1. The unbiased forward rate hypothesis before and after the inflation targeting regime in South Africa: A cointegration Analysis. (2017). Bonga-Bonga, Lumengo ; Mavee, Nasha .
   In: MPRA Paper.
   RePEc:pra:mprapa:77195.

   Full description at Econpapers || Download paper

2. Essays on infinite-variance stable errors and robust estimation procedures. (2010). Serttas, Fatma Ozgu.
   In: ISU General Staff Papers.
   RePEc:isu:genstf:201001010800002742.

   Full description at Econpapers || Download paper

3. McHouse prices, capital hoovering, and real exchange rate exposures. (2004). Bowden, Roger .
   In: New Zealand Economic Papers.
   RePEc:taf:nzecpp:v:38:y:2004:i:1:p:119-139.

   Full description at Econpapers || Download paper

4. Inflation targeting in a small open economy: The behaviour of price variables. (2001). Nadal De Simone, Francisco ; Francisco de A. Nadal-De Simone, .
   In: New Zealand Economic Papers.
   RePEc:taf:nzecpp:v:35:y:2001:i:1:p:101-142.

   Full description at Econpapers || Download paper

1. Baillie, R T and T Bollerslev, (1989), `Common Stochastic Trends in a System of Exchange Rates, Journal of Finance 44, 167-181.

2. Baillie, R T, R E Lippens and P C McMahon, (1983), `Testing Rational Expectations and Efficiency in the Foreign Exchange Market, Econometrica 51, 553-564.

3. Barnhart, S and A Szakmary, (1991), `Testing the Unbiased Forward Rate Hypothesis: Evidence on Unit Roots, Cointegration and Stochastic Coefficients, Journal of Financial and Quantitative Analysis 26, 245-267.

4. Baxter, M, (1994), `Real Exchange Rates and Interest Rate Differentials,` Journal of Monetary Economics 33, 5-37.
   Paper not yet in RePEc: Add citation now
   

5. Bernanke B and F Mishkin, (1997), `Inflation Targeting: A New Framework for Monetary Policy? Journal of Economic Perspectives 11(2), 97-116.

6. Bilson, J F O, (1981), `The Speculative Efficiency Hypothesis, Journal of Business 54, 435-451.

7. Cumby, R and M Obstfeld, (1981), `A Note on Exchange Rate Expectations and Nominal Interest Rate Differentials: A Test of the Fisher Hypothesis, Journal of Finance 36, 697-703.

8. Cumby, R and M Obstfeld, (1984), `International Interest Rate and the Price level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence, in: Exchange Rate Theory and Practice, J. Bilson and R. Marston, Eds. Chicago: University of Chicago Press.

9. Davidson R and J MacKinnon, (1993), `Estimation and Inference in Econometrics, Oxford, Oxford University Press.

10. Domowitz, I And C Hakkio, (1985), Conditional Variance and the Risk Premium in the Foreign Exchange Market, Journal of International Economics 19, 47-66.

11. Edwards, S, (1983), `Floating Exchange Rates, Expectations and New Information, Journal of Monetary Economics 11, 321-336.

12. Engel, C, (1984), `Testing for the Absence of Expected Real Profits from Forward Market Speculation, Journal of International Economics 17, 299-308.

13. Engel, C, (1996), `The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence, Journal of Empirical Finance 3, 123-192.

14. Fama, E, (1984), `Forward and Spot Exchange Rates, Journal of Monetary Economics 14, 319-338.

15. Frankel, J, (1980), `In Search of the Exchange Risk Premium: A Six-Currency Test Assuming Mean-Variance Optimisation, Journal of International Money and Finance 1, 255-274.

16. Frankel, J, (1986), `The Implications of Mean-Variance Optimisation for Four Questions in International Macroeconomics, Journal of International Money and Finance 5, 553-575.

