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Understanding the Forward Premium Puzzle: A Microstructure Approach. (2007). Rebelo, Sergio ; Eichenbaum, Martin ; Burnside, Craig.
In: NBER Working Papers.
RePEc:nbr:nberwo:13278.

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Citations

Citations received by this document

  1. Predicting foreign investors’ carry trade activity in the Israeli FX market using a time-varying currency risk premium approach. (2019). Mantzura, Ariel ; Schreiber, Ben Z.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:59:y:2019:i:c:p:438-457.

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  2. Gradual learning about shocks and the forward premium puzzle. (2018). Moran, Kevin ; Nono, Simplice Aime.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:88:y:2018:i:c:p:79-100.

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  3. An Empirical Analysis of Relationships between the Forward Exchange Rates and Present and Future Spot Exchange Rates Example of CZK/USD and CZK/EUR. (2017). Arlt, Josef ; Mandel, Martin .
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:67:y:2017:i:3:p:199-220.

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  4. .

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  5. Dodging the steamroller: Fundamentals versus the carry trade. (2016). Copeland, Laurence ; Lu, Wenna .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:42:y:2016:i:c:p:115-131.

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  6. Are stock markets in Asia related to carry trade?. (2013). Fung, Hung-Gay ; Tse, Yiuman ; Zhao, Lin.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:25:y:2013:i:c:p:200-216.

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  7. A sentiment-based explanation of the forward premium puzzle. (2013). Yu, Jianfeng.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:60:y:2013:i:4:p:474-491.

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  8. An analysis of forward exchange rate biasedness across developed and developing country currencies: Do observed patterns persist out of sample?. (2013). lucey, brian ; Loring, Grace .
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:17:y:2013:i:c:p:14-28.

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  9. Forward Exchange Rate Biasedness across Developed and Developing Country Currencies - Do Observed Patterns Persist Out of Sample?Abstract:. (2012). lucey, brian ; Loring, Grace .
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp404.

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  10. A sentiment-based explanation of the forward premium puzzle. (2011). Yu, Jianfeng.
    In: Globalization Institute Working Papers.
    RePEc:fip:feddgw:90.

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  11. For Rich or for Poor: When does Uncovered Interest Parity Hold?. (2010). Roche, Maurice ; Moore, Michael.
    In: Working Papers.
    RePEc:rye:wpaper:wp015.

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  12. The forward market in emerging currencies: Less biased than in major currencies. (2010). Frankel, Jeffrey ; Poonawala, Jumana .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:29:y:2010:i:3:p:585-598.

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  13. Carry Trades and Currency Crashes. (2009). Pedersen, Lasse H. ; Nagel, Stefan ; Brunnermeier, Markus K..
    In: NBER Chapters.
    RePEc:nbr:nberch:7286.

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  14. The Forward Market in Emerging Currencies: Less Biased than in Major Currencies. (2009). Frankel, Jeffrey ; Poonawala, Jumana .
    In: Scholarly Articles.
    RePEc:hrv:hksfac:4448888.

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  15. Safe Haven Currencies. (2009). Söderlind, Paul ; Ranaldo, Angelo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7249.

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  16. Carry Trades and Currency Crashes. (2008). Pedersen, Lasse ; Nagel, Stefan ; Brunnermeier, Markus.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14473.

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  17. The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply. (2008). Verdelhan, Adrien ; Lustig, Hanno.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13812.

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  18. Rare Disasters and Exchange Rates. (2008). Gabaix, Xavier ; Farhi, Emmanuel.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13805.

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  19. Short-run Exchange-rate Dynamics: Theory And Evidence. (2008). Dahl, Christian ; Osler, Carol L. ; Carlson, John A..
    In: Working Papers.
    RePEc:brd:wpaper:39.

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  20. Short-run Exchange-Rate Dynamics: Theory and Evidence. (2008). Osler, Carol ; Dahl, Christian ; Carlson, John A.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-01.

