The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence

[1]  S. Johansen STATISTICAL ANALYSIS OF COINTEGRATION VECTORS , 1988 .

[2]  Sanjay Srivastava,et al.  An Investigation of Risk and Return in Forward Foreign Exchange , 1983 .

[3]  Martin D.D. Evans,et al.  Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia? , 1995 .

[4]  Kunio Okina,et al.  On the Risk Premium in the Foreign Exchange Market , 1987 .

[5]  Ravi Jagannathan,et al.  Implications of Security Market Data for Models of Dynamic Economies , 1990, Journal of Political Economy.

[6]  Shinji Takagi,et al.  Exchange Rate Expectations: A Survey of Survey Studies , 1990, SSRN Electronic Journal.

[7]  K. Lewis Inflation risk and asset market disturbances: The mean-variance model revisited , 1988 .

[8]  Tim Bollerslev,et al.  The long memory of the forward premium , 1994 .

[9]  P. Phillips,et al.  Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? , 1992 .

[10]  Peter C. B. Phillips,et al.  Statistical Inference in Instrumental Variables Regression with I(1) Processes , 1990 .

[11]  Ross Levine The pricing of forward exchange rates , 1989 .

[12]  Hua He,et al.  Market Frictions and Consumption-Based Asset Pricing , 1995, Journal of Political Economy.

[13]  Kenneth A. Froot,et al.  Understanding the U.S. Dollar in the Eighties: The Expectations of Chartists and Fundamentalists , 1987 .

[14]  A. Sibert Can unconventional preferences explain risk premia in the foreign exchange markets , 1992 .

[15]  A. Bandopadhyaya Speculative efficiency and risk premium in the market for foreign exchange : In search of the true specification , 1991 .

[16]  Mark P. Taylor,et al.  Charts, Noise and Fundamentals in the London Foreign Exchange Market , 1990 .

[17]  M. Coleman Cointegration-based tests of daily foreign exchange market efficiency , 1990 .

[18]  Erzo G. J. Luttmer Asset pricing in economies with frictions , 1996 .

[19]  L. Copeland Efficiency of the forward market day by day and month by month , 1993 .

[20]  C. Engel Can the Markov Switching Model Forecast Exchange Rates? , 1992 .

[21]  David A. Marshall,et al.  The Implications of First-Order Risk Aversion for Asset Market Risk Premiums , 1994 .

[22]  G. Boyle International Interest Rates, Exchange Rates, and the Stochastic Structure of Supply , 1990 .

[23]  C. Engel,et al.  Tests of International CAPM with Time-Varying Covariances , 1987 .

[24]  Thomas A. Rietz The equity risk premium a solution , 1988 .

[25]  R. Stambaugh,et al.  Asset Returns and Intertemporal Preferences , 1991 .

[26]  Efficiency in German and Japanese foreign exchange markets: Evidence from cointegration techniques , 1992 .

[27]  Chris I. Telmer,et al.  The Forward Premium Anomaly: Three Examples in Search of a Solution , 1994 .

[28]  Geert Bekaert,et al.  Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets , 1991 .

[29]  M. Eichenbaum,et al.  Some Empirical Evidence on the Effects of Monetary Policy Shocks on Exchange Rates , 1993 .

[30]  Richard H. Thaler,et al.  Anomalies: Foreign Exchange , 1990 .

[31]  C. Engel A note on cointegration and international capital market efficiency , 1996 .

[32]  R. Baldwin Re-Interpreting the Failure of Foreign Exchange Market Efficiency Tests:Small Transaction Costs, Big Hysteresis Bands , 1990 .

[33]  Takatoshi Ito Foreign Exchange Rate Expectations: Micro Survey Data , 1988 .

[34]  Richard T. Baillie,et al.  Testing rational expectations and efficiency in the foreign exchange market , 1983 .

[35]  P. Fraser,et al.  MODELLING RISK IN THE INTERWAR FOREIGN EXCHANGE MARKET , 1990 .

[36]  R. MacDonald Are foreign exchange market forecasters 'rational'?: some survey-based tests , 1990 .

[37]  Craig S. Hakkio Does the exchange rate follow a random walk? A Monte Carlo study of four tests for a random walk , 1986 .

[38]  P. C. McMahon,et al.  Forward exchange rates and expectations during the 1920s: A re-examination of the evidence , 1994 .

