International financial relations under the current float: Evidence from panel data

Open Economies Review

Volumn 9, Issue 4, 1998, Pages 293-313

  Lothian, James R ^a   Simaan, Yusif ^a  

^a FORDHAM UNIVERSITY   (United States)

Author keywords

Fisher equation; Purchasing power parity; Real stock returns; Uncovered interest parity

Indexed keywords

ECONOMIC THEORY; ECONOMICS; FINANCIAL SYSTEM; INTERNATIONAL RELATIONS;

EID: 0032464980     PISSN: 09237992     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1026440213785     Document Type: Article

References (38)

1. Baillie, Richard T. and Tim Bollerslev (1997) "The Forward Premium Anomaly Is not as Bad as You Think." Unpublished Working Paper, Michigan State University.
2. Boudokh, Jacob and Matthew Richardson (1993) "Stock Returns and Inflation: A Long Horizon Perspective." American Economic Review 83, 1346-1355.
3. Cagan, Phillip (1974) "Common Stock Values and Inflation: The Historical Record of Many Countries." Annual Report Supplement, National Bureau of Economic Research. New York, NY: National Bureau of Economic Research.
4. Crowder, William, J. and Dennis L. Hoffman (1996) "The Long-Horizon Relationship between Nominal Interest Rates and Inflation: The Fisher Effect Revisited." Journal of Money, Credit and Banking 28, 102-118.
5. Darby, Michael R. (1975) "The Financial and Tax Effects of Monetary Policy on Interest Rates." Economic Inquiry 13, 266-276.
6. Diebold, Francis X., Stephen Husted and Mark Rush (1991) "Real Exchange Rates under the Gold Standard." Journal of Political Economy 99, 1252-1271.
7. Dornbusch, Rudiger (1980) "Purchasing Power Parity." In John Eatwell, Murray Milgate and Peter Newman (eds.), The New Palgrave: A Dictionary of Economics. New York: Stockton, pp. 1075-1085.
8. Duck, Nigel W. (1993) "Some International Evidence on the Quantity Theory of Money." Journal of Money, Credit and Banking 25, 1-12.
9. Engel, Charles (1996) "The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence. Journal of Empirical Finance 3, 123-192.
10. Evans, Martin D.D. and James R. Lothian (1993) "The Response of Exchange Rates to Permanent and Transitory Shocks under Floating Exchange Rates." Journal of International Money and Finance 11, 563-586.
11. Evans, Martin D.D. and Karen Lewis (1995) "Do Expected Shifts in Inflation Affect Estimates of the Long-Run Fisher Effect." Journal of Finance 50, 225-253.
12. Fama, Eugene (1981) "Stock Returns, Real Activity, Inflation and Money." American Economic Review 71, 545-565.
13. Fama, Eugene, and G. William Schwert (1977) "Asset Returns and Inflation." Journal of Financial Economics 5, 115-146.
14. Feldstein, Martin (1980) "Inflation and the Stock Market." American Economic Review 70, 839-847.
15. Frankel, Jeffrey A. (1992) "Measuring International Capital Mobility: A Review." American Economic Review 82, 197-202.
16. Frankel, Jeffrey and Andrew Rose (1996) "Mean Reversion within and between Countries: A Panel Project on Purchasing Power Parity." Journal of International Economics 40, 209-224.
17. Gandolfi, Arthur E. (1982) "Inflation, Taxation and Interest Rates." Journal of Finance 37, 797-807.
18. Geske, Robert and Richard Roll (1983) "The Fiscal and Monetary Linkage between Stock Returns and Inflation." Journal of Finance 38, 1-33.
19. Guletkin, N. Bulent (1983) "Stock Market Returns and Inflation: Evidence from Other Countries." Journal of Finance 38, 49-65.
20. Hakkio, Craig and Mark Rush (1991) "Cointegration: How Short is the Long Run?" Journal of International Money and Finance 10, 571-581.
21. International Monetary Fund, International Financial Statistics. Various issues.
22. Isard, Peter (1992) "Uncovered Interest Parity." In John Eatwell, Murray Millgate, and Peter Newman (eds.), The New Palgrave Dictionary of Money and Finance. London: Macmillan.
23. Jorion, Phillipe and Richard J. Sweeney (1996) "Mean Reversion in Real Exchange Rates." Journal of International Money and Finance 15, 535-550.
24. Kaul, Gautam (1987) "Stock Market Returns and Inflation: The Role of the Monetary Sector." Journal of Financial Economics 18, 253-276.
25. Levi, Maurice (1995) International Finance. 3rd ed. New York, NY : McGraw Hill.
26. Longin, François and Bruno Solnik (1995) "Is the Correlation of International Equity Returns Constant: 1960-1990?" Journal of International Money and Finance 14, 1-26.
27. Lothian, James R. (1985) "Equilibrium Relationships between Money and Other Economic Variables." American Economic Review 75, 828-835.
28. Lothian, James R. (1997) "Multi-country Evidence on the Behavior of Purchasing Power Parity under the Current Float." Journal of International Money and Finance 16, 19-35.
29. Lothian, James R. and Mark P. Taylor (1996) "The Recent Float from the Perspective of the Past Two Centuries." Journal of Political Economy 104, 488-509.
30. Lucas, Robert E., Jr. (1980) "Two Illustrations of the Quantity Theory of Money." American Economic Review 70, 1005-1014.
31. Lucas, Robert E, Jr. (1982) "Interest Rates and Prices in a Two-Currency World." Journal of Monetary Economics 10, 335-360.
32. Mark, Nelson (1995) "Exchange Rates and Fundamental Evidence on Long-Horizon Predictability." American Economic Review 85, 201-218.
33. Melvin, Michael T. (1996) International Money and Finance. 5th ed. New York, NY : Harper Collins.
34. Mishkin, Fredric S. (1993) "Is the Fisher Effect for Real?" Journal of Monetary Economics 30, 195-215.
35. Mussa, Michael and Morris Goldstein (1993) "The Integration of World Capital Markets." In Changing Capital Markets: Implications for Monetary Policy. Kansas City, MO: Federal Reserve Bank of Kansas City.
36. Oh, Keun-Yeob (1996) "Purchasing Power Parity and Unit Root Tests Using Panel Data." Journal of International Money and Finance 15, 405-418.
37. Shiller, Robert J. and Pierre Perron (1985) "Testing the Random Walk Hypothesis: Power Versus Frequency of Observation." Economics Letters 18, 381-386.
38. Solnik, Bruno (1995) International Investments. 3rd ed. Reading, MA: Addison Wesley.