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References

References cited by this document

  1. Albuquerque, Rui, Eva de Francisco, and Luis Marques (2007) ~Marketwide Private Information in Stocks: Forecasting Currency Returns, forthcoming Journal of Finance.

  2. Albuquerque, Rui, Greg Bauer, and Martin Schneider (2007) ~International Equity Flows and Returns: A Quantitative Equilibrium Approach, The Review of Economic Studies, 74: 1-30.

  3. Bacchetta, Philippe and Eric van Wincoop (2006) ~Incomplete Information Processing: A Solution to the Forward Discount Puzzle, mimeo, Study Center Gerzensee.

  4. Bansal, Ravi and Magnus Dahlquist (2000) ~The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies, Journal of International Economics 51 (1, June): 115-44.

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  6. Corsetti, Giancarlo, Amil Dasgupta, Stephen Morris and Hyun Son Shin (2004) ~Does One Soros Make a Difference? A Theory of Currency Crises with Large and Small Traders, Review of Economic Studies 71(1, January) 2004, 87-113.

  7. Engel, Charles (1996) ~The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence, Journal of Empirical Finance 3 (2, June), 123-92.

  8. Fleming, Michael ~The Round-the-Clock Market for U.S. Treasury Securities, Federal Reserve Bank of New York Economic Policy Review, July 1997.

  9. Glosten, Lawrence and Paul Milgrom (1985) ~Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders, Journal of Financial Economics 14 (1, March), 71-lOU.

  10. Han, Bing, David Hirshleifer, and Tracy Wang (2006) ~Investor Overconfidence and the Forward Discount Puzzle, University of Texas at Austin.

  11. Hansen, Lars Peter and Kenneth J. Singleton (1982) ~Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models, Econometrica, 50, (5, September) , 1269-1286.

  12. Lyons, Richard K. (2001) The Microstructure Approach to Exchange Rates. Cambridge, Mass.: MIT Press.
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  13. Massa, Massimo and Andrei Simonov (2003) ~Reputation and Interdealer Trading: a Microstructure Analysis of the Treasury Bond Market, Journal of Financial Markets, 6 (2, April), 99-141.

  14. Sarno, Lucio and Mark Taylor (2001) The Microstructure of the Foreign Exchange Market, A Selective Survey of the Literature, Princeton Studies in International Economics, (89, May).
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Cocites

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  1. iCurrency?. (2019). Yu, Willie ; Kakushadze, Zura.
    In: Papers.
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  2. 151 Trading Strategies. (2018). Serur, Juan Andres ; Kakushadze, Zura.
    In: Springer Books.
    RePEc:spr:sprbok:978-3-030-02792-6.

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  3. ECONOMETRIC TESTING OF UNCOVERED INTEREST RATE PARITY IN SERBIA. (2018). Mladenovi, Zorica ; Rakovi, Jelena.
    In: Economic Annals.
    RePEc:beo:journl:v:63:y:2018:i:216:p:35-62.

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  4. ECONOMETRIC TESTING OF UNCOVERED INTEREST RATE PARITY IN SERBIA. (2018). Mladenovi, Zorica ; Rakovi, Jelena.
    In: Economic Annals.
    RePEc:beo:journl:v:62:y:2018:i:216:p:35-62.

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  5. Bad news in the Great Depression, the Great Recession, and other U.S. recessions: A comparative study. (2017). L'Huillier, Jean-Paul ; Yoo, Donghoon ; Lhuillier, Jean-Paul.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:81:y:2017:i:c:p:79-98.

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  6. A sentiment-based explanation of the forward premium puzzle. (2013). Yu, Jianfeng.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:60:y:2013:i:4:p:474-491.

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  7. Is there a carry trade channel of monetary policy in emerging countries?. (2012). Kisgergely, Kornel .
    In: MNB Working Papers.
    RePEc:mnb:wpaper:2012/3.

