- The Journal of Economic Perspectives
- Vol. 4, No. 3, Summer, 1990
- Anomalies: Foreign E...
Anomalies: Foreign Exchange
Kenneth A. Froot and Richard H. Thaler
The Journal of Economic Perspectives
Vol. 4, No. 3 (Summer, 1990), pp. 179-192
Published by: American Economic Association
Stable URL: http://www.jstor.org/stable/1942936
Page Count: 14
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The Journal of Economic PerspectivesCoverage: 1987-2016 (Vol. 1, No. 1 - Vol. 30, No. 2)
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Notes and References
This item contains 45 references.
[Footnotes]
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1Meese (1990)
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4Engel and Hamilton (1990)
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6Stulz (1986)
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7Bates (1988)
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8This reference contains 3 citations:
- Dornbusch (1982)
- Frankel (1982)
- Krugman (1989)
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9Frankel and Froot (1987)
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10Evans (1986)
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10This reference contains 2 citations:
- Cutler, Poterba, and Summers (1990)
- Kyle (1985)
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11This reference contains 2 citations:
- Hodrick and Srivastava (1984)
- Bilson's (1981)
References
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Bates, David, "The Crash Premium: Option Pricing under Asymmetric Processes, with Ap- plications to Options on Deutsche Mark Fu- tures," Rodney L. White Discussion Paper 36-88, University of Pennsylvania, October, 1988.
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Bilson, John, "The Speculative Efficiency Hypothesis," Journal of Business, 1981, 54, 433-451.
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Boothe, Paul, and David Longworth, "For- eign Exchange Market Efficiency Tests: Impli- cations of Recent Findings," Journal of Interna- tional Money and Finance, 1986, 5, 135-52.
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Cumby, Robert, and David Modest, "Test- ing for Market Iiming Ability: A Framework for Forecast Evaluation," Journal of Financial Economics, 1987, 169-89.
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Cutler, David M., James M. Poterba, Lawrence H. Summers, "Speculative Dynam- ics and the Role of Feedback T'raders," Ameri- can Economic Review, May 1990.
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Domowitz, Ian, and Craig Hakkio, "Condi- tional Variance and the Risk Premium in the Foreign Exchange Market," Journal of Interna- tional Economics, 1985, 19, 47-66.
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Dooley, Michael P., and Jeff Shafer, "Anal- ysis of Short-Run Exchange Rate Behavior: March 1983 to November 1981." In Bigman, D., and T. TIaya, ed., Exchange Rate and Trade Instability: Causes, Consequences, and Remedies. Cambridge: Ballinger, 1983.
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Dornbusch, Rudiger, "Equilibrium and Disequilibrium Exchange Rates," Zeitschrift für Wirtschafts und Sozialwissenschaften, 1982, 6, 573-99.
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Engel, Charles M., and James Hamilton, "Long Swings in the Foreign Exchange Mar- ket: Are They There, and Do Investors Know it?," American Economic Review, 1990.
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Engel, Charles M., and Anthony P. Rodrigues, "TIests of International CAPM with TIime-Varying Covariances," Journal of Applied Econometrics, 1989, 4, 119-38.
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Evans, George W., "A 'I'est for Speculative Bubbles in the Sterling-Dollar Exchange Rate: 1981-84," American Economic Review, Septem- ber 1986, 76, 621-636.
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Fama, Eugene F., "Forward and Spot Ex- change Rates," Journal of Monetary Economics, 1984, 36, 697-703.
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Frankel, Jeffrey A., "A T est of Perfect Sub- stitutability in the Foreign Exchange Market," Southern Economic Journal, 1982, 48, 406-16.
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Frankel, Jeffrey A., and Charles M. Engel, "Do Asset Demand Functions Optimize over the Mean and Variance of Real Returns? A Six Currency Test," Journal of International Eco- nomics, 1984, 17, 309-323.
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Frankel, Jeffrey A., and Kenneth A. Froot, "Using Survey Data to Test Standard Proposi- tions on Exchange Rate Expectations," Ameri- can Economic Review, March 1987, 77, 133-153.
