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European integration and the regionalization of world trade and currencies : the economics and the politics
Frankel, Jeffrey A. - In: Monetary and fiscal policy in an integrated Europe : …, (pp. 202-232). 1995
Persistent link: https://www.econbiz.de/10001289569
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Exchange rates and monetary policy
Frankel, Jeffrey A. - In: Exchange rates, capital flows, and monetary policy in a …, (pp. 1-15). 1997
Persistent link: https://www.econbiz.de/10001402022
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How to cope with volatile commodity export prices : four proposals
Frankel, Jeffrey A. - 2017
Persistent link: https://www.econbiz.de/10011759868
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How to cope with volatile commodity export prices : four proposals
Frankel, Jeffrey A. - 2017
Persistent link: https://www.econbiz.de/10011813744
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Effects of speculation and interest rates in a “carry trade” model of commodity prices
Frankel, Jeffrey A. - In: Journal of international money and finance 42 (2014), pp. 88-112
Persistent link: https://www.econbiz.de/10010371827
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Expectations and commodity price dynamics : the overshooting model
Frankel, Jeffrey A. - In: American journal of agricultural economics 68 (1986) 2, pp. 344-348
Persistent link: https://www.econbiz.de/10003552149
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Are Option-Implied Forecasts of Exchange Rate Volatility Excessively Variable?
Wei, Shang-Jin - 1991
Market participants' forecasts of future exchange rate volatility can be recovered from option contracts on foreign … currencies. Such implicit volatility forecasts for four currencies are used to test rational expectations jointly with the … version of market rationality: the market can correctly forecast the direction of the change in exchange rate volatility. This …
Persistent link: https://www.econbiz.de/10012475077
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Recent Estimates of Time-Variation in the Conditional Variance and in the Exchange Risk Premium
Frankel, Jeffrey A. - 1987
The optimal-diversification model of investors' portfolio behavior can give a linear relationship between the exchange risk premium and the conditional exchange rate variance. This note surveys recent empirical work that allows for the conditional variance itself, and therefore the risk premium,...
Persistent link: https://www.econbiz.de/10012476701
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Are Option-Implied Forecasts of Exchange Rate Volatility Excessively Variable?
Wei, Shang-Jin; Frankel, Jeffrey A. - 2021
Market participants' forecasts of future exchange rate volatility can be recovered from option contracts on foreign … currencies. Such implicit volatility forecasts for four currencies are used to test rational expectations jointly with the … version of market rationality: the market can correctly forecast the direction of the change in exchange rate volatility. This …
Persistent link: https://www.econbiz.de/10013242912
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How to cope with volatile commodity export prices : three proposals
Frankel, Jeffrey A. - In: Rethinking the macroeconomics of resource-rich countries, (pp. 35-44). 2018
Persistent link: https://www.econbiz.de/10012055906