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An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets
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Cited by:
- Lucio Sarno & Giorgio Valente & Hyginus Leon, 2006.
"Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle,"
Review of Finance, European Finance Association, vol. 10(3), pages 443-482, September.
- Sarno, Lucio & Valente, Giorgio & Leon, Hyginus, 2006. "Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," CEPR Discussion Papers 5527, C.E.P.R. Discussion Papers.
- Giorgio Valente & Mr. Gene L. Leon & Lucio Sarno, 2006. "Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," IMF Working Papers 2006/136, International Monetary Fund.
- Nelson R. Ramírez-Rondán & Marco E. Terrones, 2024.
"Uncertainty and the uncovered interest parity condition: How are they related?,"
Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 160(4), pages 1505-1542, November.
- N.R. Ramírez-Rondán & Marco E. Terrones, 2019. "Uncertainty and the Uncovered Interest Parity Condition: How Are They Related?," Working Papers 156, Peruvian Economic Association.
- Ramirez-Rondan, N.R. & Terrones, Marco E., 2019. "Uncertainty and the Uncovered Interest Parity Condition: How Are They Related?," MPRA Paper 97524, University Library of Munich, Germany.
- Gurdip Bakshi & Xiaohui Gao & George Panayotov, 2021. "A Theory of Dissimilarity Between Stochastic Discount Factors," Management Science, INFORMS, vol. 67(7), pages 4602-4622, July.
- Raj Aggarwal & Sijing Zong, 2008. "Behavioral Biases in Forward Rates as Forecasts of Future Exchange Rates: Evidence of Systematic Pessimism and Under-Reaction," Multinational Finance Journal, Multinational Finance Journal, vol. 12(3-4), pages 241-277, September.
- Gautam Goswami & Milind Shrikhande & Liuren Wu, 2002. "A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs," Finance 0207016, University Library of Munich, Germany.
- P. Sercu, 2005. "The Exchange Rate and Purchasing Power Parity in Arbitrage-Free Models of Asset Pricing," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(5), pages 825-854.
- Bansal, Ravi & Dahlquist, Magnus, 2000.
"The forward premium puzzle: different tales from developed and emerging economies,"
Journal of International Economics, Elsevier, vol. 51(1), pages 115-144, June.
- Bansal, Ravi & Dahlquist, Magnus, 1999. "The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies," CEPR Discussion Papers 2169, C.E.P.R. Discussion Papers.
- Baillie, Richard T. & Kilic, Rehim, 2006. "Do asymmetric and nonlinear adjustments explain the forward premium anomaly?," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 22-47, February.
- Apte, Prakash & Sercu, Piet & Uppal, Raman, 2004.
"The exchange rate and purchasing power parity: extending the theory and tests,"
Journal of International Money and Finance, Elsevier, vol. 23(4), pages 553-571, June.
- Uppal, Raman & Sercu, Piet & Apte, Prakesh, 2002. "The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests," CEPR Discussion Papers 3343, C.E.P.R. Discussion Papers.
- Emmanuel Farhi & Xavier Gabaix, "undated".
"Rare Disasters and Exchange Rates,"
Working Paper
71001, Harvard University OpenScholar.
- Gabaix, Xavier & Farhi, Emmanuel, 2015. "Rare Disasters and Exchange Rates," CEPR Discussion Papers 10334, C.E.P.R. Discussion Papers.
- Emmanuel Farhi, 2008. "Rare Disasters and Exchange Rates," 2008 Meeting Papers 47, Society for Economic Dynamics.
- Emmanuel Farhi & Xavier Gabaix, 2008. "Rare Disasters and Exchange Rates," NBER Working Papers 13805, National Bureau of Economic Research, Inc.
- Lucio Sarno, 2005.
"Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand?,"
Canadian Journal of Economics, Canadian Economics Association, vol. 38(3), pages 673-708, August.
- Lucio Sarno, 2005. "Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand?," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 38(3), pages 673-708, August.
- Basak, Suleyman & Croitoru, Benjamin, 2007. "International good market segmentation and financial innovation," Journal of International Economics, Elsevier, vol. 71(2), pages 267-293, April.
- David K. Backus & Federico Gavazzoni & Christopher Telmer & Stanley E. Zin, 2010. "Monetary Policy and the Uncovered Interest Parity Puzzle," NBER Working Papers 16218, National Bureau of Economic Research, Inc.
- Matti Suominen & Petri Jylhä, 2009. "Arbitrage Capital and Currency Carry Trade Returns," 2009 Meeting Papers 84, Society for Economic Dynamics.
