Use of (Time-Domain) Vector Autoregressions to Test Uncovered Interest Parity
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- Takatoshi Ito, 1984. "Use of (Time-Domain) Vector Autoregressions to Test Uncovered Interest Parity," NBER Working Papers 1493, National Bureau of Economic Research, Inc.
References listed on IDEAS
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Citations
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Cited by:
- Phylaktis, Kate, 1997.
"Capital market integration in the Pacific-Basin region: An analysis of real interest rate linkages,"
Pacific-Basin Finance Journal, Elsevier, vol. 5(2), pages 195-213, June.
- Ms. Kate Phylaktis, 1995. "Capital Market Integration in the Pacific Basin Region: An Analysis of Real Interest Rate Linkages," IMF Working Papers 1995/133, International Monetary Fund.
- Campbell, John Y & Shiller, Robert J, 1987.
"Cointegration and Tests of Present Value Models,"
Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-1088, October.
- John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," NBER Working Papers 1885, National Bureau of Economic Research, Inc.
- John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," Cowles Foundation Discussion Papers 785, Cowles Foundation for Research in Economics, Yale University.
- Campbell, John & Shiller, Robert, 1987. "Cointegration and Tests of Present Value Models," Scholarly Articles 3122490, Harvard University Department of Economics.
- V. Vance Roley, 1986. "U.S. Monetary Policy Regimes and U.S.-Japan Financial Relations," NBER Working Papers 1858, National Bureau of Economic Research, Inc.
- Ito, Takatoshi & Roley, V. Vance, 1987.
"News from the U.S. and Japan : Which moves the yen/dollar exchange rate?,"
Journal of Monetary Economics, Elsevier, vol. 19(2), pages 255-277, March.
- Takatoshi Ito & V. Vance Roley, 1986. "News from the U.S. and Japan: which moves the yen/dollar exchange rate?," Research Working Paper 86-02, Federal Reserve Bank of Kansas City.
- Takatoshi Ito & V. Vance Roley, 1986. "News from the U. S. and Japan: Which Moves the Yen/Dollar Exchange Rate?," NBER Working Papers 1853, National Bureau of Economic Research, Inc.
- Jeffrey A. Frankel, 1993.
"Is Japan Creating a Yen Bloc in East Asia and the Pacific?,"
NBER Chapters, in: Regionalism and Rivalry: Japan and the United States in Pacific Asia, pages 53-88,
National Bureau of Economic Research, Inc.
- Jeffrey A. Frankel, 1992. "Is Japan Creating a Yen Bloc in East Asia and the Pacific?," NBER Working Papers 4050, National Bureau of Economic Research, Inc.
- Jeffrey A. Frankel, 1992. "Is Japan creating a yen bloc in East Asia and the Pacific?," Pacific Basin Working Paper Series 92-09, Federal Reserve Bank of San Francisco.
- Frankel, Jeffrey A., 1993. "Is Japan Creating a Yen Bloc in East Asia and the Pacific?," Center for International and Development Economics Research (CIDER) Working Papers 233179, University of California-Berkeley, Department of Economics.
- Jeffrey A. Frankel., 1993. "Is Japan Creating a Yen Bloc in East Asia and the Pacific?," Center for International and Development Economics Research (CIDER) Working Papers C93-007, University of California at Berkeley.
- Takatoshi Ito & V. Vance Roley, 1988.
"Intraday Yen/Dollar Exchange Rate Movements: News or Noise?,"
NBER Working Papers
2703, National Bureau of Economic Research, Inc.
- Takatoshi Ito & V. Vance Roley, 1988. "Intraday yen/dollar exchange rate movements: news or noise?," Research Working Paper 88-07, Federal Reserve Bank of Kansas City.
- Engel, Charles, 1996.
"The forward discount anomaly and the risk premium: A survey of recent evidence,"
Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
- Charles Engel, 1995. "The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence," NBER Working Papers 5312, National Bureau of Economic Research, Inc.
- Shyh-Wei Chen, 2010. "Testing the hypothesis of market efficiency in the Taiwan-US forward exchange market since 1990," Applied Economics, Taylor & Francis Journals, vol. 42(1), pages 121-132.
- Frankel, Jeffrey A. & Froot, Kenneth A., 1987.
"Short-term and long-term expectations of the yen/dollar exchange rate: Evidence from survey data,"
Journal of the Japanese and International Economies, Elsevier, vol. 1(3), pages 249-274, September.
- Jeffrey A. Frankel & Kenneth A. Froot, 1986. "Short-term and long-term expectations of the yen/dollar exchange rate: evidence from survey data," International Finance Discussion Papers 292, Board of Governors of the Federal Reserve System (U.S.).
- Jeffrey A. Frankel & Kenneth A. Froot, 1987. "Short-term and Long-Term Expectations of the Yen/Dollar Exchange Rate: Evidence from Survey Data," NBER Working Papers 2216, National Bureau of Economic Research, Inc.
- Ito Takatoshi & Okina Kunio & Teranishi Juro, 1993.
"News and the Dollar/Yen Exchange Rate, 1931-1933: The End of the Gold Standard, Imperialism, and the Great Depression,"
Journal of the Japanese and International Economies, Elsevier, vol. 7(2), pages 107-131, June.
- Takatoshi Ito & Kunio Okina & Juro Teranishi, 1988. "News and the Dollar/Yen Exchange Rate, 1931-1933: The End of the Gold Standard, Imperialism, and the Great Depression," NBER Working Papers 2683, National Bureau of Economic Research, Inc.
- Ito, Takatoshi, 1990.
"Foreign Exchange Rate Expectations: Micro Survey Data,"
American Economic Review, American Economic Association, vol. 80(3), pages 434-449, June.
- Takatoshi Ito, 1988. "Foreign Exchange Rate Expectations: Micro Survey Data," NBER Working Papers 2679, National Bureau of Economic Research, Inc.
- Jeffrey A. Frankel., 1992.
"The Evolving Japanese Financial System, and the Cost of Capital,"
Center for International and Development Economics Research (CIDER) Working Papers
C92-002, University of California at Berkeley.
- Frankel, Jeffrey A., 1992. "The Evolving Japanese Financial System, and the Cost of Capital," Center for International and Development Economics Research (CIDER) Working Papers 233170, University of California-Berkeley, Department of Economics.
- Chyng-Hua Shen, 1997. "Testing for foreign exchange market efficiency - a trivariate vector autoregressive approach," Applied Financial Economics, Taylor & Francis Journals, vol. 7(6), pages 711-719.
- Phylaktis, Kate, 1999. "Capital market integration in the Pacific Basin region: an impulse response analysis," Journal of International Money and Finance, Elsevier, vol. 18(2), pages 267-287, February.
- Bhatta, Guna Raj & Nepal, Rabindra & Harvie, Charles & Jayanthakumaran, Kankesu, 2022.
"Testing for the uncovered interest parity condition in a small open economy: A state space modelling approach,"
Journal of Asian Economics, Elsevier, vol. 82(C).
- Guna Raj Bhatta & Rabindra Nepal & Charles Harvie & Kankesu Jayanthakumaran, 2021. "Testing for uncovered interest parity conditions in a small open economy: A state space modelling approach," CAMA Working Papers 2021-56, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Firanchuk, Alexander (Фиранчук, Александр), 2017. "Illegal Re-Export and Analysis of the Effectiveness of the Russian Food Embargo in 2014 [Незаконный Реэкспорт И Анализ Эффективности Российского Продовольственного Эмбарго 2014 Года]," Working Papers 041705, Russian Presidential Academy of National Economy and Public Administration.
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