Forward exchange rate unbiasedness is rejected in tests from the current floating exchange
rate era. This paper surveys advances in this area since the publication of Hodrick's (1987) …

Untitled Page 1 Page 2 Harwood Fundamentals of Pure and Applied Economics THE EMPIRICAL
EVIDENCE ON THE EFFICIENCY OF FORWARD AND FUTURES FOREIGN EXCHANGE …

We identify a “slope” factor in exchange rates. High interest rate currencies load more on this
slope factor than low interest rate currencies. This factor accounts for most of the cross …

First published in 2007. Exchange Rate Economics: Theories and Evidence is the second
edition of Floating Exchange Rates: Theories and Evidence, and builds on the successful …

This paper re‐examines the evidence on Purchasing Power Parity (PPP) in the long run.
Previous studies have generally been unable to reject the hypothesis that the real exchange …

We study the impact of exchange rate fluctuations and political risk on the risk premiums
reflected in cross-sections of individual equity returns from Mexico, a country that has …

Feldstein and Horioka upset conventional wisdom in 1980 when they concluded that
changes in countries' rates of national saving had a very large effect on their rates of …

Assuming that daily spot exchange rates follow a martingale process, we derive the implied
time series process for the vector of 30-day forward rate forecast errors from using weekly …

Eugene Fama (1984) analyzed the variability and the covariation of risk premiums and
expected rates of depreciation. We employ three statistical techniques that do not suffer from …

Forward and spot exchange rates between major currencies imply large standard deviations
of both predictable returns from currency speculation and of the equilibrium price measure …