Results 1 to 10 of about 1,977 (272)
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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The Efficiency of the Polish Zloty Exchange Rate Market: The Uncovered Interest Parity and Fractal Analysis Approaches [PDF]
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 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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Testing Uncovered Interest Rate Parity for Pakistan [PDF]
International Review of Management and Business Research, 2020 This paper provides direct empirical assessment of Uncovered Interest Rate Parity (UIP) for Pakistan. To Test UIP, wide range of maturities have been used and for estimation purpose, we used Johansen cointegration and Dynamic Ordinary Least Square (DOLS). We find that UIP does not hold for short to medium term maturities.
Zinaz Aisha, Muhammad Omer
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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
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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.
Jonathan Eaton, Stephen J. Turnovsky
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Uncovered interest rate parity phenomenon and determinants of domestic interest rates: an analysis of Pakistan and China economies [PDF]
Future Business JournalThe core objective of this article is to explore the viability of uncovered interest parity and to reconnoiter major determinants of domestic interest rates of the Pakistan and China economies.
Malik Saqib Ali +2 more
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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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Monetary Policy and the Uncovered Interest Rate Parity Puzzle [PDF]
SSRN Electronic Journal, 2010 that central banks incur for implementing Taylor rule type policies.
David Backus +3 more
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Long-Horizon Uncovered Interest Rate Parity [PDF]
, 1998 Uncovered interest parity (UIP) has been almost universally rejected in studies of exchange rate movements, although there is little consensus on why it fails. In contrast to previous studies, which have used relatively short-horizon data, we test UIP using interest rates on longer-maturity bonds for the G-7 countries.
Guy Meredith, Menzie Chinn
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