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Effects of speculation and interest rates in a “carry trade” model of commodity prices
Frankel, Jeffrey A. - In: Journal of international money and finance 42 (2014), pp. 88-112
Persistent link: https://www.econbiz.de/10010371827
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How to cope with volatile commodity export prices : four proposals
Frankel, Jeffrey A. - 2017
Persistent link: https://www.econbiz.de/10011759868
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How to cope with volatile commodity export prices : four proposals
Frankel, Jeffrey A. - 2017
Persistent link: https://www.econbiz.de/10011813744
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Recent Estimates of Time-Variation in the Conditional Variance and in the Exchange Risk Premium
Frankel, Jeffrey A. - 1987
The optimal-diversification model of investors' portfolio behavior can give a linear relationship between the exchange risk premium and the conditional exchange rate variance. This note surveys recent empirical work that allows for the conditional variance itself, and therefore the risk premium,...
Persistent link: https://www.econbiz.de/10012476701
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European integration and the regionalization of world trade and currencies : the economics and the politics
Frankel, Jeffrey A. - In: Monetary and fiscal policy in an integrated Europe : …, (pp. 202-232). 1995
Persistent link: https://www.econbiz.de/10001289569
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Exchange rates and monetary policy
Frankel, Jeffrey A. - In: Exchange rates, capital flows, and monetary policy in a …, (pp. 1-15). 1997
Persistent link: https://www.econbiz.de/10001402022
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A Relationship Between Regression Tests and Volatility Tests of Market ncy
Frankel, Jeffrey A. - 1983
Volatility tests are an alternative to regression tests for evaluating the joint null hypothesis of market efficiency … taken to be. By considering tests based on conditional volatility bounds, we show that if the alternative is that one could … conditional volatility tests.If the application is to spot and forward markets, then the most powerful conditional volatility test …
Persistent link: https://www.econbiz.de/10012477997
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A Relationship between Regression Tests and Volatility Tests of Market Ncy
Frankel, Jeffrey A. - 2010
Volatility tests are an alternative to regression tests for evaluating the joint null hypothesis of market efficiency … taken to be. By considering tests based on conditional volatility bounds, we show that if the alternative is that one could … conditional volatility tests.If the application is to spot and forward markets, then the most powerful conditional volatility test …
Persistent link: https://www.econbiz.de/10013141210
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Are leading indicators of financial crises useful for assessing country vulnerability? : evidence from the 2008 - 09 global crisis
Frankel, Jeffrey A.; Saravelos, George - 2010
Persistent link: https://www.econbiz.de/10003978501
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A survey of empirical research on nominal exchange rates
Frankel, Jeffrey A.; Rose, Andrew - 1995
Persistent link: https://www.econbiz.de/10000917654