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The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence
TLDR
A survey of advances in this area since the publication of Hodrick's (1987) survey is presented in this paper, with a focus on the relationship between uncovered interest parity and real interest parity.Citations
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The Microstructure Approach to Exchange Rates
TL;DR: In this paper, the authors focus on the economics of financial information and how microstructure tools help to clarify the types of information most relevant to exchange rates, and show how exchange-rate behavior previously thought to be particularly puzzling can be explained using the micro-structure approach.
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Carry Trades and Currency Crashes
TL;DR: This article showed that carry traders are subject to crash risk, i.e. exchange rate movements between high-interest-rate and low-interest rate currencies are negatively skewed, due to sudden unwinding of carry trades, which tend to occur in periods in which risk appetite and funding liquidity decrease.
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Exchange Rates and Economic Fundamentals: A Methodological Comparison of Beers and Feers
TL;DR: The analysis of exchange rate behavior has been a perennial topic in international monetary economics as discussed by the authors, and one strand of this literature relates to the explanation of observed movements in nominal and real exchange rates in terms of relevant economic variables, while another strand focuses on assessing exchange rates relative to economic fundamentals and coming to a judgement as to whether a particular exchange rate is misaligned, i.e., over- or undervalued.
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NBER Macroeconomics Annual 2000
TL;DR: The NBER Macroeconomics Annual as discussed by the authors presents, extends, and applies pioneering work in macroeconomics and stimulates work by macroeconomists on important policy issues, each paper in the Annual is followed by comments and discussion.
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Affine Term Structure Models and the Forward Premium Anomaly
TL;DR: In this article, the authors characterize the forward premium anomaly in the context of affine models of the term structure of interest rates and find the quantitative properties of either alternative to have important shortcomings.
References
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Journal ArticleDOI
Co-integration and Error Correction: Representation, Estimation and Testing
TL;DR: The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples.
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Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev,Tim Bollerslev +1 more
TL;DR: In this paper, a natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in 1982 to allow for past conditional variances in the current conditional variance equation is proposed.
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Statistical analysis of cointegration vectors
TL;DR: In this paper, the authors consider a nonstationary vector autoregressive process which is integrated of order 1, and generated by i.i.d. Gaussian errors, and derive the maximum likelihood estimator of the space of cointegration vectors and the likelihood ratio test of the hypothesis that it has a given number of dimensions.
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