UNCOVERED INTEREST PARITY HYPOTHESIS FOR MAJOR CURRENCIES
نویسندگان
چکیده
منابع مشابه
Uncovered Interest Parity in Crisis
Abstract This paper tests for uncovered interest parity (UIP) using daily data for twenty-three 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 coefficient (which is sometime...
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This paper proposes a di¤erent empirical approach to estimate the UIP by analyzing a large number of cross-country bilateral exchange rates using cross-section analysis. Di¤erent from conventional time-series UIP, cross-sectional UIP is examined with single equation estimation and panel regression model estimation. The exchange rates analyzed here include a broad spectrum of countries: develope...
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McCallum [J. Monet. Econ. 33 (1994) 105–132] introduces policy behavior to resolve previous empirical rejections of the uncovered interest parity (UIP) theory. In this note, we reexamine his policy behavior argument. First, we extend the data set used by McCallum to include the recent 8 years, and contrary to the analysis provided by McCallum, we make a thorough econometric analysis of his UIP ...
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ژورنال
عنوان ژورنال: The Manchester School
سال: 1994
ISSN: 1463-6786,1467-9957
DOI: 10.1111/j.1467-9957.1994.tb01375.x