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Covered Interest Parity, Uncovered Interest Parity and Exchange Rate Dynamics [PDF]
The Economic Journal, 1982 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. If this assumption is dropped a number of important results no longer obtain.
Eaton, Jonathan, Turnovsky, Stephen J
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Liquidity premia and interest rate parity [PDF]
Journal of International Economics, 2015 Discussion Paper / SFB 823;43 ...
Ludger Linnemann, Andreas Schabert
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Tests of Covered Interest Rate Parity [PDF]
Review, 1989 ECEN’FLY there has been considerable interest in and investigations of whether the covered interest parity (CIP) holds. At the inicroeconomic level, CIP is important because is it a direct consequence of covered interest arbitrage. Its failure to hold would suggest 1) that markets are inefficient in the sense that traders do not take advantage of known
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EXCHANGE RATE - REGIMES AND POLICIES [PDF]
Zbornik Radova Ekonomskog Fakulteta u Istočnom Sarajevu, 2014 Exchange rate of one currency is the price of the currency expressed in units of other currency. It is formed by the interaction of supply and demand in the foreign exchange market.
Novak Lučić
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The anomalous forward premium of EUR/RSD exchange rate [PDF]
Industrija, 2015 Theoretically, exchange rate fluctuations should be positively related to interest-rate differential. This paper empirically examines whether such a relationship holds between EUR/RSD exchange rate and the corresponding interbank interest rates ...
Božović Miloš, Talijan Miloš
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Economies, 2022 The purpose of this paper is to investigate how well contemporary exchange rate theories explain fluctuations in exchange rates of emerging economies, before and after the Global Financial Crisis (GFC).
Adrian Marek Burda
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Uncovered interest rate parity and the term structure [PDF]
Journal of International Money and Finance, 2002 This paper examines uncovered interest rate parity (UIRP) and the expectations hypotheses of the term structure (EHTS) at both short and long horizons. The statistical evidence against UIRP is mixed and is currency- not horizon-dependent. Economically, the deviations from UIRP are less pronounced than previously documented.
Geert Bekaert, Min Wei, Yuhang Xing
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Foreign Exchange Rate Uncertainty in Korea
East Asian Economic Review, 2020 Applying Ismailov and Rossi (2018), I newly construct the Korea FX uncertainty based on the density distribution of historical forecast errors. This uncertainty index properly captures the rare but significant events in the Korean currency market and ...
Seojin Lee
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Uncovered Interest Parity in Crisis: The Interest Rate Defense in the 1990s
IMF Working Papers, 2001 This paper tests for uncovered interest parity (UIP) using daily data for 23 developing and developed countries through the crisis-strewn 1990s. We find that UIP works better on average in the 1990s than in previous eras in the sense that the slope coefficient from a regression of exchange rate changes on interest differentials yields a positive ...
Andrew K. Rose, Robert P Flood
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International Journal of Financial Studies, 2018 This paper investigates the predictability of exchange rate changes by extracting the factors from the three-, four-, and five-factor model of the relative Nelson–Siegel class.
Hokuto Ishii
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