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Simultaneous inference on the Korean Won-US Dollar forward premium anomaly

Kim, Jinyong - In: International economic journal 37 (2023) 1, pp. 82-92

Persistent link: https://www.econbiz.de/10014294911

The forward premium anomaly and the currency carry trade hypothesis

Elias, Nikolaos; Smyrnakis, Dimitris; Tzavalis, Elias - In: The quarterly review of economics and finance 95 (2024), pp. 203-218

Persistent link: https://www.econbiz.de/10014631499

Affine Models of Currency Pricing

Backus, David K.; Foresi, Silverio; Telmer, Chris - 2021

-varying risk premium, but theory has been largely unsuccessful in producing a risk premium with the requisite properties. We … characterize the risk premium in a general arbitrage-free setting and describe the features a theory must have to account for the …

Persistent link: https://www.econbiz.de/10013228018

How puzzling is the forward premium puzzle? : a meta-analysis

Zigraiova, Diana; Havránek, Tomáš; Havránková, Zuzana - 2021

Persistent link: https://www.econbiz.de/10012482976

Exchange rate undershooting : evidence and theory

Müller, Gernot J.; Wolf, Martin; Hettig, Thomas - 2019

Persistent link: https://www.econbiz.de/10012127137

FX Funding Risks and Exchange Rate Volatility–Korea’s Case

Ree, Jack - 2012

This paper examines how exchange rate volatility and Korean banks’ foreign exchange liquidity mismatches interacted with each other during the Global Financial Crisis, and whether the vulnerability stemming from this interaction has been reduced since then. Structural and cyclical changes...