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Testing for uncovered interest parity conditions in a small open economy : a state space modelling approach
Bhatta, Guna Raj; Nepal, Rabindra; Harvie, Charles; … - 2021
Persistent link: https://www.econbiz.de/10012586476
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Currency forecast errors and carry trades at times of low interest rates : evidence from survey data on the yen/dollar exchange rate
MacDonald, Ronald; Nagayasu, Jun - In: Journal of international money and finance 53 (2015), pp. 1-19
Persistent link: https://www.econbiz.de/10011475902
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An explanation of the forward premium 'puzzle'
Roll, Richard; Yan, Shu - In: European financial management : the journal of the … 6 (2000) 2, pp. 121-148
Persistent link: https://www.econbiz.de/10001474526
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A Sentiment-Based Explanation of the Forward Premium Puzzle
Yu, Jianfeng - 2015
A sentiment-based model of the exchange rate is proposed to understand the forward premium puzzle. Agents over- or underestimate the growth rate of the economy. All else equal, when perceived domestic growth is higher than perceived foreign growth, the domestic interest rate is higher than the...
Persistent link: https://www.econbiz.de/10013039206
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Testing for the uncovered interest parity condition in a small open economy : a state space modelling approach
Bhatta, Guna Raj; Nepal, Rabindra; Harvie, Charles; … - In: Journal of Asian economics 82 (2022), pp. 1-25
Persistent link: https://www.econbiz.de/10013550024
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Interest parity, cointegration, and the term structure : testing in an integrated framework
Georgoutsos, Demetris A.; Kouretas, Georgios P. - In: International review of financial analysis 46 (2016), pp. 281-294
Persistent link: https://www.econbiz.de/10011582102
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Asymmetric causality between exchange rate and interest rate differentials : a test of international capital mobility
Jauhari Dahalan; Mohammed, Umar - In: International journal of globalisation and small … 9 (2017) 1, pp. 70-79
Persistent link: https://www.econbiz.de/10011803124
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Essays on credit risk and credit derivatives
Bajlum, Claus - 2008
Persistent link: https://www.econbiz.de/10003761742
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Do movements in the forward discount on the Australian dollar predict movements in domestic interest rates? : Evidence from a time series analysis of covered interest parity in Aus...
Karfakis, Costas I. - In: Australian economic papers 33 (1994) 62, pp. 62-74
Persistent link: https://www.econbiz.de/10001177657