Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market: The case of Turkey74 cited
  • 2017Financial crises, exchange rate linkages and uncovered interest parity: Evidence from G7 markets53 cited
  • 2013Spillovers of currency carry trade returns, market risk sentiment, and U.S. market returns34 cited
  • 2015Uncovered interest parity: The long and the short of it31 cited
  • 2009Bond Risk Premia, Macroeconomic Fundamentals and the Exchange Rate30 cited
  • 2020How Raising Interest Rates Can Cause Inflation and Currency Depreciation28 cited
  • 2014Time variation in the standard forward premium regression: Some new models and tests28 cited
  • 2014Empirical evidence on the currency carry trade, 1900–201226 cited