Non-Stationary Interest Rate Differentials and the Role of Monetary Policy [PDF]
The present work deals with a frequently detected failure of the uncovered interest rate parity (UIP) - the absence of bivariate cointegration between domestic and foreign interest rates.
Enzo Weber, Philipp Matros
core
Covered Interest Parity, Uncovered Interest Parity, and Exchange Rate Dynamics [PDF]
A number of macroeconomic models of open economies under flexible exchange rate assume a strong version of perfect capital mobility which implies that currency speculation commands no risk premium.
Jonathan Eaton, Stephen J. Turnovsky
core
Interest rate dynamics in Kenya: Commercial banks’ rates and the 91-Day Treasury bill rate [PDF]
, 2010 This paper analyses the implicit dynamics underlying the interest rate structure in Kenya. For this purpose we use data on four commercial banks’ interest rates (Deposits, Savings, Lending and Overdraft) together with the 91-Day Treasury Bill rate, for
Caporale, GM, Gil-Alana, LA
core +1 more source
Globalization, long memory, and real interest rate convergence: a historical perspective. [PDF]
Empir Econ, 2022 Canarella G +3 more
europepmc +1 more source
Structural Breaks in the Real Exchange Rate and Real Interest Rate Relationship [PDF]
In this paper we empirically examine the relationship between the real exchange rate and real interest rate differentials using recent econometric methods robust to potential structural breaks.
Jun Nagayasu, Joseph P. Byrne
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Wah Academia Journal of Social SciencesThe study examines the response of the derivative market under the monetary policy regimes in Nigeria, Markov-Switching VAR (MS-VAR) approach was employed. The period of investigation spanned 1990q1 to 2023q4.
Lawal Wasiu Omotayo +2 more
doaj +1 more source
Financial uncertainty and interest rate movements: is Asian bond market volatility different? [PDF]
Ann Oper Res, 2021 Kim J, Kumar A, Mallick S, Park D.
europepmc +1 more source
A Simple Test of the Effect of Interest Rate Defense [PDF]
High interest rates to defend the exchange rate signal that a government is committed to fixed exchange rates, but may also signal weak fundamentals.
Stefan Hubrich, Allan Drazen
core
The Real Exchange Rate, Real Interest Rates, and the Risk Premium [PDF]
The well-known uncovered interest parity puzzle arises from the empirical regularity that, among developed country pairs, the high interest rate country tends to have high expected returns on its short term assets. At the same time, another strand of the
Engel, Charles
core +2 more sources
Mixed models for optimal saving with labor income risk and interest-rate risk. [PDF]
Soft comput, 2022 Georgescu I.
europepmc +1 more source