Results 11 to 20 of about 3,988 (292)
UNCOVERED INTEREST PARITY HYPOTHESIS FOR MAJOR CURRENCIES [PDF]
The Manchester School, 1994 The objectives of this paper are to examine the nominal uncovered interest parity hypothesis for three major currencies against the U.S. dollar using the monthly data for the period 1974-89. Forward-looking expectations, interest rate differentials, and risk premia variables are used to test the uncovered interest parity proposition.
Karfakis, C. I, Parikh, Ashok K
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Uncovered interest parity and behavior of interest differentials
Revista Mexicana de Economía y Finanzas, 2020 En este artículo analizamos la relación entre los retornos cambiarios y diferenciales de tasas de interés a través de la Paridad Descubierta de Tasas de Interés (UIP). Usamos panel de datos para 83 países entre 1980 y 2015. Las regresiones por efectos fijos demuestran que la UIP no se cumple, pero el impacto del diferencial de tasas de interés sobre ...
Jorge A. Muñoz Mendoza +3 more
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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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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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Testing Uncovered Interest Parity: A Continuous-Time Approach [PDF]
SSRN Electronic Journal, 2008 De nos jours, les chercheurs peuvent choisir la fréquence d'échantillonnage des taux de change et des taux d'intérêt. Si la période couverte par le contrat compte un nombre d'observations élevé par rapport à la taille de l'échantillon, le recours à une approximation asymptotique pour tester l'hypothèse de parité des taux d'intérêt non couverte à l'aide
Diez de los Rios, Antonio +1 more
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On the rewards to international investing: a safe haven currency perspective
Swiss Journal of Economics and Statistics, 2018 The safe haven property of the Swiss franc presents a specific challenge for internationally minded Swiss-based investors. The central issue is whether the traditional under-performance of Swiss assets is made up by the secular appreciation of the Swiss ...
Jean-Pierre Danthine, Samuel Danthine
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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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Journal of Business Administration and Social Studies, 2021 hi this paper, a multivariate co-integrating model is contracted upon the Turkish economy to examine the validity of the purchasing power parity and the uncovered interest parity theories simultaneously.
Levent KORÂP
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Sterilized intervention under excess supply of foreign exchange: Is the Trilemma valid? [PDF]
Brazilian Journal of Political EconomyThis article explores the challenges of monetary policy in small open economies facing a sustained excess supply of foreign exchange (FX) in the domestic market.
MARTIN RAPETTI
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Technological and Economic Development of Economy, 2010 Applying the new panel unit root test developed in this paper, we can overcome the pitfalls of old‐fashioned panel unit root tests making it possible for researchers testing individual series for a unit root while taking contemporaneous cross‐sectional ...
Mehmet Huseyin Bilgin +2 more
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