Results 11 to 20 of about 1,977 (272)
Uncovered interest rate parity on the Japanese yen exchange rate market [PDF]
Oeconomia Copernicana, 2012 The aim of the paper is to verify the uncovered interest rate parity hypothesis on the Japanese yen exchange rate market. The article describes the theory of uncovered interest rate parity and presents the review of previous research results. Moreover, the paper characterizes the currency speculation strategy „carry trade” which is fundamentally based ...
Katarzyna Czech
openalex +3 more sources
Emerging Market Liberalization and the Impact on Uncovered Interest Rate Parity [PDF]
Journal of International Money and Finance, 2002 In this paper we make use of the uncovered interest rate parity (UIRP) relationship to examine the extent that the liberalization of emerging financial markets has resulted in the integration of developing countries' currency markets into the international capital market.
Bill B. Francis +2 more
openalex +4 more sources
Do Exchange Rates Move in Line With Uncovered Interest Parity? [PDF]
SSRN Electronic Journal, 2007 According to uncovered interest rate Parity (UIP), the expected relative change in an exchange rate is equal to the difference between interest rates between the two currencies. Empirically, UIP is frequently rejected. In this paper, we examine whether exchange rates have at least any tendency to move in the direction predicted by UIP and whether ...
Ronald Huisman, Ronald Mahieu, A Mulder
+6 more sources
Does Uncovered Interest Rate Parity Hold After All? [PDF]
THE LAHORE JOURNAL OF ECONOMICS, 2019 This paper tests Uncovered Interest Rate Parity (UIP) using LIBOR rates for six major international currencies for the period January 2001 to December 2008. We find that UIP generally holds over a short-term (above 5-months) horizon for individual as well as groups of currencies.
Muhammad Omer +2 more
openalex +2 more sources
Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle [PDF]
American Economic Journal: Macroeconomics, 2012 High interest rate currencies tend to appreciate in the future relative to low interest rate currencies instead of depreciating as uncovered interest parity (UIP) predicts. I construct a model of exchange rate determination in which ambiguity-averse agents face a dynamic filtering problem featuring signals of uncertain precision.
Cosmin Ilut
openalex +4 more sources
Uncovered Interest Rate Parity: A Relation to Global Trade Risk
SSRN Electronic Journal, 2015 The paper gives evidence of a novel pricing factor for the cross-section of carry trade returns based on trade relations between countries. In particular, we apply network theory on countries' bilateral trade to construct a measure for countries' exposure to a global trade risk.
Tamara Nunes, Andreea Piloiu
openalex +2 more sources
Uncovered Interest Rate Parity on GBP: A Pre- and Post-Brexit Analysis
This study examines how Brexit disrupted the Uncovered Interest Parity (UIP) for the British pound (GBP), analysing data from 2009 to 2023. Using Fama's framework and holding-period return models, structural shifts in bond yields post-Brexit are identified, particularly affecting GBP/USD and GBP/JPY pairs.
Damilola Kassim
openalex +2 more sources
Uncovered interest parity tests and exchange rate expectations
, 2004 Empirical studies reject uncovered interest parity. Experimental and survey data studies reject rational expectations and find evidence of adaptive, regressive, bandwagon and distributed lag expectations. In this paper we investigate how these two findings are related.
Philip S. Marey
openalex +3 more sources
US Shocks and the Uncovered Interest Rate Parity [PDF]
SSRN Electronic Journal, 2020 The literature on uncovered interest rate parity (UIP) shows two empirical puzzles. One is the failure of UIP, and the other is the unstable coefficients in the UIP regression. We propose a time-varying coefficients model with stochastic volatility and US structural shocks (TVC-SVX) to study how US structural shocks affect time-variation in the ...
Mengheng Li, Bowen Fu
openaire +1 more source
Economic Fundamentals Over Long and Short Horizons [PDF]
Revista de Management Comparat International, 2018 In this paper, the idea that economic fundamentals should hold over all horizons is put to the test by focusing on the dynamics of the foreign exchange market.
Ali TFAILY
doaj +1 more source