Results 1 to 10 of about 3,988 (292)
Uncovered interest rate parity: A gravity-panel approach [PDF]
Heliyon, 2021 This paper investigates the validity of uncovered interest rate parity (UIRP) which establishes a proportional relationship between interest rate and expected nominal exchange rate differentials.
Vanessa Orellana, Gabriel Pino
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Testing and interpreting uncovered interest parity in Russia [PDF]
Russian Journal of Economics, 2017 The failure of uncovered interest rate parity (UIP) is a well-known phenomenon of the last thirty years. UIP failure is more prominent in advanced economies than in emerging market economies.
Dmitry Vasilyev +2 more
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A reconsideration of the uncovered interest parity relationship [PDF]
Journal of Monetary Economics, 1994 Abstract This paper argues that the uncovered interest parity (UIP) relationship is distinct from, and more important than, the unbiasedness of forward exchange rates as predictors of future spot rates. The standard finding that the slope estimate ĝb is roughly - 3 in regressions of Δ s t on ƒ t −1 − s t −1 implies rejection of unbiasedness but ...
Bennett T Mccallum
exaly +2 more sources
Uncovered Interest Parity, Forward Guidance and the Exchange Rate [PDF]
Journal of Money, Credit and Banking, 2020 AbstractUnder uncovered interest parity (UIP), the size of the effect on the real exchange rate of an anticipated change in real interest rate differentials is invariant to the horizon at which the change is expected. Empirical evidence using U.S., euro area and UK data points to a substantial deviation from that invariance prediction: expectations of ...
Jordi Gali
exaly +4 more sources
Risks, 2021 The study of the effectiveness of the currency market is one of the most important research problems in the field of finance. The paper aims to assess the efficiency of the Polish zloty exchange rate market.
Katarzyna Czech, Łukasz Pietrych
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Uncovered interest parity: it works, but not for long [PDF]
Journal of International Economics, 2003 If an investor borrows in a low interest currency and invests in a high interest currency, the interest differential accrues in a lumpy manner. The investor will receive the interest differential at the point when a position is rolled over from one day to the next.
Alain P. Chaboud, Jonathan H. Wright
openaire +2 more sources
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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Econometric testing of uncovered interest rate parity in Serbia [PDF]
Ekonomski Anali, 2018 This paper provides econometric evidence of the interest parity puzzle in Serbia over the period 2005-2016. Econometric findings are derived from the following techniques: long-run parameter estimation based on the autoregressive distributed lag
Mladenović Zorica, Rašković Jelena
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Economic Fundamentals Over Long and Short Horizons [PDF]
Revista de Management Comparat International, 2018 In this paper, the idea that economic fundamentals should hold over all horizons is put to the test by focusing on the dynamics of the foreign exchange market.
Ali TFAILY
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The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests with Breaks
İktisat Politikası Araştırmaları Dergisi, 2021 This study analyzes the validity of the uncovered interest rate parity for Brazil, India, Indonesia, South Africa, and Turkey, which are grouped as The Fragile Five countries within the literature.
Mehmet Altuntaş
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