[39]  K. Lewis,et al.  Puzzles in International Financial Markets , 1994 .

[40]  G. S. Maddala,et al.  Rationality of survey data and tests for market efficiency in the foreign exchange markets , 1992 .

[41]  B. Dumas Partial- vs. General-Equilibrium Models of the International Capital Market , 1993 .

[42]  Mark P. Taylor,et al.  Private behaviour and government policy in interdependent economies , 1993 .

[43]  Daniel Bachman The effect of political risk on the forward exchange bias: the case of elections , 1992 .

[44]  Sanjay Srivastava,et al.  The Covariation of Risk Premiums and Expected Future Spot Exchange Rates , 1985 .

[45]  R. MacDonald,et al.  Expectations formation and risk in four foreign exchange markets , 1990 .

[46]  Larry G. Epstein,et al.  First order risk aversion and the equity premium puzzle , 1990 .

[47]  Thomas H. McCurdy,et al.  Tests for a Systematic Risk Component in Deviations from Uncovered Interest Rate Parity , 1991 .

[48]  Richard T. Baillie,et al.  ECONOMETRIC TESTS OF RATIONALITY AND MARKET EFFICIENCY , 1989 .

[49]  William J. Crowder Foreign exchange market efficiency and common stochastic trends , 1994 .

[50]  Jeffrey A. Frankel,et al.  Forward Discount Bias: Is it an Exchange Risk Premium? , 1988 .

[51]  R. Cumby,et al.  Investigating the correlation of unobserved expectations: Expected returns in equity and foreign exchange markets and other examples☆ , 1992 .

[52]  David H. Papell Cointegration and exchange rate dynamics , 1997 .

[53]  Mark W. Watson,et al.  A SIMPLE ESTIMATOR OF COINTEGRATING VECTORS IN HIGHER ORDER INTEGRATED SYSTEMS , 1993 .

[54]  J. Frenkel,et al.  Stochastic prices and tests of efficiency of foreign exchange markets , 1980 .

[55]  G. Bekaert The Time Variation of Expected Returns and Volatility in Foreign-Exchange Markets , 1995 .

[56]  Craig S. Hakkio,et al.  Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets , 1989 .

[57]  K. Lewis,et al.  Changing Beliefs and Systematic Rational Forecast Errors with Evidence from Foreign Exchange , 1989 .

[58]  G. Bekaert Exchange rate volatility and deviations from unbiasedness in a cash-in-advance model , 1994 .

[59]  N. Roubini,et al.  Liquidity and Exchange Rates: Puzzling Evidence from the G-7 Countries , 1995 .

[60]  Jeffrey A. Frankel,et al.  The diversifiability of exchange risk , 1979 .

[61]  Scott W. Barnhart,et al.  Testing the Unbiased Forward Rate Hypothesis: Evidence on Unit Roots, Co-Integration, and Stochastic Coefficients , 1991, Journal of Financial and Quantitative Analysis.

[62]  Mark P. Taylor,et al.  A dymimic model of forward foreign exchange risk, with estimates for three major exchange rates , 1988 .

[63]  K. Koedijk,et al.  Bilateral exchange rates and risk premia , 1988 .

[64]  Yingmei Cheng,et al.  Exchange rate risk premiums , 1993 .

[65]  R. Huang An Analysis of Intertemporal Pricing for Forward Foreign Exchange Contracts , 1989 .

[66]  Benjamin J. C. Kim,et al.  Monetary policy regime changes and the risk premium in the foreign exchange markets : A GARCH application , 1991 .

[67]  Yangru Wu,et al.  Understanding spot and forward exchange rate regressions , 1997 .

[68]  C. Engel,et al.  Tests of mean-variance efficiency of international equity markets , 1993 .

[69]  T. Bollerslev,et al.  Generalized autoregressive conditional heteroskedasticity , 1986 .

[70]  R. Hodrick U.S. International Capital Flows: Perspectives from Rational Maximizing Models , 1988 .

[71]  F. Canova An Empirical Analysis of Ex Ante Profits from Forward Speculation in Foreign Exchange Markets , 1991 .

[72]  René M. Stulz,et al.  International Portfolio Choice and Asset Pricing: An Integrative Survey , 1994 .

[73]  Jeffrey A. Frankel,et al.  On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials , 1979 .

[74]  Takatoshi Ito,et al.  On the Consistency of Short-Run and Long-Run Exchange Rate Expectations , 1988 .

