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Uncovered interest parity and policy behavior: new evidence
Economics Letters, 2000zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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The existence of uncovered interest parity in the CIS countries
Economic Modelling, 2014Abstract This paper examines uncovered interest parity (UIP) for six countries of the Commonwealth of Independent States (CIS) – Armenia, Azerbaijan, Georgia, Kazakhstan, Kyrgyzstan and Moldova – using quarterly data on spot exchange and three-month Treasury bill interest rates over the period 1995:01–2010:02. Three model specifications are used: the
Razzaque H Bhatti
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Uncovered Interest Rate Parity: The Turkish Evidence
Review of Middle East Economics and Finance, 2018AbstractThis paper presents an empirical investigation of the uncovered interest parity (UIP) between the Turkish Lira (TRY)/US Dollar (USD) and Turkish Lira/Euro (EUR). Our results do not provide evidence supporting the UIP hypothesis for either case.
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Insured uncovered interest parity
Finance Research Letters, 2013Abstract The current literature suggests that uncovered interest parity (UIP) does not hold because of differences in risk in holding different currency denominated debt. We test whether this risk is related to sovereign credit risk in government bonds. We consider an insured uncovered interest parity relationship – that is, one where debt is insured
Yiuman Tse, John K. Wald
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When Does Uncovered Interest Parity Hold?
SSRN Electronic Journal, 2011A consensus is emerging that returns to the currency carry trade are driven by two factors. One of these is clearly consumption risk but there is disagreement about the identity of the remaining factor. This paper bolsters the case for volatility being the unknown factor.
Moore, Michael J., Roche, Maurice J.
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Extreme support for uncovered interest parity
Journal of International Money and Finance, 1998Abstract Concerning UIP, the common conclusion is that it may be valid but undetectable for many reasons. In this paper we take a complementary route in that we base our methodology on a random time effects panel model that controls for various biasing factors and which is invariant to the choice of the numeraire currency.
Ronald Huisman +3 more
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Uncovered Interest Parity Revisited
Review of International Economics, 2001A standard empirical finding in international finance is that countries with high nominal interest rates experience appreciations of their currencies, in contrast to predictions based on uncovered interest parity (UIP). However, tests of UIP have almost exclusively relied on data on short‐term interest rates.
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Uncovered interest parity with switching regimes
Economic Modelling, 2007Abstract We develop formulas for testing UIP with Markov-switching VAR models in which all the parameters are regime-dependent. The formulas are extensible to other contexts where rational expectations intervene in non-linear bivariate Switching-VAR models of the type considered here.
Arielle Beyaert +2 more
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The Uncovered Interest Parity and the Peso Problem
SSRN Electronic Journal, 2000This paper verifies the uncovered interest parity to Brazilian economy. The main finding is that under fixed exchange rate the uncovered interesty parity fails. This confirms the theoretical point proposed by Krasker (1980).
Adolfo Sachsida +2 more
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Uncovered Interest Parity in Practice
2004There are two basic approaches to exchange rate determination (both of which are often combined in models): the goods market approach and the asset market approach.45 While in the goods market approach the idea is that exchange rates are determined basically through the trade of real assets, the asset market approach points to the importance of capital
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