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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Risk, Policy Rules, and Noise: Rethinking Deviations from Uncovered Interest Parity
Nelson C. Mark,Yangru Wu +1 more
TL;DR: In this article, the authors examined the ability of three models to account for the data, including the standard representative-agent asset pricing model, monetary policy with exchange-rate feedback, and a model of noise trading.
Journal ArticleDOI
Market leader: the Austro-Hungarian Bank and the making of foreign exchange intervention, 1896–1913
TL;DR: In this paper, the central bank of Austria-Hungary used sophisticated instruments such as foreign exchange forward and repo contracts and a quest for market dominance both with respect to reserves held and the share in market turnover.
Journal ArticleDOI
A dymimic model of forward foreign exchange risk, with estimates for three major exchange rates
TL;DR: In this paper, the authors model the risk premi um as a latent variable depending upon domestic and foreign asset volatility, using an unobservable component framework, and obtain estimates of the model for dollar-sterling, dollar-Swiss franc and dollar-Japan ese yen, obtained by maximum likelihood Kalman filtering techniques.
Journal ArticleDOI
The Performance of NDF Carry Trades
John A. Doukas,Hao Zhang +1 more
TL;DR: In this paper, the performance of carry trade strategies for currencies with non-deliverable forward (NDF) contracts was investigated and it was shown that carry trades for currencies having NDF contracts are associated with higher Sharpe ratios compared to carry trades with deliverable forward contracts.
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Foreign debt and financial hedging: Evidence from Australia
Hoa L. Nguyen,Robert W. Faff +1 more
TL;DR: This article investigated the role of foreign currency denominated debt (FCDD) as a natural hedging instrument using a sample of Australian firms and found that the incidence of foreign debt use among industrial sector firms is associated with a lower level of exchange rate exposure.
References
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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.
Journal ArticleDOI
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.