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The modern theory of forward foreign exchange: some new consistent estimates under rational expectations

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  • Thomas C. Glaessner

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  • Thomas C. Glaessner, 1982. "The modern theory of forward foreign exchange: some new consistent estimates under rational expectations," International Finance Discussion Papers 206, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgif:206
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    1. 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 829-853, October.
    2. Callier, Philippe, 1981. "Speculation, interest arbitrage, and the forward foreign exchange rate of the Canadian dollar: Updated evidence," Journal of Macroeconomics, Elsevier, vol. 3(2), pages 293-299.
    3. Hansen, Lars Peter & Sargent, Thomas J., 1980. "Formulating and estimating dynamic linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 7-46, May.
    4. Callier, Philippe, 1980. "Speculation and the Forward Foreign Exchange Rate: A Note," Journal of Finance, American Finance Association, vol. 35(1), pages 173-176, March.
    5. Fair, Ray C, 1970. "The Estimation of Simultaneous Equation Models with Lagged Endogenous Variables and First Order Serially Correlated Errors," Econometrica, Econometric Society, vol. 38(3), pages 507-516, May.
    6. John H. Makin & Dennis E. Logue & Carl H. Stem, 1976. "Eurocurrencies and the International Monetary System," Books, American Enterprise Institute, number 52119, September.
    7. Kohlhagen, Steven W, 1979. "Testing for the Role of Speculation in the Forward Exchange Market: Some Problems If There are Fisherian Expectations," The Review of Economics and Statistics, MIT Press, vol. 61(4), pages 608-610, November.
    8. Hans R. Stoll, 1968. "An Empirical Study of the Forward Exchange Market under Fixed and Flexible Exchange Rate Systems," Canadian Journal of Economics, Canadian Economics Association, vol. 1(1), pages 55-78, February.
    9. Richard D. Haas, 1974. "More Evidence on the Role of Speculation in the Canadian Forward Exchange Market," Canadian Journal of Economics, Canadian Economics Association, vol. 7(3), pages 496-501, August.
    10. Fumio Hayashi, 1980. "Estimation of Macroeconometric Models Under Rational Expectations: A Survey," Discussion Papers 444, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    11. Driskill, Robert & McCafferty, Stephen, 1982. "Spot and forward rates in a stochastic model of the foreign exchange market," Journal of International Economics, Elsevier, vol. 12(3-4), pages 313-331, May.
    12. McCallum, Bennett T, 1976. "Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates," Econometrica, Econometric Society, vol. 44(1), pages 43-52, January.
    13. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    14. Nerlove, Marc & Grether, David M. & Carvalho, José L., 1979. "Analysis of Economic Time Series," Elsevier Monographs, Elsevier, edition 1, number 9780125157506 edited by Shell, Karl.
    15. Cumby, Robert E. & Huizinga, John & Obstfeld, Maurice, 1983. "Two-step two-stage least squares estimation in models with rational expectations," Journal of Econometrics, Elsevier, vol. 21(3), pages 333-355, April.
    16. Dooley, Michael P & Isard, Peter, 1980. "Capital Controls, Political Risk, and Deviations from Interest-Rate Parity," Journal of Political Economy, University of Chicago Press, vol. 88(2), pages 370-384, April.
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