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International Interest Rate and Price Level Linkages under Flexible Exchange Rates: A Review of Recent Evidence

In: Exchange Rate Theory and Practice

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Author Info
Robert E. Cumby
Maurice Obstfeld

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This chapter was published in: Robert E. Cumby & Maurice Obstfeld Exchange Rate Theory and Practice, , pages 121-152, 1984.

This item is provided by National Bureau of Economic Research, Inc in its series NBER Chapters with number 6832.

Handle: RePEc:nbr:nberch:6832

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This chapter was published in the following book, which is listed on IDEAS:
John F. O. Bilson & Richard C. Marston, 1984. "Exchange Rate Theory and Practice," NBER Books, National Bureau of Economic Research, Inc, number bils84-1.
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  1. Frenkel, Jacob A & Levich, Richard M, 1975. "Covered Interest Arbitrage: Unexploited Profits?," Journal of Political Economy, University of Chicago Press, vol. 83(2), pages 325-38, April. [Downloadable!] (restricted)
  2. Longworth, David, 1981. "Testing the Efficiency of the Canadian-U.S. Exchange Market under the Assumption of no Risk Premium," Journal of Finance, American Finance Association, vol. 36(1), pages 43-49, March. [Downloadable!] (restricted)
  3. David A. Hsieh, 1982. "Tests of Rational Expectations and No Risk Premium in Forward Exchange Markats," NBER Working Papers 0843, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Frank McCormick, 1979. "Covered-interest arbitrage: unexploited profits: comment," International Finance Discussion Papers 132, Board of Governors of the Federal Reserve System (U.S.).
  5. McCormick, Frank, 1979. "Covered Interest Arbitrage: Unexploited Profits? Comment," Journal of Political Economy, University of Chicago Press, vol. 87(2), pages 411-17, April. [Downloadable!] (restricted)
  6. Frenkel, Jacob A, 1976. " A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence," Scandinavian Journal of Economics, Blackwell Publishing, vol. 78(2), pages 200-224.
  7. Hakkio, Craig S., 1981. "The term structure of the forward premium," Journal of Monetary Economics, Elsevier, vol. 8(1), pages 41-58. [Downloadable!] (restricted)
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  8. Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-53, October. [Downloadable!] (restricted)
  9. McCallum, Bennett T, 1976. "Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates," Econometrica, Econometric Society, vol. 44(1), pages 43-52, January. [Downloadable!] (restricted)
  10. Geweke, John F & Feige, Edgar L, 1979. "Some Joint Tests of the Efficiency of Markets for Forward Foreign Exchange," The Review of Economics and Statistics, MIT Press, vol. 61(3), pages 334-41, August. [Downloadable!] (restricted)
  11. Hooper, Peter & Morton, John, 1982. "Fluctuations in the dollar: A model of nominal and real exchange rate determination," Journal of International Money and Finance, Elsevier, vol. 1(1), pages 39-56, January. [Downloadable!] (restricted)
  12. Mussa, Michael, 1979. "Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 11(1), pages 9-57, January. [Downloadable!] (restricted)
  13. Genberg, Hans, 1978. "Purchasing power parity under fixed and flexible exchange rates," Journal of International Economics, Elsevier, vol. 8(2), pages 247-276, May. [Downloadable!] (restricted)
  14. Meese, Richard A & Singleton, Kenneth J, 1982. " On Unit Roots and the Empirical Modeling of Exchange Rates," Journal of Finance, American Finance Association, vol. 37(4), pages 1029-35, September. [Downloadable!] (restricted)
  15. Krugman, Paul R., 1978. "Purchasing power parity and exchange rates : Another look at the evidence," Journal of International Economics, Elsevier, vol. 8(3), pages 397-407, August. [Downloadable!] (restricted)
  16. Ansley, Craig F. & Spivey, W. Allen & Wrobleski, William J., 1977. "On the structure of moving average processes," Journal of Econometrics, Elsevier, vol. 6(1), pages 121-134, July. [Downloadable!] (restricted)
  17. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July. [Downloadable!] (restricted)
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