위험회피부 이자율평가에 관한 실증적 연구 = Empirical study on covered interest rates parity

목차 (Table of Contents)

• Ⅰ. 서언
• Ⅱ. 위험회피부 이자율평가의 함의와 기존 연구의 검토
• Ⅲ. 위험회피부 이자율평가의 실증분석
• Ⅳ. 요약 및 결론
• 참고문헌
• Abstract

참고문헌 (Reference)

1 오호일, "자본자유화의 진전과 자본수지 구조변화" 한국은행 3-22, 1997

2 정치화, "선물환시장의 시간변화 위험프리미엄과 효율성에 관한 연구" 홍익대학교 대학원 1997

3 Bahmani-Oskooee, M., "Transaction Costs and Interest Parity Theorem" 93 : 793-799, 1985

4 R. M. Levich, "Transaction Costs and Interest Arbitrage:Tranquil versus Turbulent Periods" 85 : 1209-1226, 1977

5 Clinton,K, "Transaction Costs And Covered Interest Arbitrage:Theory And Evidence" 96 (96): 358-370, 1988

6 L. M. Wakeman, "The law of one price in the Euro-currency market" 1 : 307-323, 1982

7 Mishkin,F. S, "The Real Interest Rate:A Multi-Country Empirical Study" 17 : 283-311, 1981

8 Branson,W. H, "The Minimum Covered Interest Differential Needed For International Arbitrage Activity" 77 (77): 1028-1035, 1969

9 Aliber,R. Z, "The Interest Parity Theorem:A Reinterpretation" 81 : 1451-1459, 1973

10 R. H. Bhatti, "Testing Covered Interest Parity under Fisherian Expectations" 28 : 71-74, 1996

11 Levi,M. D, "Taxation and 'Abnormal' International Capital Flows" 85 : 635-646, 1977

12 Schnabel,J. A, "Tax Wedges,Bid-Ask Spreads,and International Financial Parity Conditions" 13 : 363-368, 1992

13 Pippenger, J, "Spot Rates, Forward Rates, and Interest-Rate Differentials" 4 : 375-383, 1972

14 Mark,N. C, "Some Evidence on the International Equality of Real Interest Rates" 4 : 189-208, 1985

15 Loopesko, B.(, "Relationships among Exchange Rates, Intervention and Interest Rates: An Empirical Investigation" 3 : 257-278, 1984

16 R. M. Levich, "Political vs. Currency Premia in International Real Interest Differentials" 1083-1121, 1988

17 M. P. Taylor, "Interest Rate Parity:Some New Evidence" 41 (41): 255-274, 1989

18 B. R. Lang, "Interest Rate Parity Tests:Switzerland and Some Major Western Countries" 5 : 187-200, 1981

19 Marston, R. C, "Interest Differentials Under Bretton Woods and the Post-Bretton Woods Float: The Effects of Capital Controls and Exchange Risk" in Bordo and Eichengreen(eds.)" A Retrospective on the Bretton Woods System: Lessons for International Monetary Reform 518-538, 1993

20 Marston, R. C, "Interest Arbitrage in the Euro Currency Markets" 7 : 1-13, 1976

21 Bollerslev,T, "Generalized Autoregressive Conditional Heteroskedasticity" 31 : 307-327, 1986

22 McClure,J. H, "Forward Rate Biases and Inconsistencies with Tax-modified Fisher Conditions" 32 : 49-51, 1990

23 Taylor,S. J, "Forecasting the Volatility of Currency Exchange Rates" 3 : 159-170, 1986

24 Isard, P, "Exchange Rate Economics" Cambridge University Press. 1995

25 Levich, R. M, "Empirical Studies of Exchange Rates: Price Behavior, Rate Determination and Market Efficiency" in Jones and Kenen(eds.)" 2 : 979-1040, 1985

26 Faruqee,H, "Dynamic Capital Mobility in Pacific Basin Developing Countries" 39 (39): 706-717, 1992

27 Lotz,W, "Die Whrungsfrage in sferreich-Ungarn" 13 : 34-35, 1889

28 Taylor,M. P, "Covered Interest Parity: A High-Frequency, High Quality Data Study" 54 : 429-438, 1987

29 W. J. Tease, "Covered Interest Parity in Non-dollar Euromarkets" 606-617, 1987

30 R. M. Levich, "Covered Interest Arbitrage:Unexploited Profits? Reply" 87 (87): 418-422, 1979

31 R. M. Levich, "Covered Interest Arbitrage:Unexploited Profits?" 83 (83): 325-338, 1975

32 McCormick,F, "Covered Interest Arbitrage and Market Turbulence" 87 (87): 411-417, 1979

33 Taylor,M. P, "Covered Interest Arbitrage And Market Turbulence" 90 : 376-391, 1989

34 P. Isard, "Capital Controls,Political Risk and Deviations from Interest-Rate Parity" 88 : 70-84, 1980

35 Spiegel,M. M, "Capital Controls and Deviations from Proposed Interest Rate Parity:Mexico 1982" 28 : 239-248, 1990

36 Mishkin,F. S, "Are Real Interest Rates Equal across Countries? An Empirical Investigation of International Parity Conditions" 1345-1358, 1984

37 Reuters, "An Introduction to Foreign Exchange & Money Markets" John Wiley & Sons(Asia). 1999

38 Wu,Jyh-Lin, "A re-examination of the exchange rate-interest differential relationship:evidence from Germany and Japan" 18 : 319-336, 1999

39 Keynes,J. M, "A Tract on Monetary Reform" Macmillan. 1923

40 Blenman, L. P, "A Model Of Covered Interest Arbitrage Under Market Segmentation" 23 (23): 706-717, 1991