메뉴 건너뛰기




Volumn 10, Issue 2, 1997, Pages 369-403

An exploration of the forward premium puzzle in currency markets

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0031490347     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/10.2.369     Document Type: Article
Times cited : (130)

References (45)
  • 1
    • 84944838161 scopus 로고
    • International portfolio choice and corporation finance: A synthesis
    • Adler, M., and B. Dumas, 1983, "International Portfolio Choice and Corporation Finance: A Synthesis," Journal of Finance, 38, 925-984.
    • (1983) Journal of Finance , vol.38 , pp. 925-984
    • Adler, M.1    Dumas, B.2
  • 2
    • 0242670422 scopus 로고
    • Testing continuous-time models of the spot interest rate
    • Aït-Sahalia, Y., 1995, "Testing Continuous-Time Models of the Spot Interest Rate," Review of Financial Studies, 9, 385-426.
    • (1995) Review of Financial Studies , vol.9 , pp. 385-426
    • Aït-Sahalia, Y.1
  • 3
    • 0001660278 scopus 로고
    • The 'speculative efficiency' hypothesis
    • Bilson, J. F. O., 1981, "The 'Speculative Efficiency' Hypothesis," Journal of Business, 54, 435-452.
    • (1981) Journal of Business , vol.54 , pp. 435-452
    • Bilson, J.F.O.1
  • 5
    • 84993661364 scopus 로고
    • Accounting for forward rates in markets for foreign currency
    • Backus, D., A. Gregory, and C. Telmer, 1993, "Accounting for Forward Rates in Markets for Foreign Currency," Journal of Finance, 5, 1887-1908.
    • (1993) Journal of Finance , vol.5 , pp. 1887-1908
    • Backus, D.1    Gregory, A.2    Telmer, C.3
  • 6
    • 0002698496 scopus 로고
    • Nonparametric structural estimation of models for high frequency currency market data
    • Bansal, R., R. Gallant, R. Hussey, and G. Tauchen, 1995, "Nonparametric Structural Estimation of Models for High Frequency Currency Market Data," Journal of Econometrics, 66, 251-287.
    • (1995) Journal of Econometrics , vol.66 , pp. 251-287
    • Bansal, R.1    Gallant, R.2    Hussey, R.3    Tauchen, G.4
  • 8
    • 0030539421 scopus 로고    scopus 로고
    • The time variation of risk and return in foreign exchange markets: A general equilibrium perspective
    • Bekaert, G., 1996, "The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective," Review of Financial Studies, 9, 427-470
    • (1996) Review of Financial Studies , vol.9 , pp. 427-470
    • Bekaert, G.1
  • 9
    • 49249146394 scopus 로고
    • A continuous time approach to the pricing of bonds
    • Brennan, M., and E. Schwartz, 1979, "A Continuous Time Approach to the Pricing of Bonds," Journal of Banking and Finance, 3, 133-155.
    • (1979) Journal of Banking and Finance , vol.3 , pp. 133-155
    • Brennan, M.1    Schwartz, E.2
  • 11
    • 84977707412 scopus 로고
    • An empirical comparison of alternative models of the short-term interest rate
    • Chan, K. C., G. A. Karolyi, F. Longstaff, and A. Sanders, 1992, "An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, 47, 1209-1227.
    • (1992) Journal of Finance , vol.47 , pp. 1209-1227
    • Chan, K.C.1    Karolyi, G.A.2    Longstaff, F.3    Sanders, A.4
  • 13
    • 0002720622 scopus 로고
    • Optimal consumption and portfolio policies when asset prices follow a diffusion process
    • Cox, J. C., and C. Huang, 1989, "Optimal Consumption and Portfolio Policies When Asset Prices Follow a Diffusion Process," Journal of Economic Theory, 49, 33-83.
    • (1989) Journal of Economic Theory , vol.49 , pp. 33-83
    • Cox, J.C.1    Huang, C.2
  • 14
    • 0001205798 scopus 로고
    • A theory of the term structure of interest rates
    • Cox, J., J. Ingersoll, and S. Ross, 1985, "A Theory of the Term Structure of Interest Rates," Econometrica, 53, 385-407.
