Covered interest parity: The untestable hypothesis

References

• Aggarwal, R., B. M. Lucey, and S. K. Mohanty. 2009. “The Forward Exchange Rate Bias Puzzle is Persistent: Evidence from Stochastic and Nonparametric Cointegration Tests.” Financial Review 44:625–45. doi:10.1111/j.1540-6288.2009.00233.x
   Google Scholar
• Aggarwal, R., and S. Zong. 2008. “Behavioral Biases in Forward Rates as Forecasts of Future Exchange Rates: Evidence of Systematic Pessimism and Under-Reaction.” Multinational Finance Journal 12:241–77.
   Google Scholar
• Akram, Q. F., D. Rime, and L. Sarno. 2008. “Arbitrage in the Foreign Exchange Market: Turning on the Microscope.” Journal of International Economics 76:237–53.
   Web of Science ®Google Scholar
• Baba, N., and F. Packer. 2009. “Interpreting Deviations from Covered Interest Parity during the Financial Market Turmoil of 2007-08.” Journal of Banking and Finance 33:1953–62. doi:10.1016/j.jbankfin.2009.05.007
   Web of Science ®Google Scholar
• Bergmann, B. 1999. “Abolish the Nobel Prize for Economics.” Challenge 42:52–57. doi:10.1080/05775132.1999.11472090
   Google Scholar
• Chatterjee, D. 2010. “ Three Essays in Forward Rate Unbiasedness Hypothesis.” PhD diss., Utah State University.
   Google Scholar
• Committeri, M., S. Rossi, and A. Santorelli. 1993. “Tests of Covered Interest Parity on the Euromarket with High-Quality Data.” Applied Financial Economics 3:89–93. doi:10.1080/758527822
   Google Scholar
• Coulbois, P., and P. Prissert. 1974. “Short Term Capital Flows and Monetary Policy.” De Economist 122:283–308. doi:10.1007/bf01680112
   Web of Science ®Google Scholar
• Engel, C. 1996. “The Forward Discount Anomaly and Risk Premium: A Survey of Recent Evidence.” Journal of Empirical Finance 3:123–91. doi:10.1016/0927-5398(95)00016-x
   Google Scholar
• Felmingham, B., and S. Leong. 2005. “Parity Conditions and the Efficiency of the Australian 90- and 180-Day Forward Markets.” Review of Financial Economics 14:27–145. doi:10.1016/j.rfe.2004.08.003
   Google Scholar
• Fong, W. M., G. Valente, and J. K. W. Fung. 2010. “Covered Interest Arbitrage Profits: The Role of Liquidity and Credit Risk.” Journal of Banking and Finance 34:1098–107. doi:10.1016/j.jbankfin.2009.11.008
   Web of Science ®Google Scholar
• Frankel, J., and A. MacArthur. 1988. “Political vs. Currency Premia in International Real Interest Differential.” European Economic Review 32:1083–114. doi:10.1016/0014-2921(88)90068-2
   Web of Science ®Google Scholar
• Godley, W., and M. Lavoie. 2012. Monetary Economics: An Integrated Approach to Credit, Money, Income, Production and Wealth. 2nd ed. London: Palgrave.
   Google Scholar
• Grubel, H. G. 1966. Forward Exchange, Speculation, and the International Flow of Capital. Stanford: Stanford University Press.
   Google Scholar
• Jones, S. 2009. “ Deviations from Covered Interest Parity during the Credit Crisis.” Working Paper, The Leonard N. Stern School of Business, New York. http://web-docs.stern.nyu.edu/glucksman/docs/Jones2009.pdf.
   Google Scholar
• Kaltenbrunner, A. 2012. “ How to Interpret the Forward Rate in the Foreign Exchange Market? Horizontalists vs. Structuralists in the Open Economy Annina University of Leeds Business School.” http://www.boeckler.de/pdf/v_2012_10_25_kaltenbrunner.pdf.
   Google Scholar
• Lavoie, M. 2000. “A Post Keynesian View of Interest Parity Theorems.” Journal of Post Keynesian Economics 23:163–79. doi:10.1080/01603477.2000.11490276
   Web of Science ®Google Scholar
• Lavoie, M. 2002. “Interest Parity, Risk Premia and Post Keynesian Analysis.” Journal of Post Keynesian Economics 25:237–49.
   Web of Science ®Google Scholar
• Lavoie, M. 2014. Post-Keynesian Economics: New Foundations. Cheltenham: Edward Elgar.
