Results 271 to 280 of about 3,988 (292)

Purchasing power parity and uncovered interest parity: The Spanish case

International Advances in Economic Research, 1998
This paper examines whether the purchasing power parity (PPP) hypothesis holds in the long run when traded and non-traded goods are distinguished. Moreover, this hypothesis is analyzed jointly with the uncovered interest parity (UIP). The period from January 1986 to December 1995 was studied using monthly data corresponding to the consumer price index,
Francisco J. Ledesma, Manuel Navarro, Jorge V. Perez, Simón Sosvilla   +3 more
openaire   +1 more source

Uncovered interest parity and the FX carry trade†

Quantitative Finance, 2009
Uncovered interest parity (UIP), the cornerstone of many open economy models, has been a popular topic in the last three decades.
Jessica James, Kristjan Kasikov, Aysu Secmen   +2 more
openaire   +1 more source

Deviations from uncovered interest parity in Malaysia

Applied Financial Economics, 2006
This paper applies the Switching ARCH (SWARCH) model of Hamilton and Susmel (1994) to investigate the dynamics of deviations from Uncovered Interest Parity (UIP) for Malaysia for the sample period 1978–2002. In particular, the deviations (or the risk premium) are modelled as a time series subject to discrete regime shifts between two possible states ...
Goh, SK, Lim, GC, Olekalns, N
openaire   +2 more sources

Carry trade, uncovered interest parity and monetary policy [PDF]

, 2014
It is well documented in the literature that identified vector autoregression (VAR) models often produce puzzling results when the effect of unexpected monetary policy movements is estimated. Many authors find that raising interest rate generates protracted appreciation of the exchange rate (the so-called delayed overshooting puzzle) which is in ...
Dániel Felcser, Balázs Vonnák
openaire   +1 more source

Uncovered interest parity puzzle: Asymmetric responses

International Review of Economics & Finance, 2013
Abstract This paper estimates UIP slope parameters using a large number of cross-country bilateral exchange rates from a broad spectrum of developed and developing countries. Empirical evidence shows that short-term (one month) UIP holds well, and the failure of UIP is largely due to the key currency bias.
openaire   +1 more source

A reconsideration of the failure of uncovered interest parity for the U.S. dollar

Journal of International Economics, 2022
Charles Engel
exaly  

Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union

Physica A: Statistical Mechanics and Its Applications, 2020
Paulo Ferreira, Ladislav Kristoufek
exaly  

The Uncovered Interest Parity Puzzle

Uncovered interest parity (UIP) is one of the key assumptions in economic and finance when modelling exchange rates. However, previous empirical literature has offered little support for the theory, almost constantly rejecting it. A recent study, though, came up with results supporting it, suggesting the financial crisis of 07’ could have played a ...
openaire   +1 more source

Does the Uncovered Interest Parity Hold in Korea?

SSRN Electronic Journal, 2023
Joonyoung Hur, Kwanho Shin
openaire   +1 more source

The uncovered interest parity puzzle, exchange rate forecasting, and Taylor rules

Journal of International Money and Finance, 2019
Charles Engel, Chang Liu
exaly