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The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests with Breaks
İktisat Politikası Araştırmaları Dergisi, 2021 This study analyzes the validity of the uncovered interest rate parity for Brazil, India, Indonesia, South Africa, and Turkey, which are grouped as The Fragile Five countries within the literature.
Mehmet Altuntaş
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Testing Uncovered Interest Rate Parity Using LIBOR [PDF]
SSRN Electronic Journal, 2012 We test uncovered interest rate parity (UIP) using London InterBank Offered Rate (LIBOR) interest rates for a wide range of maturities. In contrast to other markets, LIBOR markets have minimal frictions. Whereas most previous studies reject UIP, we find that UIP holds for several short-term LIBOR maturities using block bootstrap panel unit root tests ...
Muhammad Omer +2 more
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Uncovered interest-rate parity over the past two centuries [PDF]
Journal of International Money and Finance, 2003 Uncovered interest rate parity (UIP) is one of three key theoretical relations used in analytical work in both international finance and international monetary economics. The problem, however, is that UIP does not seem to hold up well empirically. In this paper, we argue that the failures of UIP that have been so widely documented are a coincidence of ...
James R. Lothian, Liuren Wu
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Economies, 2022 The purpose of this paper is to investigate how well contemporary exchange rate theories explain fluctuations in exchange rates of emerging economies, before and after the Global Financial Crisis (GFC).
Adrian Marek Burda
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The anomalous forward premium of EUR/RSD exchange rate [PDF]
Industrija, 2015 Theoretically, exchange rate fluctuations should be positively related to interest-rate differential. This paper empirically examines whether such a relationship holds between EUR/RSD exchange rate and the corresponding interbank interest rates ...
Božović Miloš, Talijan Miloš
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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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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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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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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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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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