TESTS OF RATIONAL-EXPECTATIONS AND NO RISK PREMIUM IN FORWARD EXCHANGE MARKETS

被引：57

作者：

HSIEH, DA ^{[1
]}

机构：

[1] NATL BUR ECON RES, CAMBRIDGE, MA 02138 USA

来源：

JOURNAL OF INTERNATIONAL ECONOMICS | 1984年 / 17卷 / 1-2期

关键词：

D O I：

10.1016/0022-1996(84)90013-8

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：173 / 184

页数：12

共 25 条

[1] THE SPECULATIVE EFFICIENCY HYPOTHESIS [J].

BILSON, JFO .

JOURNAL OF BUSINESS, 1981, 54 (03) :435-451

[2]

CUMBY R, 1983, EXCHANGE RATES THEOR

[3] A NOTE ON EXCHANGE-RATE EXPECTATIONS AND NOMINAL INTEREST DIFFERENTIALS - A TEST OF THE FISHER HYPOTHESIS [J].

CUMBY, RE ;

OBSTFELD, M .

JOURNAL OF FINANCE, 1981, 36 (03) :697-703

[4]

EAKER MR, 1980, J ECON BUS, V32, P249

[5]

FAMA EF, 1979, AM ECON REV, V69, P639

[6] DIVERSIFIABILITY OF EXCHANGE RISK [J].

FRANKEL, JA .

JOURNAL OF INTERNATIONAL ECONOMICS, 1979, 9 (03) :379-393

[7] TRANSACTION COSTS AND INTEREST ARBITRAGE - TRANQUIL VERSUS TURBULENT PERIODS [J].

FRENKEL, JA ;

LEVICH, RM .

JOURNAL OF POLITICAL ECONOMY, 1977, 85 (06) :1209-1226

[8] COVERED INTEREST ARBITRAGE AND UNEXPLOITED PROFITS - REPLY [J].

FRENKEL, JA ;

LEVICH, RM .

JOURNAL OF POLITICAL ECONOMY, 1979, 87 (02) :418-422

[9] SOME JOINT TESTS OF THE EFFICIENCY OF MARKETS FOR FORWARD FOREIGN-EXCHANGE [J].

GEWEKE, J ;

FEIGE, E .

REVIEW OF ECONOMICS AND STATISTICS, 1979, 61 (03) :334-341

[10] SHARING RULES AND EQUILIBRIUM IN AN INTERNATIONAL CAPITAL-MARKET UNDER UNCERTAINTY [J].

GRAUER, FLA ;

LITZENBERGER, RH ;

STEHLE, RE .

JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (03) :233-256

← 1 2 3 →