17. Frenkel, J and A Razin, (1980), `Stochastic Prices and Tests of Efficiency of Foreign Exchange Markets, Economics Letters 6, 165-170.

18. Frenkel, J, (1977), `The Forward Exchange Rate, Expectations and the Demand for Money - The German Hyperinflation: Reply, American Economic Review 70, 771-775.

19. Froot, K and R Thaler, (1990), `Anomalies: Foreign Exchange,` Journal of Economic Perspectives 4, 179-192.

20. Hakkio, C and M Rush, (1989), `Market Efficiency and Cointegration: An Application to the Sterling and the Deutschemark Exchange Markets, Journal of International Money and Finance 8, 75-88.

21. Hansen, L P and R Hodrick, (1983), `Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models, in: Exchange Rates and International Macroeconomics, Jacob A. Frankel, Ed., National Bureau of Economic Research, Chicago.

22. Hansen, L P and R. Hodrick, (1980), `Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis, Journal of Political Economy 88, 829-853.

23. Hodrick, R, (1987), The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets, Chur, Switzerland: Harwood Academic.
    Paper not yet in RePEc: Add citation now
    

24. Hsieh, D, (1984), `Tests of Rational Expectations and No Risk Premium in Forward Exchange Markets,` Journal of International Economics 17, 173-184.

25. Lewis, K, (1995), `Puzzles in International Financial Markets, in: Handbook of International Economics, Gene Grossman and Kenneth Rogoff, Eds. Vol. 3, Amsterdam: North Holland.

26. Liu, P and G S Maddala, (1992), `Rationality of Survey Data and Tests for Market Efficiency in the Foreign Exchange Markets,` Journal of International Money and Finance 11, 366-381.

27. Lyons, R, (1988), `Tests of the Foreign Exchange Risk Premium Using the Expected Second Moment Implied by Option Pricing, Journal of International Money and Finance 7, 91-108.

28. Mark, N, (1985), `On Time Varying Risk Premia In the Foreign Exchange Market, Journal of Monetary Economics 16, 3-18.
    Paper not yet in RePEc: Add citation now
    

29. Mark, N, (1987), `Time Varying Betas and Risk Premia in the Pricing of Forward Foreign Exchange Contracts, Ohio State University.

30. McCallum, B, (1994), `A Reconsideration of the Uncovered Interest Parity Relationship, Journal of Monetary Economics 23, 105-132.

31. Messe, R and K Singleton, (1982), `On Unit Roots and Empirical Modelling of Exchange Rates, Journal of Finance 37, 1029-1035.
    Paper not yet in RePEc: Add citation now
    

32. Naka A and G Whitney, (1995), `The Unbiased Forward Rate Hypothesis Re-examined, Journal of International Money and Finance 14, 857-867.

33. Obstfeld, M and K Rogoff, (1996), Foundations of International Macroeconomics, MIT Press.

34. Perron, P, (1988), `Trends and Random Walks in Macroeconomic Time Series, Journal of Economic Dynamics and Control 12, 297-332.

35. Phillips, P C B and M Loretan, (1991), `Estimating Long-Run Economic Equilibria, Review of Economic Studies 58, 407-436.

36. Phillips, P C B, (1987), `Time Series Regression with a Unit Root, Econometrica, Vol.

37. Phillips, P C B, (1991), `Optimal Inference in Cointegrated Systems, Econometrica 59, 283-306.

38. Sims, C A, (1988), `Bayesian Scepticism on Unit Root Econometrics, Journal of Economic Dynamic and Control 12, 463-474.
    Paper not yet in RePEc: Add citation now
    

1. More on the energy / non-energy commodity price link. (2009). Baffes, John.
   In: Policy Research Working Paper Series.
   RePEc:wbk:wbrwps:4982.

   Full description at Econpapers || Download paper

2. The Forward Premium Puzzle only emerges gradually. (2007). von Hagen, Juergen ; Bernoth, Kerstin ; de Vries, Casper G. ; Jürgen von Hagen, .
   In: Tinbergen Institute Discussion Papers.
   RePEc:tin:wpaper:20070033.

