Results 211 to 220 of about 1,757 (240)
Some of the next articles are maybe not open access.
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.
exaly +2 more sources
Regime switches in exchange rate volatility and uncovered interest parity [PDF]
Journal of International Money and Finance, 2008 Abstract We use a regime-switching model to examine how exchange rate volatility is related to the failure of uncovered interest parity. Main findings are as follows. First, exchange rate returns are strongly influenced by regime switches in the relationship between the returns and interest rate differentials.
Hibiki Ichiue, Kentaro Koyama
openaire +1 more source
Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences
SSRN Electronic Journal, 2015The uncovered interest rate parity puzzle questions the economic relation existing between short term interest rate differentials and exchange rates. One would indeed expect that the differential of interest rates between two countries should be offset by an opposite evolution of the exchange rate between them, hence ruling out any limited risk profit ...
Matthew Ames +2 more
openaire +1 more source
Interest differentials and extreme support for uncovered interest rate parity
International Review of Economics & Finance, 2010Abstract This paper addresses two findings from the empirical literature testing uncovered interest parity (UIP): (i) more favorable results when interest differentials (IDs) are large and (ii) instability across samples. Simulations demonstrate that explanations of the results using large IDs based on the hypothesis of a “zone of speculative ...
William D. Craighead +2 more
openaire +1 more source
The Development of Local Currency Bond Markets and Uncovered Interest Rate Parity
SSRN Electronic Journal, 2023This working paper shows how deviations in uncovered interest rate parity (UIP) decrease as local currency bond markets develop and the presence of nonbank financial institutions expands. Analyzing the period from 1996-2022, it draws on market data from 11 advanced economies including Japan and the United Kingdom, and eight emerging market ...
Cyn-Young Park, Kwanho Shin
openaire +2 more sources
Uncovered interest parity with fundamentals: a Brazilian exchange rate forecast model [PDF]
SSRN Electronic Journal, 2002 One of the most challenging elements of the inflation-targeting framework is the exchange rate forecast. Wadhwani (1999) proposed a UIP, where real variables like the unemployment differential, the current account differential, and the excess return of financial assets affect the expected exchange rate. The objectives of this paper are first to include,
Marcelo Kfoury Muinhos +2 more
openaire +1 more source
A reexamination of the uncovered interest rate parity hypothesis
Journal of International Money and Finance, 1996Abstract It is now widely known that the Uncovered Interest Rate Parity (UIP) hypothesis, which states that forward exchange rates are unbiased predictors of future spot exchange rates, is generally rejected by empirical evidence. We show in this paper by means of a Cox et al. (1985) model extended to a two-country economy, that a careful examination
openaire +1 more source
Uncertainty and deviations from uncovered interest rate parity
Journal of International Money and Finance, 2018Abstract It is well-known that uncovered interest rate parity does not hold empirically, especially at short horizons. But is it really so? We conjecture that uncovered interest rate parity is more likely to hold in low uncertainty environments, relative to high uncertainty ones, since arbitrage opportunity gains become more uncertain in a highly ...
Adilzhan Ismailov, Barbara Rossi
openaire +1 more source
Do Professional Forecasters Believe in Uncovered Interest Rate Parity?
2023No, not according to our data. Using a unique data set, we run panel regressions to test whether professional forecasters believe in uncovered interest rate parity (UIP). Specifically, we test whether the interest rate expectations for individual forecasters are in line with their exchange rate expectations using the UIP condition.
Bürgi, Constantin, Song, Mengdi
openaire +2 more sources