Risk, Uncertainty and Exchange Rates

Citations

Cited by:

1. Feenstra, Robert C. & Kendall, Jon D., 1997. "Pass-through of exchange rates and purchasing power parity," Journal of International Economics, Elsevier, vol. 43(1-2), pages 237-261, August.
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2. Baillie, Richard T. & Diebold, Francis X. & Kapetanios, George & Kim, Kun Ho, 2023. "A new test for market efficiency and uncovered interest parity," Journal of International Money and Finance, Elsevier, vol. 130(C).
   • Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim, 2022. "A New Test for Market Efficiency and Uncovered Interest Parity," NBER Working Papers 30638, National Bureau of Economic Research, Inc.
   • Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim, 2022. "A New Test forMarket Efficiency and Uncovered Interest Parity," PIER Working Paper Archive 22-029, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
   • Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim, 2022. "A New Test for Market Efficiency and Uncovered Interest Parity," Papers 2211.01344, arXiv.org.
3. Dumas, Bernard & Solnik, Bruno, 1995. "The World Price of Foreign Exchange Risk," Journal of Finance, American Finance Association, vol. 50(2), pages 445-479, June.
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4. Syed Hassan & Sarosh Shabi & Taufiq Choudhry, 2018. "Asymmetry, Uncertainty and International Trade," Working Papers 2018-24, Swansea University, School of Management.
5. Georges Prat & Remzi Uctum, 2012. "Modeling the horizon-dependent risk premium in the forex market: evidence from survey data," EconomiX Working Papers 2012-29, University of Paris Nanterre, EconomiX.
6. Vitale, Paolo & Rime, Dagfinn & Breedon, Francis, 2010. "A Transaction Data Study of the Forward Bias Puzzle," CEPR Discussion Papers 7791, C.E.P.R. Discussion Papers.
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7. Heejoon Han & Dennis Kristensen, 2014. "Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 416-429, July.
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   • Heejoon Han & Dennis Kristensen, 2013. "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers CWP18/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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14. repec:adr:anecst:y:1991:i:24:p:01 is not listed on IDEAS
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25. René Garcia & Maral Kichian, 2000. "Modelling Risk Premiums in Equity and Foreign Exchange Markets," Staff Working Papers 00-9, Bank of Canada.
26. Beckmann, Joscha & Czudaj, Robert, 2017. "The impact of uncertainty on professional exchange rate forecasts," Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 296-316.
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27. Georges Prat & Remzi Uctum, 2008. "The dynamics of ex-ante risk premia in the foreign exchange market: Evidence from the yen/usd exchange rate Using survey data," Working Papers hal-04140761, HAL.
28. Stuart Landon & Constance E. Smith, 2003. "The Risk Premium, Exchange Rate Expectations, and the Forward Exchange Rate: Estimates for the Yen–Dollar Rate," Review of International Economics, Wiley Blackwell, vol. 11(1), pages 144-158, February.
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29. Juan-Ángel Jiménez-Martín & Rodrigo Peruga Urrea, 2004. "Macroeconomic and policy uncertainty and Exchange rate risk Premium," Documentos de Trabajo del ICAE 0412, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
30. Hu, Xiaoqiang, 1997. "Macroeconomic uncertainty and the risk premium in the foreign exchange market1," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 699-718, September.
31. Francis Breedon & Dagfinn Rime & Paolo Vitale, 2016. "Carry Trades, Order Flow, and the Forward Bias Puzzle," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(6), pages 1113-1134, September.
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32. Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 3-26, February.
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