Journal ArticleDOI
Forward and spot exchange rates
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In this paper, the authors find that most of the variation in forward rates is variation in premium, and the premium and expected future spot rate components of forward rates are negatively correlated, and they conclude that the forward market is not efficient or rational.About:
This article is published in Journal of Monetary Economics.The article was published on 1984-11-01. It has received 2217 citations till now. The article focuses on the topics: Forward exchange rate & Forward premium anomaly.read more
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Exchange Rate Predictability
Barbara Rossi,Barbara Rossi +1 more
TL;DR: The authors provides a critical review of the recent literature on exchange rate forecasting and illustrates the new methodologies and fundamentals that have been recently proposed in an up-to-date, thorough empirical analysis.
Posted Content
Currency Carry Trade Regimes: Beyond the Fama Regression
TL;DR: In this article, the authors examined the factors that account for the returns on currency carry trade strategies using a dataset of daily returns spanning 18 years for 5 different long short currency carry portfolios, and they first document a robust empirical relationship between carry trade excess returns and exchange rate volatility.
Journal ArticleDOI
Monetary policy and exchange rate overshooting: Dornbusch was right after all*
TL;DR: In this article, the authors show that a contractionary monetary policy shock has a strong effect on the exchange rate, which appreciates on impact, and the maximum effect occurs within 1-2 quarters, and exchange rate thereafter gradually depreciates to baseline, consistent with the Dornbusch overshooting hypothesis.
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Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle
TL;DR: The authors provide empirical evidence that deviations from the uncovered interest rate parity (UIP) condition display significant nonlinearities, consistent with theories based on transactions costs or limits to speculation, and reconcile these results with the large empirical literature on the forward bias puzzle since they show that, if the true process of UIP deviations were of the nonlinear form we consider, estimation of conventional spot forward regressions would generate the anomalies documented in previous research.
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The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets
TL;DR: In this paper, the mean-variance model of conditional second moments of returns is used to determine whether these joint fluctuations of conditional first and second moments are consistent with the Sharpe-Lintner-Mossin capital-asset-pricing model.
References
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Journal ArticleDOI
Capital asset prices: a theory of market equilibrium under conditions of risk*
TL;DR: In this paper, the authors present a body of positive microeconomic theory dealing with conditions of risk, which can be used to predict the behavior of capital marcets under certain conditions.
Book ChapterDOI
The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets
TL;DR: In this article, the problem of selecting optimal security portfolios by risk-averse investors who have the alternative of investing in risk-free securities with a positive return or borrowing at the same rate of interest and who can sell short if they wish is discussed.
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An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
TL;DR: In this paper, a method of estimating the parameters of a set of regression equations is reported which involves application of Aitken's generalized least-squares to the whole system of equations.
Journal ArticleDOI
Asset prices in an exchange economy
TL;DR: In this article, the authors examine the stochastic behavior of equilibrium asset prices in a one-good, pure exchange economy with identical consumers, and derive a functional equation for price as a function of the physical state of the economy.
Journal ArticleDOI
An intertemporal asset pricing model with stochastic consumption and investment opportunities
TL;DR: In this paper, the authors derived a single-beta asset pricing model in a multi-good, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunities.