Covered interest rate parity in emerging markets
نویسندگان
چکیده
منابع مشابه
Tests of Covered Interest Rate Parity
ECEN’FLY there has been considerable interest in and investigations of whether the covered interest parity (CIP) holds. At the inicroeconomic level, CIP is important because is it a direct consequence of covered interest arbitrage. Its failure to hold would suggest 1) that markets are inefficient in the sense that traders do not take advantage of known profit opportunities, 2) that legal restri...
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We test Uncovered Interest Parity (UIP) using LIBOR interest rates for a wide range of maturities. In contrast to other markets, LIBOR markets have minimal frictions which could lead to rejecting UIP. Using panel unit root test suggested by Palm, Smeekes, and Urbain (2010) and cointegration techniques by Westerlund (2007), we find that UIP holds for shortterm maturities, when market-specific he...
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Recent events have stimulated interest in the joint behavior of prices and quantities in credit markets. Data sources such as the Federal Reserve Board’s Flow of Funds Accounts (FFA) provide statistics on a rich set of credit market instruments. However, it is challenging to inter pret such data using economic models that speak to the allocation of risk across agents, such as households or int...
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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. Previous tests of the impact of liberalization on the integration of emerging markets capital markets into world financial m...
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ژورنال
عنوان ژورنال: International Review of Financial Analysis
سال: 2011
ISSN: 1057-5219
DOI: 10.1016/j.irfa.2011.06.008