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Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?
16 references·12 citing·46 second hop
Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates? (2019)Does Incomplete Spanning in International…Deviations from Covered Interest Rate Parity (2018)Deviations from Covered Inter…International Liquidity and Exchange Rate Dynamics * (2015)International Liquidity and E…Cross-Border Banking and Global Liquidity (2014)Cross-Border Banking and Glob…International Risk Sharing and the Transmission of Productivity Shocks (2008)International Risk Sharing an…Business Cycle Accounting (2007)Business Cycle AccountingCan Information Heterogeneity Explain the Exchange Rate Determination Puzzle? (2006)Can Information Heterogeneity…Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates? (2002)Can Sticky Price Models Gener…Affine Term Structure Models and the Forward Premium Anomaly (2001)Affine Term Structure Models …Consumption and real exchange rates in dynamic economies with non-traded goods (1993)Consumption and real exchange…Implications of Security Market Data for Models of Dynamic Economies (1991)Implications of Security Mark…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…Forward and spot exchange rates (1984)Forward and spot exchange rat…Interest rates and currency prices in a two-country world (1982)Interest rates and currency p…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…A Simple Approach to the Valuation of Risky Streams (1978)A Simple Approach to the Valu…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Mussa Puzzle Redux (2025)Mussa Puzzle ReduxWhat do Financial Markets say about the Exchange Rate? (2024)What do Financial Markets say…Concealed carry (2024)Concealed carryThe global factor structure of exchange rates (2023)The global factor structure o…International trade and the risk in bilateral exchange rates (2023)International trade and the r…Origins of international factor structures (2022)Origins of international fact…International macroeconomics with imperfect financial markets (2022)International macroeconomics …CIP deviations, the dollar, and frictions in international capital markets (2022)CIP deviations, the dollar, a…Volatility, intermediaries, and exchange rates (2021)Volatility, intermediaries, a…The Story of the Real Exchange Rate (2021)The Story of the Real Exchang…Convenience Yields and Exchange Rate Puzzles (2021)Convenience Yields and Exchan…Model‐Free International Stochastic Discount Factors (2020)Model‐Free International Stoc…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Asset Prices in an Exchange Economy (1978)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Immiserizing Growth: A Geometrical Note (1958)Theory of Value (1959)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)Another look at the instrumental variable estimation of error-components models (1995)Liquidity and leverage (2008)Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870–2008 (2012)Macro-prudential policies to mitigate financial system vulnerabilities (2013)The External Wealth of Nations Revisited: International Financial Integration in the Aftermath of the Global Financial Crisis (2018)Time to Build and Aggregate Fluctuations (1982)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Chapter 21 The financial accelerator in a quantitative business cycle framework (1999)Emerging Market Business Cycles: The Cycle Is the Trend (2007)Misallocation and Manufacturing TFP in China and India (2007)Misallocation and Manufacturing TFP in China and India (2009)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Noise Trader Risk in Financial Markets (1990)The Limits of Arbitrage (1995)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)Intermediary asset pricing: New evidence from many asset classes (2017)Exchange Arrangements Entering the Twenty-First Century: Which Anchor will Hold?* (2019)Expectations and Exchange Rate Dynamics (1976)Discretion versus policy rules in practice (1993)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Monetary Policy and Exchange Rate Volatility in a Small Open Economy (2002)Pricing-to-Market, Trade Costs, and International Relative Prices (2008)Fiscal Stimulus in a Monetary Union: Evidence from US Regions (2014)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)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

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 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
  • 2002Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates?1,142 cited
  • 2007Business Cycle Accounting1,001 cited
  • 2014Cross-Border Banking and Global Liquidity941 cited
  • 2015International Liquidity and Exchange Rate Dynamics *821 cited
  • 1993Consumption and real exchange rates in dynamic economies with non-traded goods750 cited
  • 2018Deviations from Covered Interest Rate Parity722 cited
  • 2008International Risk Sharing and the Transmission of Productivity Shocks648 cited
  • 2001Affine Term Structure Models and the Forward Premium Anomaly594 cited
  • 1978A Simple Approach to the Valuation of Risky Streams578 cited

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  • 2006Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?569 cited
  • Cited by

    • 2021Volatility, intermediaries, and exchange rates62 cited
    • 2020Model‐Free International Stochastic Discount Factors55 cited
    • 2022CIP deviations, the dollar, and frictions in international capital markets54 cited
    • 2022International macroeconomics with imperfect financial markets50 cited
    • 2021The Story of the Real Exchange Rate36 cited
    • 2023The global factor structure of exchange rates23 cited
    • 2022Origins of international factor structures23 cited
    • 2023International trade and the risk in bilateral exchange rates23 cited
    • 2021Convenience Yields and Exchange Rate Puzzles21 cited
    • 2024What do Financial Markets say about the Exchange Rate?21 cited
    • 2024Concealed carry19 cited
    • 2025Mussa Puzzle Redux14 cited