[75]  Christian C. P. Wolff,et al.  Premia in Forward Foreign Exchange as Unobserved Components: A Note , 1993 .

[76]  M. Chinn,et al.  Patterns in Exchange Rate Forecasts for Twenty-five Currencies , 1994 .

[77]  Mark P. Taylor,et al.  Foreign exchange market efficiency and cointegration: Some evidence from the recent float , 1989 .

[78]  G. Bekaert The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective , 1994 .

[79]  G. Kaminsky Is There a Peso Problem? Evidence from the Dollar/Pound Exchange Rate, 1976-1987 , 1993 .

[80]  William T. Smith Forward exchange rates in general equilibrium , 1991 .

[81]  James D. Hamilton,et al.  Long Swings in the Dollar: Are They in the Data and Do Markets Know It? The American Economic Review , 1990 .

[82]  L. Hansen,et al.  Chapter Title: Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models , 1983 .

[83]  R. Marston Interest Differentials Under Fixed and Flexible Exchange Rates: the Effects of Capital Controls and Exchange Risk , 1992 .

[84]  John Dutton Real and Monetary Shocks and Risk Premia in Forward Markets for Foreign Exchange , 1993 .

[85]  J. Frenkel Exchange Rates and International Macroeconomics , 1985 .

[86]  Nikitas Pittis Causes of the forward bias: non-rational expectations versus risk premia , 1992 .

[87]  Mark P. Taylor,et al.  Why don't individuals speculate in the forward foreign exchange market? , 1992 .

[88]  R. MacDonald,et al.  Efficiency in the Forward Foreign Exchange Market: Weekly Tests of the Australian/US Dollar Exchange Rate January 1984‐March 1987* , 1991 .

[89]  R. Cumby Is it Risk? Explaining Deviations from Uncovered Interest Parity , 1987 .

[90]  R. Peruga,et al.  Credibility crises: the dollar in the early 1980s , 1991 .

[91]  R. Dornbusch Expectations and Exchange Rate Dynamics , 1976, Journal of Political Economy.

[92]  Richard M. Levich,et al.  The Significance of Technical Trading-Rule Profits in the Foreign Exchange Market: a Bootstrap Approach , 1991 .

[93]  Kenneth A. Froot,et al.  Chartists, Fundamentalists and the Demand for Dollars , 1991 .

[94]  Darrell Duffie,et al.  Asset Pricing with Heterogeneous Consumers , 1996, Journal of Political Economy.

[95]  V. Wieland,et al.  Forward rates and spot rates in the European monetary system — Forward market efficiency , 1990 .

[96]  Philippe Jorion,et al.  Interest rates and risk premia in the stock market and in the foreign exchange market , 1987 .

[97]  R. Murphy,et al.  Interest Rate Parity And The Exchange Risk Premium: Evidence From Panel Data , 1992 .

[98]  Mark P. Taylor,et al.  Risk, efficiency and speculation in the 1920s foreign exchange market: An overlapping data analysis , 1991 .

[99]  J. Frankel,et al.  Political vs. Currency Premia in International Real Interest Differentials: a Study of Forward Rates for 24 Countries , 1987 .

[100]  Mark P. Taylor,et al.  The Term Structure of Forward Exchange Premiums and the Forecastability of Spot Exchange Rates: Correcting the Errors , 1993, Review of Economics and Statistics.

[101]  R. Baillie,et al.  Fractionally integrated generalized autoregressive conditional heteroskedasticity , 1996 .

[102]  M. Watson,et al.  Testing for Cointegration When Some of the Contributing Vectors are Known , 1994 .

[103]  D. Peel,et al.  Some evidence on the efficiency of the sterling-dollar and sterling-franc forward exchange rates in the interwar period , 1991 .

[104]  Testing the Efficiency of Thin Forward Foreign Exchange Markets: An Application of Instrumental Variable Multiple Regression with Integrated, I(1), Variables , 1992 .

[105]  Geert Bekaert,et al.  On Biases in the Measurement of Foreign Exchange Risk Premiums , 1991 .

[106]  C. Granger,et al.  Co-integration and error correction: representation, estimation and testing , 1987 .

[107]  Robert P. Flood,et al.  Fixes: Of the Forward Discount Puzzle , 1994 .

