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Uncertainty and deviations from uncovered interest rate parity
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Cited by:
- Yamani, Ehab, 2019. "Diversification role of currency momentum for carry trade: Evidence from financial crises," Journal of Multinational Financial Management, Elsevier, vol. 49(C), pages 1-19.
- Rossi, Barbara & Odendahl, Florens & Sekhposyan, Tatevik, 2020. "Comparing Forecast Performance with State Dependence," CEPR Discussion Papers 15217, C.E.P.R. Discussion Papers.
- Muhammad Omer & Jakob de Haan & Bert Scholtens, 2019.
"Does Uncovered Interest Rate Parity Hold After All?,"
Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 24(2), pages 49-72, July-Dec.
- Muhammad Omer & Jakob de Haan & Bert Scholtens, 2013. "Does Uncovered Interest Rate Parity Hold After All?," SBP Working Paper Series 57, State Bank of Pakistan, Research Department.
- Omer, Muhammad & de Haan, Jakob & Scholtens, Bert, 2013. "Does Uncovered Interest rate Parity Hold After All?," MPRA Paper 47572, University Library of Munich, Germany.
- Lu Yang & Lei Yang & Xue Cui, 2023. "Sovereign default network and currency risk premia," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-22, December.
- Nicolas Himounet & Francisco Serranito & Julien Vauday, 2021.
"Uncertainty is bad for Business. Really?,"
Working Papers
2021.03, International Network for Economic Research - INFER.
- Francisco Serranito & Nicolas Himounet & Julien Vauday, 2023. "Uncertainty is bad for Business. Really?," Working Papers hal-04219283, HAL.
- Francisco Serranito & Nicolas Himounet & Julien Vauday, 2023. "Uncertainty is bad for Business. Really?," EconomiX Working Papers 2023-26, University of Paris Nanterre, EconomiX.
- Andrea Carolina Vargas-Páez & Carlos David Ardila-Dueñas, 2021. "Efecto del riesgo de tipo de cambio en la rentabilidad de los bonos soberanos en Colombia," Borradores de Economia 1165, Banco de la Republica de Colombia.
- Himounet, Nicolas, 2022.
"Searching the nature of uncertainty: Macroeconomic and financial risks VS geopolitical and pandemic risks,"
International Economics, Elsevier, vol. 170(C), pages 1-31.
- Nicolas Himounet, 2021. "Searching for the Nature of Uncertainty: Macroeconomic VS Financial," Working Papers 2021.05, International Network for Economic Research - INFER.
- Engel, Charles & Kazakova, Katya & Wang, Mengqi & Xiang, Nan, 2022.
"A reconsideration of the failure of uncovered interest parity for the U.S. dollar,"
Journal of International Economics, Elsevier, vol. 136(C).
- Charles Engel & Ekaterina Kazakova & Mengqi Wang & Nan Xiang, 2021. "A Reconsideration of the Failure of Uncovered Interest Parity for the US Dollar," NBER Chapters, in: NBER International Seminar on Macroeconomics 2021, National Bureau of Economic Research, Inc.
- Charles Engel & Ekaterina Kazakova & Mengqi Wang & Nan Xiang, 2021. "A Reconsideration of the Failure of Uncovered Interest Parity for the U.S. Dollar," NBER Working Papers 28420, National Bureau of Economic Research, Inc.
- Engel, Charles & Kazakova, Ekaterina & Wang, Mengqi & Xiang, Nan, 2021. "A Reconsideration of the Failure of Uncovered Interest Parity for the U.S. Dollar," CEPR Discussion Papers 15872, C.E.P.R. Discussion Papers.
- Cheung, Yin-Wong & Wang, Wenhao, 2022.
"Uncovered interest rate parity redux: Non-uniform effects,"
Journal of Empirical Finance, Elsevier, vol. 67(C), pages 133-151.
- Yin-Wong Cheung & Wenhao Wang, 2020. "Uncovered Interest Rate Parity Redux: Non- Uniform Effects," GRU Working Paper Series GRU_2020_004, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
- Paolo Manasse & Graziano Moramarco & Giulio Trigilia, 2024.
"Exchange rates and political uncertainty: the Brexit case,"
Economica, London School of Economics and Political Science, vol. 91(362), pages 621-652, April.
- P. Manasse & G. Moramarco & G. Trigilia, 2020. "Exchange Rates and Political Uncertainty: The Brexit Case," Working Papers wp1141, Dipartimento Scienze Economiche, Universita' di Bologna.
- David Alaminos & M. Belén Salas & Manuel Á. Fernández-Gámez, 2023. "Quantum Monte Carlo simulations for estimating FOREX markets: a speculative attacks experience," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-21, December.
- Stylianos Asimakopoulos & Marco Lorusso & Francesco Ravazzolo, 2023.
"A Bayesian DSGE Approach to Modelling Cryptocurrency","
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 1012-1035, December.
- Stylianos Asimakopoulos & Marco Lorusso & Francesco Ravazzolo, 2023. "A Bayesian DSGE Approach to Modelling Cryptocurrency," Working Papers No 09/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Ulm, M. & Hambuckers, J., 2022. "Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 125-148.