   Full description at Econpapers || Download paper

3. A non-parametric analysis of ERM exchange rate fundamentals. (2007). Torres, Jose.
   In: Empirical Economics.
   RePEc:spr:empeco:v:32:y:2007:i:1:p:67-84.

   Full description at Econpapers || Download paper

4. Interaction of European Carbon Trading and Energy Prices. (2007). Fezzi, Carlo ; Bunn, Derek W..
   In: Working Papers.
   RePEc:fem:femwpa:2007.63.

   Full description at Econpapers || Download paper

5. The Forward Premium Puzzle: new evidence from futures contracts. (2007). von Hagen, Juergen ; de Vries, Casper ; Bernoth, Kerstin.
   In: DNB Working Papers.
   RePEc:dnb:dnbwpp:125.

   Full description at Econpapers || Download paper

6. Interest Rate Linkages in EMU Countries: A Rolling Threshold Vector Error-Correction Approach. (2007). Poghosyan, Tigran ; de Haan, Jakob.
   In: CESifo Working Paper Series.
   RePEc:ces:ceswps:_2060.

   Full description at Econpapers || Download paper

7. Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach. (2006). Shimotsu, Katsumi ; Nielsen, Morten.
   In: Working Papers.
   RePEc:qed:wpaper:1029.

   Full description at Econpapers || Download paper

8. Generalized long memory processes, failure of cointegration tests and exchange rate dynamics. (2006). Smallwood, Aaron ; Norrbin, Stefan.
   In: Journal of Applied Econometrics.
   RePEc:jae:japmet:v:21:y:2006:i:4:p:409-417.

   Full description at Econpapers || Download paper

9. The Forward Exchange Rate Bias Puzzle: Evidence from New Cointegration Tests. (2006). lucey, brian ; Aggarwal, Raj ; Mohanty, Sunil K..
   In: The Institute for International Integration Studies Discussion Paper Series.
   RePEc:iis:dispap:iiisdp123.

   Full description at Econpapers || Download paper

10. Testing for Efficiency in Selected Developing Foreign Exchange Markets: An Equilibrium-Based Approach.. (2006). Papadopoulos, Athanasios ; Giannellis, Nikolaos.
    In: Working Papers.
    RePEc:crt:wpaper:0717.

    Full description at Econpapers || Download paper

11. Cointegrating behaviour between spot and forward exchange rates. (2005). McMillan, David G..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:15:y:2005:i:16:p:1135-1144.

    Full description at Econpapers || Download paper

12. Efficiency of the Foreign Exchange Market of Papua New Guinea During the Recent Float. (2004). Wickremasinghe, Guneratne.
    In: International Trade.
    RePEc:wpa:wuwpit:0406007.

    Full description at Econpapers || Download paper

13. International Finance, Levy Distributions, and the Econophysics of Exchange Rates. (2004). Da Silva, Sergio.
    In: International Finance.
    RePEc:wpa:wuwpif:0405018.

    Full description at Econpapers || Download paper

14. Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997. (2004). Los, Cornelis ; Karuppiah, Jeyanthi.
    In: Finance.
    RePEc:wpa:wuwpfi:0409037.

    Full description at Econpapers || Download paper

15. Analyzing imputed financial data: a new approach to cluster analysis. (2004). Degennaro, Ramon ; Bensmail, Halima .
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2004-20.

    Full description at Econpapers || Download paper

16. Official Interventions and Occasional Violations of Uncovered Interest Parity in the Dollar-DM Market. (2004). Moh, Young-Kyu ; Mark, Nelson.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:762.

    Full description at Econpapers || Download paper

17. Testing forward exchange rate unbiasedness efficiently: a semiparametric approach. (2004). LINTON, OLIVER ; Hodgson, Douglas ; Vorkink, Keith.
    In: Journal of Applied Economics.
    RePEc:cem:jaecon:v:7:y:2004:n:2:p:325-353.