    • (1985) Econometrica , vol.53 , pp. 385-407
    • Cox, J.1    Ingersoll, J.2    Ross, S.3
  • 15
    • 0003337448 scopus 로고
    • International interest-rate and price-level linkages under flexible exchange rates: A review of recent evidence
    • J. F. O. Bilson and R. Marston (ed.), University of Chicago Press, Chicago
    • Cumby, R. E., and M. Obstfeld, 1984, "International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence," in J. F. O. Bilson and R. Marston (ed.), Exchange Rates: Theory and Practice, University of Chicago Press, Chicago.
    • (1984) Exchange Rates: Theory and Practice
    • Cumby, R.E.1    Obstfeld, M.2
  • 18
    • 48549113655 scopus 로고
    • Forward and spot exchange kates
    • Fama, E., 1984, "Forward and Spot Exchange Kates," Journal of Monetary Economics, 14, 319-338.
    • (1984) Journal of Monetary Economics , vol.14 , pp. 319-338
    • Fama, E.1
  • 19
    • 21344486016 scopus 로고
    • The risk and predictability of international equity returns
    • Ferson, W. E., and C. R. Harvey, 1993, "The Risk and Predictability of International Equity Returns," Review of Financial Studies, 6, 527-566.
    • (1993) Review of Financial Studies , vol.6 , pp. 527-566
    • Ferson, W.E.1    Harvey, C.R.2
  • 20
    • 84993908978 scopus 로고
    • Multiperiod mean-variance analysis: Toward a general theory of portfolio choice
    • Hakansson, N. H., 1971, "Multiperiod Mean-Variance Analysis: Toward a General Theory of Portfolio Choice," Journal of Finance, 26, 857-884.
    • (1971) Journal of Finance , vol.26 , pp. 857-884
    • Hakansson, N.H.1
  • 21
    • 0000414660 scopus 로고
    • Large sample properties of generalized method of moment estimators
    • Hansen, L. P., 1982, "Large Sample Properties of Generalized Method of Moment Estimators," Econometrica, 50, 1029-1054.
    • (1982) Econometrica , vol.50 , pp. 1029-1054
    • Hansen, L.P.1
  • 22
    • 0001307729 scopus 로고
    • Risk-averse speculation in the forward foreign exchange market: An econometric analysis of linear models
    • J. A. Frenkel (ed.), University of Chicago Press, Chicago
    • Hansen, L. P., and R. J. Hodrick, 1983, "Risk-Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models," in J. A. Frenkel (ed.), Exchange Kates and International Macroeconomics, University of Chicago Press, Chicago.
    • (1983) Exchange Kates and International Macroeconomics
    • Hansen, L.P.1    Hodrick, R.J.2
  • 23
    • 84934563125 scopus 로고
    • Implications of security market data for models of dynamic economics
    • Hansen, L. P., and R. Jagannathan, 1991, "Implications of Security Market Data for Models of Dynamic Economics," Journal of Political Economy, 99, 225-262
    • (1991) Journal of Political Economy , vol.99 , pp. 225-262
    • Hansen, L.P.1    Jagannathan, R.2
  • 24
    • 85017108575 scopus 로고
    • Generalized instrumental variables estimation of nonlinear rational expectations models
    • Hansen, L. P., and K. J. Singleton, 1982, "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, 50, 1269-1285.
    • (1982) Econometrica , vol.50 , pp. 1269-1285
    • Hansen, L.P.1    Singleton, K.J.2
  • 25
    • 38649141305 scopus 로고
    • Martingales and arbitrage in multiperiod securities markets
    • Harrison, J. M., and D. Kreps, 1979, "Martingales and Arbitrage in Multiperiod Securities Markets," Journal of Economic Theory, 20, 381-408.
    • (1979) Journal of Economic Theory , vol.20 , pp. 381-408
    • Harrison, J.M.1    Kreps, D.2
  • 26
    • 0000893235 scopus 로고
    • Tests of rational expectations and no risk premium in forward exchange markets
    • Hsieh, D., 1984, "Tests of Rational Expectations and No Risk Premium in Forward Exchange Markets" Journal of International Economics, 17, 173-184.
