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An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets
The Journal of Finance, 1997ABSTRACTWe examine the effect of segmented commodity markets on the relation between forward and future spot exchange rates in a dynamic economy. We calculate the slope coefficient in our theoretical economy from regressing exchange rate changes on forward premia. With reasonable parameter values, the slope coefficient is less than unity. However, even
Hollifield, Burton, Uppal, Raman
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Uncovered Interest Rate Parity: A Relation to Global Trade Risk
SSRN Electronic Journal, 2015The 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
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An Incomplete Markets Explanation of the Uncovered Interest Rate Parity Puzzle
Review of International Economics, 2016AbstractA large literature attributes failure of uncovered interest rate parity (UIP) to the existence of a time‐varying risk premium. This paper presents a mechanism in a simple two‐country two‐good endowment economy with incomplete markets that generates sizeable deviations from UIP.
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Emerging markets and uncovered interest rate parity
Atlantic Economic Journal, 2003Bahram Adrangi +2 more
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Uncovered Interest Parity and the USD/COP Echange Rate [PDF]
, 2003 This paper test the uncovered interest parity (UIP) hypothesis for the USD/COP exchange rate, using weekly data for the period from january 1994, when Colombia introduced its crawling band exchange rate regime, to august 2002. The study yields several interesting results. For the period october 1996 to august 2002 the UIP hypothesis receives relatively
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A generalized uncovered interest parity model of exchange rates [PDF]
, 1993 Sticky price monetary models of exchange rates, while reasonable theoretically, have been disappointing empirically. Out-of-sample predictions have been little or no better than those from a naive model of no change. The most likely reason is that shocks to the market's expectation of the future equilibrium real exchange rate weaken the stability of ...
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A reconsideration of the failure of uncovered interest parity for the U.S. dollar
Journal of International Economics, 2022Charles Engel
exaly
Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union
Physica A: Statistical Mechanics and Its Applications, 2020Paulo Ferreira, Ladislav Kristoufek
exaly
Risk neutral valuation and uncovered interest rate parity
2005In this paper we consider a model of a stochastic-two-country economy and we use the martingale properties, the change of the numéraire technique and the risk neutral evaluation for achieving some important relations between interest rate of two markets, in particular the so-called uncovered interest rate ...
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A reconsideration of the uncovered interest parity relationship
Journal of Monetary Economics, 1994Bennett T Mccallum
exaly