    Full description at Econpapers || Download paper

18. A Non-parametric analysis of ERM exchange rate fundamentals. (2004). Torres, Jose.
    In: Economic Working Papers at Centro de Estudios Andaluces.
    RePEc:cea:doctra:e2004_25.

    Full description at Econpapers || Download paper

19. Dynamics of Intra-EMS Interest Rate Linkages. (2004). Barkoulas, John ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:492.

    Full description at Econpapers || Download paper

20. Evidence on the stationarity of ERM exchange rates. (2003). Zhou, S..
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:10:y:2003:i:4:p:231-233.

    Full description at Econpapers || Download paper

21. Official Interventions and Occasional Violations of Uncovered Interest Party in the Dollar-DM Market. (2003). Moh, Young-Kyu ; Mark, Nelson.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9948.

    Full description at Econpapers || Download paper

22. Dusting off the Perception of Risk and Returns in FOREX Markets. (2003). Cumperayot, Phornchanok .
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_904.

    Full description at Econpapers || Download paper

23. The stable long-run CAPM and the cross-section of expected returns. (2002). Kim, Jeong-Ryeol .
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4170.

    Full description at Econpapers || Download paper

24. Dynamics of Intra-EMS Interest Rate Linkages. (2002). Barkoulas, John ; Baum, Christopher.
    In: Computing in Economics and Finance 2002.
    RePEc:sce:scecf2:13.

    Full description at Econpapers || Download paper

25. Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics. (2002). Nielsen, Morten.
    In: Economics Working Papers.
    RePEc:aah:aarhec:2002-7.

    Full description at Econpapers || Download paper

26. Optimal hedge ratios and alternative hedging strategies in the presence of cointegrated time-varying risks. (2001). Ah-Boon Sim, Ralf Zurbruegg, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:7:y:2001:i:3:p:269-283.

    Full description at Econpapers || Download paper

27. Risk Premiums and Exchange Rate Expectations: A Reassessment of the So-Called Dollar Peg Policies of Crisis East Asian Countries, 1994-97. (2001). Taro, ESAKA ; Shinji, TAKAGI .
    In: ESRI Discussion paper series.
    RePEc:esj:esridp:003.

    Full description at Econpapers || Download paper

28. Forward Premiums and Market Efficiency: Panel Unit-root Evidence from the Term Structure of Forward Premiums. (2001). Chakraborty, Atreya ; Barkoulas, John ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:461.

    Full description at Econpapers || Download paper

29. The efficiency hypothesis and the role of news in the Euro/British pound exchange rate market: an empirical analysis using daily data. (2000). Napolitano, Oreste.
    In: ISER Working Paper Series.
    RePEc:ese:iserwp:2000-30.

    Full description at Econpapers || Download paper

30. The Forward Rate Unbiasedness Hypothesis Revisited: Evidence from a New Test. (2000). Chakraborty, Atreya ; Barkoulas, John ; Baum, Christopher ; Delcoure, Natalya .
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:464.

    Full description at Econpapers || Download paper

31. Exchange Rate Uncertainty and Firm Profitability. (2000). Caglayan, Mustafa ; Barkoulas, John ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:422.

    Full description at Econpapers || Download paper

32. Persistent Dependence in Foreign Exchange Rates? A Reexamination. (2000). Chakraborty, Atreya ; Caglayan, Mustafa ; Barkoulas, John ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:377.

    Full description at Econpapers || Download paper

33. The forward rate unbiasedness hypothesis in inflation-targeting regimes. (1999). Razzak, Weshah.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:1999/03.

    Full description at Econpapers || Download paper

34. The Applied Cointegration Analysis for the Open Economy: A Critical Review. (1999). Kang, Heejoon.
    In: Open Economies Review.
    RePEc:kap:openec:v:10:y:1999:i:3:p:325-346.

