The effect of forward exchange on spot-rate volatility under risk and rational expectations

Author:

Kawai Masahiro

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference26 articles.

1. The interest rate parity theorem: A reinterpretation;Aliber;Journal of Political Economy,1973

2. Reduced forms of rational expectations models;Aoki;Quarterly Journal of Economics,1979

3. Flexible exchange rates, forward markets, and the level of trade;Baron;American Economic Review,1976

4. Speculation, rational expectations, and stability of the foreign exchange market;Driskill;Journal of International Economics,1980

5. Spot and forward rates in a stochastic model of the foreign exchange market;Driskill;Journal of International Economics,1982

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1. Forward-rate target zones and exchange rate dynamics;Journal of International Money and Finance;2008-09

2. EXCHANGE RATE VARIABILITY AND EXCHANGE MARKET INTERVENTION: SPOT vs. FORWARD;International Economic Journal;1998-06-01

3. Futures market and spot price volatility: A model for a storable commodity;European Journal of Political Economy;1994-07

4. Forward market intervention, endogenous speculation, and exchange rate variability;Atlantic Economic Journal;1993-03

5. Risk, the financial market, and macroeconomic equilibrium;Journal of Economic Dynamics and Control;1993-01

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