Forward and spot exchange rates in a multi-currency world
Separate literatures study violations of uncovered interest parity (UIP) using regression-
based and portfolio-based methods. We propose a decomposition of these violations into a …
based and portfolio-based methods. We propose a decomposition of these violations into a …
Foreign exchange return predictability: Rational expectations risk premium vs. expectational errors
S Moon - East Asian Economic Review, 2018 - papers.ssrn.com
We propose a simple identification scheme for the causes of the violations of uncovered
interest parity. Our method uses the serial dependence patterns of excess returns as a …
interest parity. Our method uses the serial dependence patterns of excess returns as a …
[PDF][PDF] Forward and Spot Exchange Rates in a Multi-Currency World
RC Mano - Fama-Miller Working Paper, 2015 - repec.cepr.org
Separate literatures study violations of uncovered interest parity (UIP) using regression-
based and portfolio-based methods. We propose a decomposition of these violations into a …
based and portfolio-based methods. We propose a decomposition of these violations into a …