Cointegration and Forward and Spot Exchange Rate Regressions
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Citations
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"Testing for efficiency in selected developing foreign exchange markets: An equilibrium-based approach,"
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- Nikolaos Giannellis & Athanasios Papadopoulos, 2006. "Testing for Efficiency in Selected Developing Foreign Exchange Markets: An Equilibrium-Based Approach," Working Papers 0717, University of Crete, Department of Economics.
- Chinn, Menzie D. & Meredith, Guy, 2000.
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- Chinn, Menzie D. & Meredith, Guy, 2000. "Testing Uncovered Interest Parity at Short and Long Horizons," Discussion Paper Series 26355, Hamburg Institute of International Economics.
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- Neil Kellard & Paul Newbold & Tony Rayner, 2001. "Evaluating currency market efficiency: are cointegration tests appropriate?," Applied Financial Economics, Taylor & Francis Journals, vol. 11(6), pages 681-691.
- Wagner, Christian, 2012.
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- Wagner, Christian, 2009. "Risk-Premia, Carry-Trade Dynamics, and Economic Value of Currency Speculation," MPRA Paper 21125, University Library of Munich, Germany.
- Derek Bond & Michael J. Harrison & Niall Hession & Edward J. O'Brien, 2006.
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- Bond, Derek & Harrison, Michael J & Hession, Niall & O’Brien, Edward J., 2006. "Some Empirical Observations on the Forward Exchange Rate Anomaly," Research Technical Papers 3/RT/06, Central Bank of Ireland.
- Chigira, Hiroaki, 2006.
"A test of serial independence of deviations from cointegrating relations,"
Economics Letters, Elsevier, vol. 92(1), pages 52-57, July.
- Hiroaki Chigira, 2005. "A Test of Serial Independence of Deviations from Cointegrating Relations," Hi-Stat Discussion Paper Series d04-69, Institute of Economic Research, Hitotsubashi University.
- Menzie D. Chinn & Guy Meredith, 2005. "Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era," NBER Working Papers 11077, National Bureau of Economic Research, Inc.
- Clinton Watkins & Michael McAleer, 2006.
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- Clinton Watkins & Michael McAleer, 2003. "Pricing of Non-ferrous Metals Futures on the London Metal Exchange," CIRJE F-Series CIRJE-F-213, CIRJE, Faculty of Economics, University of Tokyo.
- Ali Kutan & Su Zhou, 2003.
"Has the Link Between the Spot and Forward Exchange Rates Broken Down? Evidence from Rolling Cointegration Tests,"
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- Kutan, Ali M. & Zhou, Su, 2002. "Has the link between the spot and forward exchange rates broken down? Evidence from rolling cointegration tests," ZEI Working Papers B 08-2002, University of Bonn, ZEI - Center for European Integration Studies.
- David McMillan, 2005. "Cointegrating behaviour between spot and forward exchange rates," Applied Financial Economics, Taylor & Francis Journals, vol. 15(16), pages 1135-1144.
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- Wolff, Christian & Bams, Dennis & Walkowiak, Kim, 2003. "More Evidence on the Dollar Risk Premium in the Foreign Exchange Market," CEPR Discussion Papers 3726, C.E.P.R. Discussion Papers.
- Sofiane Sekioua, 2004. "The forward unbiasedness hypothesis and the forward premium: a nonlinear analysis," Money Macro and Finance (MMF) Research Group Conference 2003 85, Money Macro and Finance Research Group.
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More about this item
Keywords
cointegration; exchange rates; forward rate unbiasedness; weak exogeneity;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- F31 - International Economics - - International Finance - - - Foreign Exchange
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-1999-02-22 (Econometrics)
- NEP-ETS-1999-02-15 (Econometric Time Series)
- NEP-IFN-1999-02-15 (International Finance)
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