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Understanding the natural rate of interest for a small open economy
Latin American Journal of Central Banking, 2023 In this paper, we develop a structural model to estimate the current level of the natural rate for a small open economy, featuring a rich set of shocks to provide economic intuition for its underlying drivers.
Carlos Alberto Zarazúa Juárez
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Engineering Proceedings, 2023 The era of low-interest rates is coming. In addition to their basic salary, people hope to increase their income by doing part-time work, understanding how to use assets already on hand, and investing in assets to earn extra rewards.
Yi-Hsin Cheng, Hei-Chia Wang
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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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Exchange Markets and Stock Markets Integration in Latin-America
Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 2022 We analyze the relationship between the exchange markets and the integration process of the Latin American stock markets (MILA), focusing the analysis on two points.
Jorge Andrés Muñoz Mendoza +4 more
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A new test for market efficiency and uncovered interest parity
Journal of International Money and Finance, 2022 We suggest a new single-equation test for Uncovered Interest Parity (UIP) based on a dynamic regression approach. The method provides consistent and asymptotically efficient parameter estimates, and is not dependent on assumptions of strict exogeneity.
Baillie, Richard T. +3 more
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Effects of Monetary Policy Shocks on the Exchange Rate in the Republic of Korea: Capital Flows in Stock and Bond Markets [PDF]
Asian Development Review, 2014 Several studies have suggested that the prediction of standard theory on the effects of monetary policy on the exchange rate might not be applicable to or in the case of the Republic of Korea because participation of foreign investors is weak in the bond
Soyoung Kim
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Uncovered Interest Parity: Cross‐Sectional Evidence [PDF]
Review of International Economics, 2011 AbstractUncovered interest parity (UIP) is estimated for short‐term horizons from one month to 12 months using a large number of cross‐sectional bilateral exchange rates. In contrast to conventional time‐series UIP, cross‐sectional UIP is examined with a single‐equation estimation and panel regression model estimation.
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Risk Premiums, Market Volatility, and Exchange Rate Dynamics: Evidence from the Yen Carry Trade
RisksPersistent deviations from Uncovered Interest Rate Parity (UIRP) represent a central puzzle in international finance and a key source of currency risk for global investors.
Opale Guyot +2 more
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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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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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