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Structural breaks in the forward premium : the 2008 financial crisis puzzle

Croonenbroeck, Carsten; Ambach, Daniel - In: The empirical economics letters : a monthly … 16 (2017) 7, pp. 707-718

Persistent link: https://www.econbiz.de/10011803539

An analysis of forward exchange rate biasedness across developed and developing country currencies : do observed patterns persist out of sample?

Loring, Grace; Lucey, Brian M. - In: Emerging markets review 17 (2013), pp. 14-28

Persistent link: https://www.econbiz.de/10010243128

Forward premium anomaly of the British pound and the euro

Grossmann, Axel; Lee, Allissa A.; Simpson, Marc W. - In: International review of financial analysis 34 (2014), pp. 140-156

Persistent link: https://www.econbiz.de/10010528461

Can signal extraction help predict risk premia in foreign exchange rates

Kiani, Khurshid M. - In: Economic modelling 33 (2013), pp. 926-939

Persistent link: https://www.econbiz.de/10010195543

An examination of the forward prediction error of US dollar exchange rates and how they are related to bid-ask spreads, purchasing power parity disequilibria, and forward premium a...

Simpson, Marc W.; Grossmann, Axel - In: The North American journal of economics and finance : a … 28 (2014), pp. 221-238

Persistent link: https://www.econbiz.de/10010461953

Survey data on exchange-rate expectations : more currencies, more horizons, more tests

Chinn, Menzie David; Frankel, Jeffrey A. - In: Monetary policy, capital flows and exchange rates : …, (pp. 145-167). 2002

Persistent link: https://www.econbiz.de/10001751740

Time-varying risk premia and the efficiency of the New Zealand foreign exchange market

Margaritis, Dimitris; Teo, Phay-hoon - 1991

Persistent link: https://www.econbiz.de/10000914878

Forecasting Forward Exchange Rate Risk Premium in Singapore Dollar/US Dollar Exchange Rate Market

Kiani, Khurshid M. - 2009

In this research, monthly forward exchange rates are evaluated for possible existence of time varying risk premia in Singapore forward foreign exchange rates against US dollar. The time varying risk premia in Singapore dollar is modeled using non-Gaussian signal plus noise models that encompass...

Persistent link: https://www.econbiz.de/10013154959

Trend shifts in the forward premium and the predictability of excess returns in currency markets

Cho, Dooyeon; Chun, Sungju - In: Applied economics 49 (2017) 18, pp. 1821-1832

Persistent link: https://www.econbiz.de/10011815429

Great expectations? : evidence from Colombia’s exchange rate survey

Echavarría Soto, Juan José; Villamizar, Mauricio - In: Latin American economic review : LAER ; official … 25 (2016), pp. 1-27

In this paper, we use the largest exchange rate survey in Colombia to test for the rational expectations hypothesis, the presence of a time-varying risk premium and the accuracy of exchange rate forecasts. Our findings indicate that episodes of exchange rate appreciation preceded expectations of...

Persistent link: https://www.econbiz.de/10011885644