[108]  Craig S. Hakkio Expectations and the Forward Exchange Rate , 1981 .

[109]  R. S. Boyer,et al.  Forward Premia and Risk Premia in a Simple Model of Exchange Rate Determination , 1988 .

[110]  R. Burdekin,et al.  Profit-making Speculation In Foreign Exchange Markets , 1991 .

[111]  G. Maddala,et al.  Using survey data to test market efficiency in the foreign exchange markets , 1992 .

[112]  Faruk Gul A Theory of Disappointment Aversion , 1991 .

[113]  J. McCulloch,et al.  Operational Aspects of the Siegel Paradox , 1975 .

[114]  C. Engel Testing for the absence of expected real profits from forward market speculation , 1984 .

[115]  Mark P. Taylor,et al.  THE TERM STRUCTURE OF FORWARD FOREIGN EXCHANGE PREMIA: THE INTER-WAR EXPERIENCE* , 1990 .

[116]  Takatoshi Ito,et al.  Use of (Time-Domain) Vector Autoregressions to Test Uncovered Interest Parity , 1984 .

[117]  C. Alexander,et al.  Are foreign exchange markets really efficient , 1992 .

[118]  R. Engle,et al.  COINTEGRATION AND ERROR CORRECTION: REPRESENTATION , 1987 .

[119]  R. MacDonald,et al.  Exchange Rates and Open Economy Macroeconomics , 1989 .

[120]  Lars E.O. Svensson,et al.  Currency prices, terms of trade, and interest rates: A general equilibrium asset-pricing cash-in-advance approach , 1985 .

[121]  Kenneth A. Froot,et al.  Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations , 1985 .

[122]  R. Huang Risk and Parity in Purchasing Power , 1990 .

[123]  J. Frankel Recent Estimates of Time-Variation in the Conditional Variance and in the Exchange Risk Premium , 1987 .

[124]  Nelson C. Mark Time-varying betas and risk premia in the pricing of forward foreign exchange contracts , 1988 .

[125]  S. S. Rivero,et al.  Further tests on the forward exchange rate unbiasedness hypothesis. , 1992 .

[126]  C. Engel Tests of CAPM on an International Portfolio of Bonds and Stocks , 1993 .

[127]  Richard C. Marston Tests of Three Parity Conditions: Distinguishing Risk Premia and Systematic Forecast Errors , 1994 .

[128]  S. Thoms An international CAPM for bonds and equities , 1993 .

[129]  C. Engel The Risk Premium and the Liquidity Premium in Foreign Exchange Markets , 1992 .

[130]  K. Lewis The Behavior of Eurocurrency Returns Across Different Holding Periods and Monetary Regimes , 1990 .

[131]  Mark P. Taylor,et al.  EXPECTATIONS, RISK AND UNCERTAINTY IN THE FOREIGN EXCHANGE MARKET: SOME RESULTS BASED ON SURVEY DATA * , 1989 .

[132]  Nelson C. Mark On time varying risk premia in the foreign exchange market: An econometric analysis , 1985 .

[133]  R. MacDonald,et al.  Some survey based tests of uncovered interest parity , 1989 .

[134]  L. Glosten,et al.  Economic Significance of Predictable Variations in Stock Index Returns , 1989 .

[135]  Michael T. Belongia,et al.  The US monetary policy regime, interest differentials, and dollar exchange rate risk premia , 1987 .

[136]  Robert A. Korajczyk The Pricing of Forward Contracts for Foreign Exchange , 1984, Journal of Political Economy.

[137]  Tim Bollerslev,et al.  A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets , 1990 .

[138]  Ingrid M. Werner,et al.  International Equity Transactions and U.S. Portfolio Choice , 1994 .

[139]  R. Macklem Forward exchange rates and risk premiums in artificial economies , 1991 .

[140]  T. Gokey What explains the risk premium in foreign exchange returns , 1994 .

[141]  R. Baillie,et al.  Common Stochastic Trends in a System of Exchange Rates , 1989 .

[142]  John F. O. Bilson,et al.  The "Speculative Efficiency" Hypothesis , 1980 .

[143]  D. Peel,et al.  Forward foreign exchange rates and risk premia--a reappraisal , 1991 .

[144]  Gerald P. Dwyer,et al.  Cointegration and market efficiency , 1992 .

[145]  P. C. McMahon,et al.  Does the Forward Premium/Discount Help to Predict the Future Change in the Exchange Rate? , 1992 .

