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• W2017768920 abstract "ABSTRACT We examine the effect of segmented commodity markets on the relation between forward and future spot exchange rates in a dynamic economy. We calculate the slope coefficient in our theoretical economy from regressing exchange rate changes on forward premia. With reasonable parameter values, the slope coefficient is less than unity. However, even for extreme parameters the slope is not less than zero, as found in the data. A negative slope coefficient in a nominal version of the model requires the covariance between monetary shocks and relative output shocks to be significantly negative, in contrast to the covariance in the data." @default.
• W2017768920 created "2016-06-24" @default.
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• W2017768920 date "1997-12-01" @default.
• W2017768920 modified "2023-10-06" @default.
• W2017768920 title "An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets" @default.
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• W2017768920 doi "https://doi.org/10.1111/j.1540-6261.1997.tb02756.x" @default.
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