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The Forward Premium Anamoly: Three Examples in Search of a Solution

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Author Info
David Backus
Silverio Foresi
Chris Telmer

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File URL: http://bighurt.tepper.cmu.edu/Economics/Working_Papers/fx2.ps
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Paper provided by Carnegie Mellon University, Tepper School of Business in its series GSIA Working Papers with number 7.

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Date of creation: Oct 1994
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Handle: RePEc:cmu:gsiawp:7

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Postal: Tepper School of Business, Carnegie Mellon University, 5000 Forbes Avenue, Pittsburgh, PA 15213-3890
Web page: http://www.tepper.cmu.edu/

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Web: http://server1.tepper.cmu.edu/gsiadoc/GSIA_WP.asp

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  1. Nelson C. Mark & Yangru Wu, 1996. "Risk, Policy Rules, and Noise: Rethinking Deviations From Uncovered Interest Parity," Working Papers 014, Ohio State University, Department of Economics. [Downloadable!]
    Other versions:
  2. Graham Elliott & Takatoshi Ito, 1995. "Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market," NBER Working Papers 5376, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. Nelson Mark & Yangru Wu, 1998. "Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise," Working Papers 98-05, Ohio State University, Department of Economics. [Downloadable!]
    Other versions:
  4. Hodrick, Robert J & Vassalou, Maria, 2001. "Do We Need Multi-Country Models to Explain Exchange Rate, Interest Rate and Bond Return Dynamics?," CEPR Discussion Papers 3056, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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This page was last updated on 2009-11-5.

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