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An adequate measure for exchange rate returns

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  • Marielle de Jong

    (Amundi Asset Management)

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  • Marielle de Jong, 2011. "An adequate measure for exchange rate returns," Journal of Asset Management, Palgrave Macmillan, vol. 12(2), pages 85-93, June.
    • Handle: RePEc:pal:assmgt:v:12:y:2011:i:2:d:10.1057_jam.2011.16
    DOI: 10.1057/jam.2011.16
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    References listed on IDEAS

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    1. Jeremy J. Siegel, 1972. "Risk, Interest Rates and the Forward Exchange," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 86(2), pages 303-309.
    2. John Y. Campbell & Karine Serfaty‐De Medeiros & Luis M. Viceira, 2010. "Global Currency Hedging," Journal of Finance, American Finance Association, vol. 65(1), pages 87-121, February.
    3. Maurice Obstfeld & Kenneth S. Rogoff, 1996. "Foundations of International Macroeconomics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262150476, April.
    4. J. Huston McCulloch, 1975. "Operational Aspects of the Siegel Paradox," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 89(1), pages 170-172.
    5. Adler, Michael & Prasad, Bhaskar, 1992. "On Universal Currency Hedges," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(1), pages 19-38, March.
    6. Murray C. Kemp & Hans-Werner Sinn, 2000. "A Simple Model of Privately Profitable But Socially Useless Speculation," The Japanese Economic Review, Japanese Economic Association, vol. 51(1), pages 84-94, March.
    7. Fischer Black, 1989. "Equilibrium Exchange Rate Hedging," NBER Working Papers 2947, National Bureau of Economic Research, Inc.
    8. Paul R. Krugman, 1981. "Consumption Preferences, Asset Demands, and Distribution Effects in International Financial Markets," NBER Working Papers 0651, National Bureau of Economic Research, Inc.
    9. Beenstock, Michael, 1985. "Forward Exchange Rates and "Seigel's Paradox" [Risk, Interest Rates and Forward Exchange]," Oxford Economic Papers, Oxford University Press, vol. 37(2), pages 298-303, June.
    10. Engel, Charles M., 1984. "Testing for the absence of expected real profits from forward market speculation," Journal of International Economics, Elsevier, vol. 17(3-4), pages 299-308, November.
    11. Solnik, Bruno H., 1974. "An equilibrium model of the international capital market," Journal of Economic Theory, Elsevier, vol. 8(4), pages 500-524, August.
    12. Murray C. Kemp & Hans-Werner Sinn, 1990. "A Simple Model of Useless Speculation," NBER Working Papers 3513, National Bureau of Economic Research, Inc.
    13. Black, Fischer, 1990. "Equilibrium Exchange Rate Hedging," Journal of Finance, American Finance Association, vol. 45(3), pages 899-907, July.
    14. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    15. Kam Chu, 2005. "Solution to the Siegel Paradox," Open Economies Review, Springer, vol. 16(4), pages 399-405, October.
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