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Are Exchange Rates Excessively Variable

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Author Info
Jeffrey A. Frankel and Richard Meese.

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Abstract

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Publisher Info
Paper provided by University of California at Berkeley in its series Economics Working Papers with number 8738.

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Date of creation: 01 May 1987
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Handle: RePEc:ucb:calbwp:8738

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Postal: University of California at Berkeley, Berkeley, CA USA
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Web page: http://www.haas.berkeley.edu/groups/iber/wps/econwp.html
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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Minford, Patrick & Marwaha, Satwant & Matthews, Kent & Sprague, Alison, 1984. "The Liverpool macroeconomic model of the United Kingdom," Economic Modelling, Elsevier, vol. 1(1), pages 24-62, January. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Jacob Boudoukh & Matthew Richardson & YuQing Shen & Robert F. Whitelaw, 2003. "Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the OJ Market," NBER Working Papers 9515, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Goldberg, Michael D. & Frydman, Roman, 1991. "Theories Consistent Expectationa and Exchange Rate Dynamics," Working Papers 91-62, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
  3. Richard Baldwin & Richard Lyons, 1989. "Exchange Rate Hysteresis: The Real Effects of Large vs Small Policy Misalignments," NBER Working Papers 2828, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Richard Baldwin & Richard K. Lyons, 1988. "The Mutual Amplification Effect of Exchange Rate Volatility and Unresponsive Trade Prices," NBER Working Papers 2677, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  5. Hernández Monsalve, Mauricio A. & Mesa, Ramón Javier, 2006. "La experiencia colombiana bajo un régimen de fluctuación controlada del tipo de cambio: el papel de las intervenciones bancarias," Lecturas de Economia, UNIVERSIDAD DE ANTIOQUIA - CIE. [Downloadable!]
    Other versions:
  6. Jeffrey A. Frankel, 1988. "Recent Estimates of Time-Variation in the Conditional Variance and in the Exchange Risk Premium," NBER Working Papers 2367, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  7. Maurice Obstfeld & Kenneth Rogoff, 1998. "Risk and Exchange Rates," NBER Working Papers 6694, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  8. Robert J. Hodrick, 1989. "Risk, Uncertainty and Exchange Rates," NBER Working Papers 2429, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  9. Goldberg, Michael D. & Frydman, Roman, 1991. "Re-examining the Empirical Performance of the Monetary Models of the Exchange Rate: A Problem of Structural Change," Working Papers 91-69, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
  10. Phornchanok Cumperayot, 2003. "Dusting off the Perception of Risk and Returns in FOREX Markets," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
  11. Kees G. Koedijk & Mack Ott, 1987. "Risk aversion, efficient markets and the forward exchange rate," Review, Federal Reserve Bank of St. Louis, issue Dec, pages 5-13. [Downloadable!]
  12. Hernández Monsalve, Mauricio Alberto & Mesa Callejas, Ramón Javier, 2006. "El efecto de las intervenciones cambiarias: la experiencia colombiana 2004-2006," MPRA Paper 942, University Library of Munich, Germany, revised Oct 2006. [Downloadable!]
    Other versions:
  13. Charles Engel, 1996. "A Model of Foreign Exchange Rate Indetermination," NBER Working Papers 5766, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  14. Douglas Elmendorf & Mary Hirshfeld & David Weil, 1992. "The Effect of News on Bond Prices: Evidence from the United Kingdom 1900-1920," NBER Working Papers 4234, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  15. David Gruen & Marianne Gizycki, 1993. "Explaining Forward Discount Bias: Is it Anchoring?," RBA Research Discussion Papers rdp9307, Reserve Bank of Australia. [Downloadable!]
  16. Alberto Giovannini & Philippe Jorion, 1989. "The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets," NBER Working Papers 2573, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  17. Leonardo Bartolini & Gordon M. Bodnar, 1996. "Are exchange rates excessively volatile? And what does "excessively volatile" mean, anyway?," Research Paper 9601, Federal Reserve Bank of New York. [Downloadable!]
    Other versions:
  18. Charles Engel & Kenneth D. West, 2004. "Taylor Rules and the Deutschmark-Dollar Real Exchange Rate," NBER Working Papers 10995, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  19. Olivier Jeanne & Andrew K Rose, 1999. "Noise trading and exchange rate regimes," Reserve Bank of New Zealand Discussion Paper Series G99/2, Reserve Bank of New Zealand. [Downloadable!]
    Other versions:
  20. David WR Gruen & Gordon D Menzies, 1991. "The Failure of Uncovered Interest Parity: Is it Near-rationality in the Foreign Exchange Market?," RBA Research Discussion Papers rdp9103, Reserve Bank of Australia. [Downloadable!]
  21. Kenneth A. Froot, 1987. "Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets," NBER Working Papers 2362, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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