- Yamani, Ehab, 2021. "Foreign exchange market efficiency and the global financial crisis: Fundamental versus technical information," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 74-89.
- Marek A. Dąbrowski & Jakub Janus, 2024.
"Does the Interest Parity Puzzle Hold for Central and Eastern European Economies?,"
Open Economies Review, Springer, vol. 35(3), pages 421-456, July.
- Dąbrowski, Marek A. & Janus, Jakub, 2021. "Does the interest parity puzzle hold for Central and Eastern European economies?," MPRA Paper 107558, University Library of Munich, Germany.
- Beckmann, Joscha, 2021. "Measurement and effects of euro/dollar exchange rate uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 773-790.
- Jamie L. Cross & Chenghan Hou & Aubrey Poon, 2018. "International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach," Working Papers No 12/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Ziyun Zhang & Sen Guo, 2021. "What Factors Affect the RMB Carry Trade Return for Sustainability? An Empirical Analysis by Using an ARDL Model," Sustainability, MDPI, vol. 13(24), pages 1-19, December.
- Matthieu Bussière & Menzie Chinn & Laurent Ferrara & Jonas Heipertz, 2022.
"The New Fama Puzzle,"
IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 70(3), pages 451-486, September.
- Matthieu Bussiere & Menzie D. Chinn & Laurent Ferrara & Jonas Heipertz, 2018. "The New Fama Puzzle," NBER Working Papers 24342, National Bureau of Economic Research, Inc.
- Matthieu Bussière & Menzie Chinn & Laurent Ferrara & Jonas Heipertz, 2022. "The New Fama Puzzle," Post-Print hal-04459560, HAL.
- 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.
- Gole, Purva & Perego, Erica & Turcu, Camelia, 2024.
"UIP deviations in times of uncertainty: Not all countries behave alike,"
Economics Letters, Elsevier, vol. 242(C).
- Purva Gole & Erica Perego & Camelia Turcu, 2024. "UIP Deviations in Times of Uncertainty: Not all Countries Behave Alike," Working Papers 2024-09, CEPII research center.
- Purva Gole & Erica Perego & Camelia Turcu, 2024. "UIP deviations in times of uncertainty: not all countries behave alike," Working Papers 2024.5, International Network for Economic Research - INFER.
- Hambuckers, J. & Ulm, M., 2023. "On the role of interest rate differentials in the dynamic asymmetry of exchange rates," Economic Modelling, Elsevier, vol. 129(C).
- Chen, Yanghan & Lin, Juan, 2024. "Measuring systemic risk in Asian foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 146(C).
- Erdem, F. Pinar & Geyikci, Utku Bora, 2021. "Local, global and regional shocks indices in emerging exchange rate markets," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 98-113.
- FATUM, Rasmus & YAMAMOTO, Yohei & CHEN, Binwei, 2023. "The Trend Effect of Foreign Exchange Intervention," Discussion paper series HIAS-E-132, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
- Fernanda Gonçalves & Giuliano Ferreira & Alex Ferreira & Pedro Scatimburgo, 2022. "Currency returns and systematic risk," Manchester School, University of Manchester, vol. 90(6), pages 609-647, December.
- Aristidou, Chrystalleni & Lee, Kevin & Shields, Kalvinder, 2022. "Fundamentals, regimes and exchange rate forecasts: Insights from a meta exchange rate model," Journal of International Money and Finance, Elsevier, vol. 123(C).
- Laurent Ferrara & Joseph Yapi, 2022.
"Measuring exchange rate risks during periods of uncertainty,"
International Economics, CEPII research center, issue 170, pages 202-212.
- Ferrara, Laurent & Yapi, Joseph, 2022. "Measuring exchange rate risks during periods of uncertainty," International Economics, Elsevier, vol. 170(C), pages 202-212.
- Laurent Ferrara & Joseph Yapi, 2020. "Measuring exchange rate risks during periods of uncertainty," CAMA Working Papers 2020-60, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Zhang, Ziyun & Chen, Su & Li, Bo, 2022. "Does previous carry trade position affect following investors' decision-making and carry returns?," International Review of Financial Analysis, Elsevier, vol. 80(C).
- Husted, Lucas & Rogers, John & Sun, Bo, 2018.
"Uncertainty, currency excess returns, and risk reversals,"
Journal of International Money and Finance, Elsevier, vol. 88(C), pages 228-241.
- Lucas F. Husted & John H. Rogers & Bo Sun, 2017. "Uncertainty, Curreny Exess Returns, and Risk Reversals," International Finance Discussion Papers 1196, Board of Governors of the Federal Reserve System (U.S.).
- Gholipour, Hassan F. & Tajaddini, Reza & Farzanegan, Mohammad Reza & Yam, Sharon, 2021. "Responses of REITs index and commercial property prices to economic uncertainties: A VAR analysis," Research in International Business and Finance, Elsevier, vol. 58(C).
- Simiso MSOMI & Harold NGALAWA, 2023. "The Movement of Exchange Rate and Expected Income: Case of South Africa," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 7(2), pages 65-89.
- 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).