    • (1984) Journal of International Economics , vol.17 , pp. 173-184
    • Hsieh, D.1
  • 28
    • 0000358347 scopus 로고
    • Risk, uncertainty and exchange rates
    • Hodrick, R. J., 1989, "Risk, Uncertainty and Exchange Rates," Journal of Monetary Economics, 23, 433-459.
    • (1989) Journal of Monetary Economics , vol.23 , pp. 433-459
    • Hodrick, R.J.1
  • 29
    • 0003027847 scopus 로고
    • The covariation of risk premiums and expected future spot exchange rates
    • Hodrick, R. J., and S. Srivastava, 1986, "The Covariation of Risk Premiums and Expected Future Spot Exchange Rates," Journal of International Money and Finance, 5, 5-22.
    • (1986) Journal of International Money and Finance , vol.5 , pp. 5-22
    • Hodrick, R.J.1    Srivastava, S.2
  • 32
    • 84993839850 scopus 로고
    • Explorations into factors explaining money market returns
    • Knez, P., B. Litterman, and J. Scheinkman, 1994, "Explorations into Factors Explaining Money Market Returns," Journal of Finance, 49, 1861-1882.
    • (1994) Journal of Finance , vol.49 , pp. 1861-1882
    • Knez, P.1    Litterman, B.2    Scheinkman, J.3
  • 34
    • 84977723797 scopus 로고
    • Interest rate volatility and the term structure: A two-factor general equilibrium model
    • Longstaff, F., and E. Schwanz, 1992, "Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model," Journal of Finance, 47, 1259-1282.
    • (1992) Journal of Finance , vol.47 , pp. 1259-1282
    • Longstaff, F.1    Schwanz, E.2
  • 35
    • 0013148655 scopus 로고
    • Interest rates and currency prices in a two-country world
    • Lucas, R. E., Jr., 1982, "Interest Rates and Currency Prices in a Two-Country World," Journal of Monetary Economics, 10, 335-360.
    • (1982) Journal of Monetary Economics , vol.10 , pp. 335-360
    • Lucas R.E., Jr.1
  • 36
    • 0009079604 scopus 로고
    • Time varying betas and risk premia in the pricing of forward exchange contracts
    • Mark, N., 1988, "Time Varying Betas and Risk Premia in the Pricing of Forward Exchange Contracts," Journal of Financial Economics, 22, 335-354.
    • (1988) Journal of Financial Economics , vol.22 , pp. 335-354
    • Mark, N.1
  • 39
    • 0000706085 scopus 로고
    • A simple, positive semi-definite, hetroskedasticity and autocorrelation consistent covariance matrix
    • Newey, W., and K. West, 1987, "A Simple, Positive Semi-Definite, Hetroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, 55, 729-751.
    • (1987) Econometrica , vol.55 , pp. 729-751
    • Newey, W.1    West, K.2
  • 42
    • 84993661234 scopus 로고
    • Exploiting the conditional density in estimating the term structure: An application to the Cox, Ingersoll, and Ross model
    • Pearson, N. D., and T. S. Sun 1994, "Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model," Journal of Finance, 49, 1279-1304.
    • (1994) Journal of Finance , vol.49 , pp. 1279-1304
    • Pearson, N.D.1    Sun, T.S.2
  • 43
    • 0001317539 scopus 로고
    • A simplified approach to the valuation of risk streams
    • Ross, S. A., 1978, "A Simplified Approach to the Valuation of Risk Streams," Journal of Business, 51, 453-475.
    • (1978) Journal of Business , vol.51 , pp. 453-475
    • Ross, S.A.1
  • 45
    • 0347078538 scopus 로고
    • An equilibrium characterization of the term structure
    • Vasicek, O., 1977, "An Equilibrium Characterization of the Term Structure," Journal of Financial Economics, 5, 177-188.
    • (1977) Journal of Financial Economics , vol.5 , pp. 177-188
    • Vasicek, O.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.