    Full description at Econpapers || Download paper

35. Cointegration and Forward and Spot Exchange Rate Regressions. (1998). Zivot, Eric.
    In: Econometrics.
    RePEc:wpa:wuwpem:9812001.

    Full description at Econpapers || Download paper

36. Stochastic trends and cointegration in the market for equities. (1998). Ackert, Lucy ; Racine, Marie D..
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:98-13.

    Full description at Econpapers || Download paper

37. Market efficiency and cointegration: Some evidence in Pacific-Basin black exchange markets. (1997). Pan, Ming-Shiun ; Cheng, Louis ; Chan, Kam .
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:21:y:1997:i:1:p:25-31.

    Full description at Econpapers || Download paper

38. Symmetry and Asymmetry of Supply and Demand Shocks in the European Union. (1997). Boone, Laurence .
    In: Working Papers.
    RePEc:cii:cepidt:1997-03.

    Full description at Econpapers || Download paper

39. Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples. (1997). van Norden, Simon ; Godbout, Marie-Josee.
    In: Staff Working Papers.
    RePEc:bca:bocawp:97-1.

    Full description at Econpapers || Download paper

40. Exchange rate cointegration across central bank regime shifts. (1996). Lopez, Jose.
    In: Research Paper.
    RePEc:fip:fednrp:9602.

    Full description at Econpapers || Download paper

41. Fractional Cointegration Analysis of Long Term International Interest Rates. (1996). Barkoulas, John ; Baum, Christopher ; Oguz, Gurkan S..
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:315.

    Full description at Econpapers || Download paper

42. A Re-examination of the Fragility of Evidence from Cointegration- Based Tests of Foreign Exchange Market Efficiency. (1996). Barkoulas, John ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:311.

    Full description at Econpapers || Download paper

43. Unit-Root Test and Excess Returns.. (1996). van Norden, Simon ; Godbout, M. J..
    In: Staff Working Papers.
    RePEc:bca:bocawp:96-10.

    Full description at Econpapers || Download paper

44. Testing for Nonlinearities in Economic and Financial Time Series. (1995). Peat, Maurice ; Stevenson, Max .
    In: Working Paper Series.
    RePEc:uts:wpaper:48.

    Full description at Econpapers || Download paper

45. Testing for non-linear dependence in inter-war exchange rates. (1994). Peel, David ; Speight, Alan .
    In: Review of World Economics (Weltwirtschaftliches Archiv).
    RePEc:spr:weltar:v:130:y:1994:i:2:p:391-417.

    Full description at Econpapers || Download paper

46. Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s. (1994). Phillips, Peter ; McFarland, James W. ; McMahon, Patrick C..
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1080.

    Full description at Econpapers || Download paper

47. Canadian foreign exchange policies: Intervention, control, cointegration. (1992). Chowdhory, Mustafa ; Booth, G..
    In: Review of World Economics (Weltwirtschaftliches Archiv).
    RePEc:spr:weltar:v:128:y:1992:i:1:p:21-33.

    Full description at Econpapers || Download paper

48. Efficiency in German and Japanese foreign exchange markets: Evidence from cointegration techniques. (1992). Tronzano, Marco.
    In: Review of World Economics (Weltwirtschaftliches Archiv).
    RePEc:spr:weltar:v:128:y:1992:i:1:p:1-20.

    Full description at Econpapers || Download paper

49. Trends in Expected Returns in Currency and Bond Markets. (1992). Evans, Martin ; Lewis, Karen K..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4116.

    Full description at Econpapers || Download paper

50. Forward exchange rates as unbiased predictors of future spot rates a review and re-interpretation. (1992). Kang, Heejoon.
    In: Open Economies Review.
    RePEc:kap:openec:v:3:y:1992:i:2:p:215-232.

    Full description at Econpapers || Download paper

Report date: 2025-02-19 07:34:25 || Missing content? Let us know