| Reference: | Bansal, R., Dahlquist, M., 2000. The forward premium puzzle: different Tales from developed and emerging economies. Journal of International Economics 51 (1), 115–144.
Beine, M., Laurent, S., Lecourt, C., 2003. Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis. European Economic Review 47(5): 891-911.
Bekaert, G., Hodrick, B., 1993. On biases in the measurement of foreign exchange risk premiums. Journal of International Money and Finance 12, 115–138.
Bekaert, G., Wei, M., Xing, Y., 2007. Uncovered interest rate parity and the term structure. Journal of International Money and Finance 26 (6), 1038–1069.
Bilson, John, 1981. The Speculative Efficiency Hypothesis, Journal of Business, Vol. 54(June), pp. 433–51.
Bollen, N.P.B., Gray, S.F., Whaley, R.E., 2000. Regime switching in foreign exchange rates: evidence from currency option prices. Journal of Econometrics 94, 29–276.
Chaboud, A., Wright, J., 2005. Uncovered Interest Parity: It Works, But Not For Long. Journal of International Economics 66, 349-362.
Chinn, M. and G. Meredith, 2004. Monetary Policy and Long Horizon Uncovered Interest Parity, IMF Staff Papers, Vol. 51 No. 3, November, pp. 409-430.
Dewachter, H., 2001. Can Markov switching models replicate chartist profits in the foreign exchange market? Journal of International Money and Finance 20, 25–41.
Engel, C., 1994. Can the Markov switching model forecast rates? Journal of International Economics 36, 151–165.
Fama, Eugene F. , 1984. Forward and Spot Exchange Rates. Journal of Monetary Economics 14:319–38.
Hamilton, J.D., 1989. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57, 357–384.
Hansen, L.P. and R.J. Hodrick , 1980. Forward Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis. Journal of Political Economy,Vol. 88, pp. 829-53.
Lustig, H., and A. Verdelhan, 2007. The Cross-section of Foreign Currency Risk Premia and Consumption Growth Risk. American Economic Review 97:89–117.
Lustig.H, N. Roussanov, and A. Verdelhan, 2011. Common risk factors in currency markets. Review of Financial Studies,24 (2011), pp. 3731–3777.
MacDonald, R. and I. W. Marsh (1997), “On Casselian PPP, Cointegration and
Exchange Rate Forecasting,” Review of Economics and Statistics, Vol. 79,
655–64.
McCallum, Bennett T., 1994. A Reconsideration of the Uncovered Interest Parity Relationship, Journal of Monetary Economics, Vol. 33 (February), pp. 105–32.
Menkhoff, L., Lucio, S., Maik, S., Schrimpf, A., 2012. Carry Trades and Global Foreign Exchange Volatility. Journal of Finance, 67 (2012), pp. 681–718.
Michael J. Moore , Maurice J. Roche, 2012. When does uncovered interest parity hold? Journal of International Money and Finance 31 (2012) 865–879.
Michael Hulchison, Vladyslav Sushko, 2011. Impact of macroeconomics surprises on carry trade activity. Journal of Banking & Finance(2012), doi http://dx.doi.org/10.1016/j.jbankfin.2012.10.022
Nikolsko-Rzhevskyy, A.and Prodan, R., 2012. Markov switching and exchange rate predictability. International Journal of Forecasting, 28, 353-365.
Ross, S. A., 1976. The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory 13:341–60.
Taylor, J. B. (1993), “Discretion versus Policy Rules in Practice,” Carnegie Rochester
Conference Series on Public Policy, 39, 195–214.
Taylor, J. B. (2001), “The Role of the Exchange Rate in Monetary-Policy Rules,” American Economic Review, 91, 263–267.
楊凱文, 2001. 貨幣學派匯率決定理論之新臺幣對美元匯率實證研究. JEL classification:F31
楊鎰鴻, 2013.以情境轉換模型建構外匯投資組合績效分析.NCCU Master Thesis
姚睿、朱俊虹與吳俊毅 (2010)，「台灣泰勒法則估計之資料訊息問題」，臺灣經濟預測與政策，第四十一卷第一期，頁85-119。 |