[146]  C. Engel,et al.  Do Asset-Demand Functions Optimize Over the Mean and Variance of Real Returns? A Six-Currency Test , 1982 .

[147]  Michael K. Salemi,et al.  FIML estimation of the dollar-deutschemark risk premium in a portfolio model , 1988 .

[148]  J. Frankel,et al.  The Internationalization of Equity Markets , 1993 .

[149]  Philippe Jorion,et al.  The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets , 1988 .

[150]  Allan W. Gregory,et al.  Accounting for Forward Rates in Markets for Foreign Currency , 1993 .

[151]  K. Lewis,et al.  Can learning affect exchange-rate behavior?: The case of the dollar in the early 1980's , 1989 .

[152]  K. Lewis The persistence of the ‘peso problem’ when policy is noisy , 1988 .

[153]  D. Thornton,et al.  On the informational content of spot and forward exchange rates , 1988 .

[154]  E. Fama,et al.  Forward and spot exchange rates , 1984 .

[155]  R. Uppal,et al.  An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets , 1997 .

[156]  Bagher Modjtahedi Multiple maturities and time-varying risk premia in forward exchange markets: An econometric analysis , 1991 .

[157]  Christian C. P. Wolff,et al.  Further evidence on exchange rate expectations , 1993 .

[158]  J. Baffes Does comovement among exchange rates imply market inefficiency , 1994 .

[159]  Ross Levine An empirical inquiry into the nature of the forward exchange rate bias , 1991 .

[160]  F. Canova,et al.  Profits, risk, and uncertainty in foreign exchange markets , 1993 .

[161]  P. Labadie Comparative Dynamics and Risk Premia in an Overlapping Generations Model , 1986 .

[162]  Hypothesis Testing with Restricted Spectral Density Matrices, with an Application to Uncovered Interest Parity , 1989 .

[163]  J. Campbell,et al.  The Term Structure of Euromarket Interest Rates: an Empirical Investigation , 1986 .

[164]  R. Peruga,et al.  Can a time-varying risk premium explain excess returns in the forward market for foreign exchange? , 1990 .

[165]  Gan Wee Beng,et al.  Exchange rate expectations and risk premium in the Singapore/US dollar exchange rate: evidence from survey data , 1993 .

[166]  The impact of data errors on measurement of the foreign exchange risk premium , 1989 .

[167]  Takatoshi Ito,et al.  THE TIME-SERIES PROPERTIES OF THE RISK PREMIUM IN THE YEN/DOLLAR EXCHANGE MARKET , 1991 .

[168]  Peter S. Sephton,et al.  Tests of exchange market efficiency: fragile evidence from cointegration tests , 1991 .

[169]  Michael D. Bordo,et al.  A Retrospective on the Bretton Woods System: Lessons for International Monetary Reform , 1993 .

[170]  Robert E. Lucas,et al.  Interest rates and currency prices in a two-country world , 1982 .

[171]  R. Mehra,et al.  THE EQUITY PREMIUM A Puzzle , 1985 .

[172]  L. Hansen LARGE SAMPLE PROPERTIES OF GENERALIZED METHOD OF , 1982 .

[173]  Kenneth A. Froot Short Rates and Expected Asset Returns , 1990 .

[174]  K. Lewis Testing the portfolio balance model: A multi-lateral approach , 1988 .

[175]  Craig S. Hakkio,et al.  The Foreign Exchange Risk Premium: Is It Real? , 1995 .

[176]  R. Lyons Tests of the foreign exchange risk premium using the expected second moments implied by option pricing , 1988 .

[177]  Peter Bossaerts,et al.  Market microstructure effects of government intervention in the foreign exchange market , 1991 .

[178]  B. Mccallum,et al.  A Reconsideration of the Uncovered Interest Parity Relationship , 1992 .

[179]  C. Engel,et al.  On the foreign exchange risk premium in a general equilibrium model , 1992 .

[180]  伊藤 隆敏,et al.  Foreign exchange rate expectations: Micro survey data , 1989 .

[181]  Takatoshi Ito Short-Run and Long-Run Expectations of the Yen/Dollar Exchange Rate , 1993 .

[182]  M. Chinn,et al.  Exchange Rate Expectations and the Risk Premium: Tests for a Cross- Section of 17 Currencies , 1991 .