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Friedman, Milton, "The Case for Flexible Exchange Rates." In his Essays in Positive Eco- nomics. Chicago: University of Chicago Press, 1953, 157-203.
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Froot, Kenneth A., "Short Rates and Ex- pected Asset Returns," NBER Working paper No. 3247, January 1990.
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Froot, Kenneth A., and Jeffrey A. Frankel, "Forward Discount Bias: Is it an Exchange Risk Premium?" Quarterly Journal of Economics, February 1989, 416, 139-161.
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Giovannini, Alberto, and Phillipe Jorion, "The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets," Journal of Finance, 1989.
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Hodrick, Robert J., The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets. Chur, Switzerland: Har- wood Academic Publishers, 1987.
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Hodrick, Robert J., and Sanjay Srivastava, "An Investigation of Risk and Return in For- ward Foreign Exchange," Journal of Interna- tional Money and Finance, April 1984, 3, 5-30.
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Hodrick, Robert J., and Sanjay Srivastava, "The Covariation of Risk Premiums and Ex- pected Future Spot Rates," Journal of Interna- tional Money and Finance, 1986, V, S5-S22.
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Krugman, Paul R., Exchange Rate Instability. Cambridge: MIT Press, 1989.
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Kyle, Albert F., "Continuous Auctions and Insider TIrading," Econometrica, November 1985, 53, 1315-1336.
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Levich, Richard, "Empirical Studies of Ex- change Rates: Price Behavior, Rate Determi- nation and Market Efficiency." In Jones, R. W., and P. B. Kenen, eds. Handbook of International Economics, Volume 2. Amsterdam: North Holland, 1985.
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Lewis, Karen K., "Changing Beliefs and Systematic Rational Forecast Errors with Evi- dence from Foreign Exchange," American Eco- nomic Review, September 1989, 79, 621-636.
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Mark, Nelson C., "On Time Varying Risk Premia in the Foreign Exchange Market: An Econometric Analysis," Journal of Monetary Economics, 1985, 16, 3-18.
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Meese, Richard, "Currency Fluctuations in the Post-Bretton Woods Era," Journal of Eco- nomic Perspectives, Winter 1990, 4, 117-134.
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This reference contains 2 citations:
- Mussa, Michael, "Empirical Regularities in the Behavior of Exchange Rates and Theories of the Foreign Exchange Market." In Brun- ner, K., and A. H. Meltzer, eds., Policies for Employment Prices and Exchange Rates, Vol. 11. Carnegie-Rochester Conference Series on Public Policy
- Journal of Monetary Economics, 1979, 9-57.
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Nurkse, Ragnar, International Currency Expe- rience. Geneva: League of Nations, 1944.
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Obstfeld, Maurice, "The Effectiveness of Foreign-Exchange Intervention: Recent Expe- rience 1985-1988." In Branson, W., J. Frenkel, and M. Goldstein, eds., International Policy Coordination and Exchange Rate Determi- nation. Chicago: University of Chicago Press, 1990.
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Rogoff, Kenneth, " Essays on Expectations and Exchange Rate Volatility," Ph.D. Disserta- tion Massachusetts Institute of Technology, 1979.
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Schulmeister, Stephan, "An Essay on Ex- change Rate Dynamics," WZB, Berlin Discus- sion Paper no. 87-8, July 1987.
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Stulz, Rene, "An Equilibrium Model of Ex- change Rate Determination and Asset Pricing with Non-Traded Goods and Imperfect Infor- mation," mimeo, Ohlio State University, 1986.
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Sweeney, R. J., "Beating the Foreign Ex- change Market," Journal of Finance, 1986, 41, 163-82.
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Tversky, Amos, and Richard H. Thaler, "Anomalies: Preference Reversals," Journal of Economic Perspectives Spring, 1990, 4, 201-211.
The Journal of Economic Perspectives © 1990 American Economic Association