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  8. Private Information, Capital Flows, and Exchange Rates. (2012). Gyntelberg, Jacob ; Loretan, Mico ; Tientip, Subhanij .
    In: IMF Working Papers.
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  9. Monetary policy and inferential expectations of exchange rates. (2012). Zizzo, Daniel ; Menzies, Gordon.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:2:p:359-380.

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  10. RISK PREMIUM SHOCKS, MONETARY POLICY AND EXCHANGE RATE PASS-THROUGH IN THE CZECH REPUBLIC, HUNGARY AND POLAND. (2010). Vonnák, Balázs ; VONNK, BALZS .
    In: Revista ESPE - ENSAYOS SOBRE POLÍTICA ECONÓMICA.
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  11. Risk Premium Shocks, Monetary Policy and Exchange Rate Pass-Through in the Czech Republic, Hungary and Poland. (2010). Vonnák, Balázs ; Balazs, Vonnak .
    In: Revista ESPE - Ensayos sobre Política Económica.
    RePEc:bdr:ensayo:v:28:y:2010:i:61:p:306-351.

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  12. Arbitrage Capital and Currency Carry Trade Returns. (2009). Suominen, Matti ; Jylha, Petri.
    In: 2009 Meeting Papers.
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  13. Comment on Carry Trades and Currency Crashes. (2009). Verdelhan, Adrien ; Lustig, Hanno.
    In: NBER Chapters.
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  14. The Determinants of Carry Trade Risk Premia. (2009). Corcoran, Aidan.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp287.

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  15. The information content of market liquidity: An empirical analysis of liquidity at the Oslo Stock Exchange. (2009). Skjeltorp, Johannes ; Ødegaard, Bernt.
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  16. The puzzling dual of the uncovered interest parity puzzle evidence from Pacific Rim capital flows. (2009). Cook, David.
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  17. Heterogeneity in exchange rate expectations: Evidence on the chartist-fundamentalist approach. (2009). Schröder, Michael ; Menkhoff, Lukas ; Schroder, Michael ; Rebitzky, Rafael R..
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    RePEc:eee:jeborg:v:70:y:2009:i:1-2:p:241-252.

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  18. LEARNING, THE FORWARD PREMIUM PUZZLE, AND MARKET EFFICIENCY. (2009). Chakraborty, Avik.
    In: Macroeconomic Dynamics.
    RePEc:cup:macdyn:v:13:y:2009:i:s1:p:31-57_08.

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  19. A Sticky-information General Equilibrium Model por Policy Analysis. (2009). Reis, Ricardo.
    In: Central Banking, Analysis, and Economic Policies Book Series.
    RePEc:chb:bcchsb:v13c08pp227-283.

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  20. Inferential Expectations. (2009). Zizzo, Daniel ; Menzies, Gordon.
    In: The B.E. Journal of Macroeconomics.
    RePEc:bpj:bejmac:v:9:y:2009:i:1:n:42.

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  21. The information content of market liquidity: An empirical analysis of liquidity at the Oslo Stock Exchange?. (2009). Skjeltorp, Johannes ; Ødegaard, Bernt.
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  22. THE ECONOMICS OF THE UNCOVERED INTEREST PARITY CONDITION FOR EMERGING MARKETS. (2009). Fendoglu, Salih ; Ardic, Oya ; Alper, C. Emre.
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  23. Private information, stock markets, and exchange rates. (2009). Loretan, Mico ; Gyntelberg, Jacob ; Chan, Eric ; Subhanij, Tientip .
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  24. A Sticky-Information General Equilibrium Model for Policy Analysis. (2008). Reis, Ricardo.
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  25. The Forward Premium Puzzle only emerges gradually. (2007). von Hagen, Juergen ; Bernoth, Kerstin ; de Vries, Casper G. ; Jürgen von Hagen, .
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  28. Investor Overconfidence and the Forward Discount Puzzle. (2007). Hirshleifer, David ; han, bing ; Wang, Tracy.
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