RDP 9103: The Failure of Uncovered Interest Parity: Is it Near-Rationality in the Foreign Exchange Market? References
May 1991
- Download the Paper 251KB
Akerlof, G.A. and Yellen, J.L. (1985), ‘Can small deviations from rationality make significant differences to economic equilibria?’, American Economic Review, 75, 708–720.
Baillie, R.T. and Bollerslev, T. (1989), ‘The message in daily exchange rates: a conditional-variance tale’, Journal of Business and Economic Statistics, 7, 297–305.
Baillie, R.T. and Bollerslev, T. (1990), ‘A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange markets’, Journal of International Money and Finance, 9, 309–324.
Baldwin, R.E. (1990), ‘Re-interpreting the failure of foreign exchange market efficiency tests: small transaction costs, big hysteresis bands’, NBER Working Paper No. 3319.
Cecchetti, S.G. and Mark, N.C. (1990), ‘Evaluating empirical tests of asset pricing models: alternative interpretations’, American Economic Review, 80, No. 2, 48–51.
Chiang, A.C. (1984), Fundamental Methods of Mathematical Economics, (McGraw-Hill), Chapter 21.
Cumby, R.E. (1988), ‘Is it risk? Explaining deviations from uncovered interest parity.’ Journal of Monetary Economics, 22, 279–299.
Dornbusch, R. (1976), ‘Expectations and exchange rate dynamics’ Journal of Political Economy, 84, 1161–76.
Frankel, J.A. (1985), ‘The dazzling dollar’, Brookings Papers on Economic Activity, 1199–217.
Frankel, J.A. (1988), ‘Recent estimates of time-variation in the conditional variance and in the exchange risk premium’, Journal of International Money and Finance, 7, 115–125.
Frankel, J.A. and Engel, C.M. (1984), ‘Do asset-demand functions optimize over the mean and variance of real returns? A six-currency test’, Journal of International Economics, 17, 309–323.
Frankel, J.A. and Froot, K.A. (1987), ‘Using survey data to test standard propositions regarding exchange rate expectations’, American Economic Review, 77, 133–153.
Frankel, J.A. and Meese, R. (1987), ‘Are exchange rates excessively variable?’, NBER Macroeconomics Annual 1987, 117–153.
Froot, K.A. and Thaler, R.H. (1990), ‘Foreign exchange’, Journal of Economic Perspectives, 4, 179–192.
Goodhart, C. (1988), ‘The foreign exchange market: a random walk with a dragging anchor’, Economica, 55, 437–60.
Hodrick, R.J. (1987), The empirical evidence on the efficiency of forward and futures foreign exchange markets, Fundamentals of Pure and Applied Economics 24 (Harwood academic publishers).
International Monetary Fund (1990), International financial statistics, Various issues.
Smith, J. and Gruen, D.W.R. (1989), ‘A random walk around the $A: expectations, risk, interest rates and consequences for external imbalance’, Reserve Bank of Australia, RDP No. 8906.