- Sercu, Piet & Vandebroek, Martina & Wu, Xueping, 2008. "Is the forward bias economically small? Evidence from European rates," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1284-1302, December.
- Han, Bing & Hirshleifer, David & Wang, Tracy Yue, 2005.
"Investor Overconfidence and the Forward Discount Puzzle,"
Working Paper Series
2005-21, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Tracy Yue Wang & David Hirshleifer & Bing Han, 2010. "Investor Overconfidence and the Forward Discount Puzzle," 2010 Meeting Papers 1201, Society for Economic Dynamics.
- Han, Bing & Hirshleifer, David & Wang, Tracy, 2005. "Investor Overconfidence and the Forward Discount Puzzle," MPRA Paper 6497, University Library of Munich, Germany, revised Dec 2007.
- Hassan, Ramin & Loualiche, Erik & Pecora, Alexandre R. & Ward, Colin, 2023. "International trade and the risk in bilateral exchange rates," Journal of Financial Economics, Elsevier, vol. 150(2).
- Perron, Pierre & Wada, Tatsuma, 2009.
"Let's take a break: Trends and cycles in US real GDP,"
Journal of Monetary Economics, Elsevier, vol. 56(6), pages 749-765, September.
- Pierre Perron† & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP?," Boston University - Department of Economics - Working Papers Series WP2005-031, Boston University - Department of Economics, revised Oct 2005.
- Pierre Perron & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP," Boston University - Department of Economics - Working Papers Series wp2009-006, Boston University - Department of Economics, revised Feb 2009.
- Tom Doan, "undated". "RATS programs to replicate Perron-Wada state space model," Statistical Software Components RTZ00133, Boston College Department of Economics.
- Robert Ready & Nikolai Roussanov & Colin Ward, 2017.
"Commodity Trade and the Carry Trade: A Tale of Two Countries,"
Journal of Finance, American Finance Association, vol. 72(6), pages 2629-2684, December.
- Nikolai Roussanov & Robert Ready, 2012. "Commodity Trade and the Carry Trade: a Tale of Two Countries," 2012 Meeting Papers 817, Society for Economic Dynamics.
- Robert Ready & Nikolai Roussanov & Colin Ward, 2013. "Commodity Trade and the Carry Trade: a Tale of Two Countries," NBER Working Papers 19371, National Bureau of Economic Research, Inc.
- Derek Bond & Michael J. Harrison & Niall Hession & Edward J. O'Brien, 2006.
"Some Empirical Observations on the Forward Exchange Rate Anomaly,"
Trinity Economics Papers
tep2006, Trinity College Dublin, Department of Economics.
- 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.
- Basak, Suleyman & Croitoru, Benjamin, 2003. "International Good Market Segmentation and Financial Market Structure," CEPR Discussion Papers 4060, C.E.P.R. Discussion Papers.
- Sercu, Piet & Vinaimont, Tom, 2006. "The forward bias in the ECU: Peso risks vs. fads and fashions," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2409-2432, August.
- Jylhä, Petri & Suominen, Matti, 2011. "Speculative capital and currency carry trades," Journal of Financial Economics, Elsevier, vol. 99(1), pages 60-75, January.
- Yang, Jian & Bessler, David A. & Leatham, David J., 2000.
"The Law Of One Price: Developed And Developing Country Market Integration,"
Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 32(3), pages 1-12, December.
- Yang, Jian & Bessler, David A. & Leatham, David J., 2000. "The Law of One Price: Developed and Developing Country Market Integration," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 32(3), pages 429-440, December.
- Ready, Robert & Roussanov, Nikolai & Ward, Colin, 2017. "After the tide: Commodity currencies and global trade," Journal of Monetary Economics, Elsevier, vol. 85(C), pages 69-86.
- Sercu, Piet & Vandebroek, Martina, 2005. "What UIP tests on extreme samples reveal about the missing variable," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1237-1260, December.
- Baillie, Richard T. & Kilic, Rehim, 2006.
"Do asymmetric and nonlinear adjustments explain the forward premium anomaly?,"
Journal of International Money and Finance, Elsevier, vol. 25(1), pages 22-47, February.
- Richard T. Baillie & Rehim Kilic, 2005. "Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly?," Working Papers 543, Queen Mary University of London, School of Economics and Finance.
- Richard T. Baillie & Rehim Kilic, 2005. "Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly?," Working Papers 543, Queen Mary University of London, School of Economics and Finance.
- Kumar, Satish, 2019. "Does risk premium help uncover the uncovered interest parity failure?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).