OLS estimation of an impulse-indicator coefficient is inconsistent, but its variance can be consistently estimated. Although the ratio of the inconsistent estimator to its standard error has a tdistribution, that test is inconsistent: one solution is to form an index of indicators. We provide Monte Carlo evidence that including a plethora of indicators need not distort model selection, permitti...

This paper revisits the uncovered interest parity relation. It supplements existing work in two ways: It focuses on long instead of short-term interest rates, and, related to that, employs exchange rate expectations derived from purchasing power parity (PPP) instead of actual outcomes. Among the major ̄oating currencies over the period 1975± 1997, the paper cannot support the notion of further ...

the ongoing study aims at a brief pathology on saving in iran's private sector. the factors effect on saving in private sector have been introduced, including oil revenues, real interest rate of banking long-term deposits, ratio of stocks transactions value to gross national production (gnp), proportion of employed population to total population, inflation rate and gini coefficient during ...

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...

Abstract This paper empirically examines the likelihood of any long-run relationship between real exchange rate and real interest rate (RERI) differentials in China using vector autoregressive model (VAR) and hybrid cointegration methodology. The preliminary results based on some limited monthly data are indicative of a rather weak long run relationship. However, the empirical investigation als...

Based on the β-estimate that captures interest rate differential effect in uncovered parity (UIP) regressions, we show an empirical model includes proxy variables for unobservable factors and allows to have time-varying weights parameters can reduce UIP deviation. However, specification alleviated failure does not variability of β-estimate. The explanatory exhibit coefficient estimates shifting...

making capital and investment is the main driving forces of economic development. based on the investment sensitivity to the changes of some of macro-economic variables and risk and uncertainty, the present study evaluated the effective factors on investment in private sector in iran during 1980-2007. at first, the uncertainty variables of real informal exchange rate, nominal interest rate and ...