   Google Scholar
• Lewis, K. K. 1995. “Puzzles in International Financial Markets.” In Handbook of International Economics, edited by G. Grossman and K. Rogoff, vol. 3, 1914–1971. Amsterdam: North-Holland.
   Google Scholar
• Llewellyn, D. T. ed. 1980. International Financial Integration The Limits of Sovereignty. London: Macmillan.
   Google Scholar
• McDonald, R. 2007. Exchange Rate Economics: Theories and Evidence. London: Routledge.
   Google Scholar
• Moosa, I. A. 1996. “A Note on Capital Mobility.” Southern Economic Journal 63:248–54. doi:10.2307/1061318
   Web of Science ®Google Scholar
• Moosa, I. A. 2004a. “What is Wrong with Market-Based Forecasting of Exchange Rates?” International Journal of Business and Economics 3:107–21.
   Google Scholar
• Moosa, I. A. 2004b. “An Empirical Examination of the Post Keynesian View of Forward Exchange Rates.” Journal of Post Keynesian Economics 26:395–418.
   Web of Science ®Google Scholar
• Moosa, I. A. 2015. “The Random Walk Versus Unbiased Efficiency: Can We Separate the Wheat from the Chaff?” Journal of Post Keynesian Economics 38:251–79. doi:10.1080/01603477.2015.1078734
   Web of Science ®Google Scholar
• Moosa, I. A., and R. H. Bhatti. 1997. “Does Speculation Play Any Role in Determining the Forward Exchange Rate?” Applied Financial Economics 7:611–17. doi:10.1080/758533853
   Google Scholar
• Nandi, S. 2014. Economics of the International Financial System. Delhi: Routledge.
   Google Scholar
• Officer, L. H., and T. D. Willet. 1979. “The Covered-Arbitrage Schedule: A Critical Survey of Recent Developments.” Journal of Money, Credit and Banking 2:247–57.
   Google Scholar
• Sánchez, E. R. 2013. Is the Forward Rate a True Unbiased Predictor of the Future Spot Exchange Rate? Univerdidad Comlustense Madrid. http://www.ucm.es/data/cont/docs/518-2013-10-23-Renedo13.pdf.
   Google Scholar
• Smithin, J. 1994. Controversies in Monetary Economics: Ideas, Issues and Policy. Cheltenham: Edward Elgar.
   Google Scholar
• Smithin, J. 2002. “Interest Parity, Purchasing Power Parity, “Risk Premia”, and Post Keynesian Economic Analysis.” Journal of Post Keynesian Economics 25:219–35.
   Web of Science ®Google Scholar
• Spraos, J. 1953. “The Theory of Forward Exchange and Recent Practice.” The Manchester School of Economics and Social Studies 21:87–117. doi:10.1111/j.1467-9957.1953.tb01474.x
   Google Scholar
• Szilagyi, P. G., and J. A. Batten. 2006. “ Arbitrage, Covered Interest Parity and Long-Term Dependence Between the US Dollar.” IIIS Discussion Paper No. 128, Institute for International Integration Studies, Trinity College, Dublin. https://www.tcd.ie/iiis/documents/discussion/pdfs/iiisdp128.pdf.
   Google Scholar
• Taylor, M. P. 1987. “Covered Interest Parity: A High-Frequency, High-Quality Data Study.” Economica 54:429–53. doi:10.2307/2554178
   Web of Science ®Google Scholar
• Thornton, D. L. 1989. Tests of Covered Interest Rate Parity, Federal Reserve Bank of St. Louis Economic Review, July/August, 55–66.
   Google Scholar
• Tsiang, S. C. 1959. “The Theory of Forward Exchange and the Effects of Government Intervention on the Forward Market.” IMF Staff Papers 6:75–106. doi:10.2307/3866124
   Google Scholar
• Waheed, M. 2009. “ Forward Rate Unbiased Hypothesis, Risk Premium and Exchange Rate Expectations: Estimates on Pakistan Rupee-US Dollar.” MPRA Paper No. 33167, University of Munich, Munich.
   Google Scholar
• Wang, P., and T. Jones. 2002. “Testing for Efficiency and Rationality in Foreign Exchange Markets—A Review of the Literature and Research on Foreign Exchange Market Efficiency and Rationality with Comments.” Journal of International Money and Finance 21:223–39. doi:10.1016/s0261-5606(01)00042-0
   Web of Science ®Google Scholar
• Zhu, Z. 2002. “Time-Varying Forward Bias and the Expected Excess Return.” Journal of International Financial Markets, Institutions and Money 12:119–37. doi:10.1016/s1042-4431(01)00053-1
   Google Scholar