An empirical investigation into the causes of deviations from covered interest parity across the tasman

New Zealand Economic Papers

Volumn 30, Issue 1, 1996, Pages 39-54

  Moosa, Imad A ^a  

^a LA TROBE UNIVERSITY   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85011198560     PISSN: 00779954     EISSN: 19434863     Source Type: Journal    
DOI: 10.1080/00779959609544248     Document Type: Article

References (31)

1. Banerjee, A., Dolado, J., Galbraith, J. W. and Hendry, D. F. (1993), Cointegration. Error Correction and the Econometric Analysis of Non-Stationary Data, Oxford: Oxford University Press.
2. Branson, W. H. (1969), "The minimum covered differential needed for international arbitrage activity", Journal of Political Economy, 77, 1028-1035.
3. Callier, P. (1980), "Speculation and the forward foreign exchange rate: a note", Journal of Finance, 35, 173-176.
4. Callier, P. (1981), "Speculation, interest arbitrage, and the forward exchange rate of the Canadian dollar updated evidence", Journal of Macroeconomics, 3, 293-299.
5. Dickey, D. A. and Fuller, W. A. (1979), "Distribution of the estimators for autoregressive time series with a unit root", Journal of the American Statistical Association, 74, 427-431.
6. Einzig, P. (1937), The Theory of Forward Exchange, London: Macmillan.
7. Engel, C. and Hamilton, J. D. (1990), "Long swings in the dollar: are they in the data and do markets know it?", American Economic Review, 80, 689-713.
8. Frankel, J. A. and MacArthur, A. T. (1988), "Political vs currency premia in international real interest differentials", European Economic Review, 32, 1083-1211.
9. Grubel, H. G. (1966), Forward Exchange, Speculation, and the International Flow of Capital, Stanford: Stanford University Press.
10. Haas, R. D. (1974), "More evidence on the role of speculation in the Canadian forward exchange market", Canadian Journal of Economics, 7, 496-501.
11. Hansen, B. E. (1992), "Tests for parameter instability in regressions with 1(1) processes", Journal of Business and Economic Statistics, 10, 321-335.
12. Johansen, S. (1988), "Statistical analysis of cointegrating vectors", Journal of Economic Dynamics and Control, 12, 231-254.
13. Kesselman, J. (1971), "The role of speculation in forward-rate determination: the Canadian flexible dollar 1953-1960", Canadian Journal of Economics, 4, 279-298.
14. Keynes, J. M. (1923), A Tract on Monetary Reform, London: Macmillan.
15. Kindleberger, C. P. (1939), "Speculation and forward exchange", Journal of Political Economy, 47, 163-181.
16. McCallum, B. T. (1977), "The role of speculation in the Canadian forward exchange market: some estimates assuming rational expectations", Review of Economics and Statistics, 59, 145-151.
17. Moore, M. J. and Cullen, U. (1995), "Speculative efficiency on the London metal exchange", The Manchester School of Economic and Social Studies, 63, 235-256.
18. Moosa, I. A. and Bhatti, R. H. (1994), "Testing the effectiveness of arbitrage and speculation under flexible exchange rates", Economia Internazionale, 47, 392-408.
19. Moosa, I. A. and Bhatti, R. H. (1996), "Testing covered interest parity under Fisherian expectations", Applied Economics, 28, 71-74.
20. Newey, W. K. and West, K. D. (1987), "A simple, positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix", Econometrica, 55, 703-708.
21. Phillips, P. C. B. (1987), "Time series regression with a unit root", Econometrica, 55, 277-301.
22. Phillips, P. C. B. and Chilians, S. (1990), "Asymptotic properties of residual based tests for cointegration", Econometrica, 58, 165-193.
23. Phillips, P. C. B. and Perron, P. (1988), "Testing for a unit root in time series regression", Biometrika, 75, 335-346.
24. Spraos, J. (1953), "The theory of forward exchange and recent practice", The Manchester School of Economic and Social Studies, 21, 87-117.
25. Stock, J. H. (1987), "Asymptotic properties of least square estimates of cointegrating vectors", Econometrica, 55, 1035-1056.
26. Stokes, H. H. and Neuburger, H. (1979), "Interest arbitrage, forward speculation and the determination of the forward exchange rate", Columbia Journal of World Business, Winter, 86-98.
27. Stoll, H. R. (1968), "An empirical study of the forward exchange market under fixed and flexible exchange rate systems", Canadian Journal of Economics, 1, 55-78.
28. Taylor, M. P. (1987), "The role of expectations in the forward exchange market: some consistent estimates assuming rational expectations", Oxford Bulletin of Economics and Statistics, 49, 323-333.
29. Taylor, M. P. (1989), "Covered interest arbitrage and market turbulence", Economic Journal, 99, 376-391.
30. Tsiang, S. C. (1959), "The theory of forward exchange and the effects of government intervention on the forward market", IMF Staff Papers, 6, 75-106.
31. West, K. D. (1988), "Asymptotic normality when regressors have a unit root", Econometrica, 56, 1397-1417.