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Uncovered Interest Parity: It Works, But Not For Long
12 references·2 citing·48 second hop
Uncovered Interest Parity: It Works, But Not For Long (2003)Uncovered Interest Parity: It Works, But …Uncovered Interest Parity in Crisis (2002)Uncovered Interest Parity in …Real trading patterns and prices in spot foreign exchange markets (2002)Real trading patterns and pri…Fin de Siècle real interest parity (2001)Fin de Siècle real interest p…The forward premium anomaly is not as bad as you think (2000)The forward premium anomaly i…Long-Horizon Uncovered Interest Rate Parity (1998)Long-Horizon Uncovered Intere…The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …Tests of microstructural hypotheses in the foreign exchange market (1995)Tests of microstructural hypo…Chapter 37 Puzzles in international financial markets (1995)Chapter 37 Puzzles in interna…On biases in the measurement of foreign exchange risk premiums (1993)On biases in the measurement …Anomalies: Foreign Exchange (1990)Anomalies: Foreign ExchangeRelationships among exchange rates, intervention, and interest rates: An empirical investigation (1984)Relationships among exchange …Forward and spot exchange rates (1984)Forward and spot exchange rat…Can social microblogging be used to forecast intraday exchange rates? (2013)Can social microblogging be u…Chinese Monetary Policy and the Dollar Peg (2012)Chinese Monetary Policy and t…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Multivariate Simultaneous Generalized ARCH (1995)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Intraday technical trading in the foreign exchange market (2003)Stop-loss orders and price cascades in currency markets (2005)The market microstructure approach to foreign exchange: Looking back and looking forward (2013)Permanent and Temporary Components of Stock Prices (1988)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Evolving market structure: An ACE model of price dispersion and loyalty (2001)Uncovered interest rate parity and the term structure (2007)Crash-neutral currency carry trades (2014)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)Continuous Auctions and Insider Trading (1985)Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations (1985)Carry Trades and Currency Crashes (2008)Carry Trades and Currency Crashes (2008)What do we learn from the price of crude oil futures? (2010)Puzzles in International Financial Markets (1994)An Economic Evaluation of Empirical Exchange Rate Models (2008)Assessing financial market integration in Asia – Equity markets (2010)Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle (2010)The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Affine Term Structure Models and the Forward Premium Anomaly (2001)The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment (2011)Regime Changes and Financial Markets (2012)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)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)Heterogeneous expectations and tests of efficiency in the yen/dollar forward exchange rate market (1999)Yield Curve Predictors of Foreign Exchange Returns (2010)Global Asset Pricing (2011)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Inferring Trade Direction from Intraday Data (1991)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Safe Haven Currencies (2010)Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive? (2002)Bond risk premia, macroeconomic fundamentals and the exchange rate (2011)What Does the Yield Curve Tell Us about Exchange Rate Predictability? (2011)
this work references cited by second hop

References

  • 1984Forward and spot exchange rates2,167 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 1990Anomalies: Foreign Exchange902 cited
  • 1995Tests of microstructural hypotheses in the foreign exchange market517 cited
  • 2000The forward premium anomaly is not as bad as you think330 cited
  • 1993On biases in the measurement of foreign exchange risk premiums275 cited
  • 1995Chapter 37 Puzzles in international financial markets213 cited
  • 2002Uncovered Interest Parity in Crisis206 cited
  • 1998Long-Horizon Uncovered Interest Rate Parity174 cited
  • 2002Real trading patterns and prices in spot foreign exchange markets138 cited
  • 1984Relationships among exchange rates, intervention, and interest rates: An empirical investigation97 cited
  • 2001Fin de Siècle real interest parity40 cited

Cited by

  • 2013Can social microblogging be used to forecast intraday exchange rates?27 cited
  • 2012Chinese Monetary Policy and the Dollar Peg18 cited

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