Is it Risk? Explaining Deviations from Uncovered Interest Parity

[1]  R. Gibbons,et al.  Empirical Tests of the Consumption-Oriented CAPM , 1989 .

[2]  C. Engel.  The empirical evidence on the efficiency of forward and futures foreign exchange markets: Robert J. Hodrick, (Harwood Academic Publishers, Chur, Switzerland, 1987) pp. 174, $29.00 , 1988 .

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

[4]  R. Hodrick,et al.  The empirical evidence on the efficiency of forward and futures foreign exchange markets . The political economy of protection . The welfare economics of international trade , 1987 .

[5]  Lars Peter Hansen,et al.  THE ROLE OF CONDITIONING INFORMATION IN DEDUCING TESTABLE RESTRICTIONS IMPLIED BY DYNAMIC ASSET PRICING MODELS1 , 1987 .

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

[7]  M. Obstfeld.  Floating Exchange Rates: Experience and Prospects , 1986 .

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

[9]  Craig S. Hakkio,et al.  Conditional variance and the risk premium in the foreign exchange market , 1985 .

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

[11]  W. Ferson,et al.  Testing asset pricing models with changing expectations and an unobservable market portfolio , 1985 .

[12]  M. Obstfeld,et al.  International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence , 1985 .

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

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

[15]  René M. Stulz,et al.  Pricing Capital Assets in an International Setting: An Introduction , 1984 .

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

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

[18]  John Huizinga,et al.  Two-Step Two-Stage Least Squares Estimation in Models with Rational Expectations , 1983 .

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

[20]  Kenneth J. Singleton,et al.  On Unit Roots and the Empirical Modeling of Exchange Rates , 1982 .

[21]  L. Hansen.  Large Sample Properties of Generalized Method of Moments Estimators , 1982 .

[22]  R. M. Stulz,et al.  A model of international asset pricing , 1981 .

[23]  Douglas T. Breeden.  An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities , 1979 .

[24]  Takeshi Amemiya,et al.  A note on a heteroscedastic model , 1977 .

[25]  René M. Stulz.  Time-varying risk premia, imperfect information and the forward: Exchange rate , 1987 .

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

[27]  Lars Peter Hansen,et al.  LARGE SAMPLE PROPERTIES OF GENERALIZED METHOD OF , 1982 .

[28]  Jeffrey A. Frankel,et al.  In search of the exchange risk premium: A six-currency test assuming mean-variance optimization , 1982 .

[29]  Frederic S. Mishkin.  The Real Interest Rate: An Empirical Investigation , 1981 .

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