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Publications

1986
Frankel, J., and K.A. Froot. “Understanding the U.S. Dollar in the Eighties: The Expectations of Chartists and Fundamentalists.” Economic Record (Special Issue) (1986): 24–38. Understanding the U.S. Dollar in the Eighties: The Expectations of Chartists and Fundamentalists

Reprinted in Exchange Rate Economics, vol. I, edited by R. MacDonald and M. Taylor, International Library of Critical Writings in Economics, Edward Elgar Publishing, U.K., 1992.

Froot, Kenneth A., and Jeffrey A. Frankel. “The Dollar as an Irrational Speculative Bubble: A Tale of Fundamentalists and Chartists.” Marcus Wallenberg Papers in International Finance 1 (1986): 27-55. The Dollar as an Irrational Speculative Bubble: A Tale of Fundamentalists and Chartists

Revised from NBER Working Paper no. 1854.

Froot, K.A., and S. van Wijnbergen. “Capital Flight, Policy Credibility, and the Option Value of Foreign Exchange.” Massachusetts Institute of Technology (MIT), 1986.
Froot, Kenneth A. “Currency Values in a Continuous Time Capital Asset Pricing Model Driven by Asset Supplies.” Massachusetts Institute of Technology (MIT), 1986.
1987
Frankel, J., and K.A. Froot. “Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations.” American Economic Review 77, no. 1 (1987): 133–153. Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations

Revised from NBER Working Paper No. 1672.

Frankel, J., and K.A. Froot. “Short-term and Long-term Expectations of the Yen/Dollar Exchange Rate: Evidence from Survey Data.” Journal of the Japanese and International Economies 1, no. 3 (1987): 249–274. Short-term and Long-term Expectations of the Yen/Dollar Exchange Rate: Evidence from Survey Data

Revised from NBER Working Paper No. 2216, April 1987.

Froot, K.A. “Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets.” National Bureau of Economic Research Working Paper Series, 1987, 2362. Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets
1988
Frankel, J., and K.A. Froot. “Explaining the Demand for Dollars: International Rates of Return, and the Expectations of Chartists and Fundamentalists.” In Macroeconomics, Agriculture, and the Exchange Rates, edited by R. Chambers and P. Paarlberg, 25–88. Boulder: Westview Press, 1988. Explaining the Demand for Dollars: International Rates of Return, and the Expectations of Chartists and Fundamentalists
Froot, K.A. “Adjustment of the U.S. and Japanese External Imbalances. In Papers and Proceedings.” In Fourth Economic Planning Agency International Symposium , edited by M. Yoshitomi, 287–304. Japan: Economic Planning Agency, 1988.
Froot, K.A. “Credibility, Real Interest Rates, and the Optimal Speed of Trade Liberalization.” Journal of International Economics 25, no. 1-2 (1988): 71–93. Credibility, Real Interest Rates, and the Optimal Speed of Trade Liberalization

Revised from NBER Working Paper No. 2358, May 1987.

1989
Froot, K.A., and T. Ito. “On the Consistency of Short-Run and Long-Run Exchange Rate Expectations.” Journal of International Money and Finance 8, no. 4 (1989): 487–510. On the Consistency of Short-Run and Long-Run Exchange Rate Expectations

Revised from NBER Working Paper No. 2577, May 1988.

Froot, K.A., D. Scharfstein, and J. Stein. “LDC Debt: Forgiveness, Indexation, and Investment Incentives.” Journal of Finance 44, no. 5 (1989): 1335–1350. LDC Debt: Forgiveness, Indexation, and Investment Incentives

Revised from NBER Working Paper No. 2541, March 1988.

Froot, K.A. “New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates.” Journal of Finance 44, no. 2 (1989): 283–305. New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates

Revised from NBER Working Paper No. 2363, March 1990. Reprinted in Behavioral Finance, edited by H. Shefrin, part of the International Library of Critical Writings in Financial Economics, edited by R. Roll. London: Edward Elgar Publishing, 2000.

Froot, K.A., and J. Frankel. “Forward Discount Bias: Is It an Exchange Risk Premium?” Quarterly Journal of Economics 104, no. 1 (1989): 139–161. Forward Discount Bias: Is it an Exchange Risk Premium?
  • Revision of "Findings of Forward Discount Bias Interpreted in Light of Exchange Rate Survey Data," NBER Working Paper No. 1963 and Sloan Working Paper No. 1906-87, August 1987.
  • Reprinted in Advances in Behavioral Finance, edited by Richard Thaler. New York: Russell Sage Foundation, 1993: 359-382 and in Speculation and Financial Markets, edited by M. Taylor and L. Gallagher. Cheltenham, U.K.: Edward Elgar Publishing, 2001.
Froot, K.A. “Buybacks, Exit Bonds, and the Optimality of Debt and Liquidity Relief.” International Economic Review 30, no. 1 (1989): 49–70. Buybacks, Exit Bonds, and the Optimality of Debt and Liquidity Relief

Revised from NBER Working Paper No. 2675, July 1988. Translated into Spanish in Estudios Economicos 4 (July 1989): 31-60.

Froot, K.A. “Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data.” Journal of Financial and Quantitative Analysis 24, no. 3 (1989): 333–355. Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data

Revised from NBER Technical Working Paper No. 62.

Froot, K.A., and P. Klemperer. “Exchange Rate Pass-Through When Market Share Matters.” American Economic Review 79, no. 4 (1989): 637–654. Exchange Rate Pass-Through When Market Share Matters

Revised from NBER Working Paper No. 2542, October 1989.

1990
Froot, K.A. “Multinational Corporations, Exchange Rates, and Direct Investment.” In International Policy Coordination and Exchange Rate Fluctuations, edited by W. Branson, J. Frankel, and M. Goldstein. Chicago: University of Chicago Press, 1990. Multinational Corporations, Exchange Rates, and Direct Investment
Froot, Kenneth A., James F. Gammill Jr., and André Perold. New Trading Practices and the Shortrun Predictability of the S&P 500. Market Volatility and Investor Confidence . Report to the board of Directors of the New York Stock Exchange, 1990. New Trading Practices and the Short-Run Predictability of the S&P500
Froot, K.A. “Short Rates and Expected Asset Returns.” National Bureau of Economic Research Working Paper Series, 1990, 3247. Short Rates and Expected Asset Returns

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