The 18 linked references in paper Christopher F. Baum, John Barkoulas (2001) “Dynamics of Intra-EMS Interest Rate Linkages” / RePEc:boc:bocoec:492

  1. Baillie, Richard T. (1996) “Long memory processes and fractional integration in econometrics.” Journal of Econometrics, 73, 5-59.
  2. Bekaert, Geert and Robert Hodrick. (1992) “Characterizing predictable components in excess returns on equity and foreign exchange markets.” Journal of Finance, 47, 467-509.
  3. Caporale, Guglielmo, Sarantis Kalyvitis and Nikitas Pittis. (1996) “Interest rate convergence, capital controls, risk premia, and foreign exchange market efficiency in the EMS.” Journal of Macroeconomics, 18, 693-714.
  4. Engel, Charles. (1996) “The forward discount anomaly and the risk premium: A survey of recent evidence.” Journal of Empirical Finance, 3, 123-192.
  5. Fama, Eugene. (1984) “Forward and spot exchange rates.” Journal of Monetary Economics, 14, 319-328.
  6. Hansen, Lars and Robert Hodrick. (1980) “Forward exchange rates as optimal predictors of future spot rates: An econometric analysis.” Journal of Political Economy, 88, 829-853.
  7. Hassapis, Christis, Nikitas Pittis, and Kyprianos Prodromidis. (1999) “Unit roots and Granger causality in the EMS interest rates: The German dominance hypothesis revisited.” Journal of International Money and Finance, 18, 47-73.
  8. Hodrick, Robert and Sanjay Srivastava. (1984) “An investigation of risk and return in forward foreign exchange.” Journal of International Money and Finance, 3, 5-29.
  9. European Monetary System: A time series analysis.” Journal of Money, Credit, and Banking, 22, 388-394.
  10. European Monetary System: Further analysis.” Journal of Money, Credit, and Banking, 25, 771-779.
  11. Korajczyk, Robert A. (1985) “The pricing of forward contracts for forward exchange.” Journal of Political Economy, 93, 346-368.
  12. Krugman, Paul. (1991) “Target zones and exchange rate dynamics.” Quarterly Journal of Economics, 106, 311-325.
  13. Lien, Donald and Yiu Kuen Tse. (1999) “Fractional cointegration and futures hedging.” Journal of Futures Markets, 19, 457-474.
  14. Meese, Richard and Kenneth Singleton. (1982) “On unit roots and the empirical modeling of exchange rates.” Journal of Finance, 37, 1029-1035.
  15. Rose, Andrew and Lars Svensson. (1995) “Expected and predicted realignments: The FF/DM exchange rate during the EMS, 1979-93.” Scandinavian Journal of Economics, 97, 173-200.
  16. Shively, Philip A. (2000) “Stationary time-varying risk premia in forward foreign exchange rates.” Journal of International Money and Finance, 19, 273-288.
  17. Svensson, Lars. (1992) “The foreign exchange risk premium in a target zone with devaluation risk.” Journal of International Economics, 33, 21-40.
  18. Wolff, Christian P. (1987) “Forward foreign exchange rates, expected spot rates and premia: A signal extraction approach.” Journal of Finance, 42, 395-406.