Uncovered Interest Parity
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Exchange Rate Economics
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Author : Norman C. Miller
language : en
Publisher: Edward Elgar Publishing
Release Date : 2014-09-26
Exchange Rate Economics written by Norman C. Miller and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-09-26 with Business & Economics categories.
The Uncovered Interest Parity (UIP) puzzle has remained a moot point since it first circulated economic discourse in 1984 and, despite a number of attempts at a solution, the UIP puzzle and other anomalies in Exchange Rate Economics continue to perplex
Uncovered Interest Parity
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Author : Mr.Peter Isard
language : en
Publisher: International Monetary Fund
Release Date : 1991-05
Uncovered Interest Parity written by Mr.Peter Isard and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991-05 with Business & Economics categories.
This note provides an overview of the uncovered interest parity assumption. It traces the history of the interest parity concept, summarizes evidence on the empirical validity of uncovered interest parity, and discusses the implications for macroeconomic analysis. The uncovered interest parity assumption has been an important building block in multiperiod and continuous time models of open economies, and although its validity is strongly challenged by the empirical evidence, its retention in macroeconomic models is supported on pragmatic grounds, at least for the time being, by the lack of much empirical support for existing models of the exchange risk premium.
Uncovered Interest Parity
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Author : Peter Isard
language : en
Publisher: International Monetary Fund
Release Date : 2006-04
Uncovered Interest Parity written by Peter Isard and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-04 with Business & Economics categories.
This paper provides an overview of the uncovered interest parity assumption. It traces the history of the interest parity concept, summarizes evidence on the empirical validity of uncovered interest parity, and discusses different interpretations of the evidence and the implications for macroeconomic analysis. The uncovered interest parity assumption has been an important building block in multiperiod models of open economies, and although its validity is strongly challenged by the empirical evidence, at least at short time horizons, its retention in macroeconomic models is supported on pragmatic grounds by the lack of much empirical support for existing models of the exchange risk premium.
Deviations From Uncovered Interest Parity
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Author : Mr.Evan Tanner
language : en
Publisher: International Monetary Fund
Release Date : 1998-08-01
Deviations From Uncovered Interest Parity written by Mr.Evan Tanner and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-08-01 with Business & Economics categories.
Ex-post deviations from uncovered interest parity (UIP) – realized differences between dollar returns on identical assets of different currencies – equal the real interest differential plus real exchange rate growth. Among industrialized countries, UIP deviations are largely explained by unanticipated real exchange rate growth, but among developing countries, real interest differentials are “where the action is.” This observation is due to the greater variability of inflation in developing countries, but may also stem from higher and more variable risks and capital controls in these countries. Also, among developing countries with moderate inflation, offsetting comovements of real interest differentials and real exchange growth support the sticky-price hypothesis.
Nonlinearity In Deviations From Uncovered Interest Parity An Explanation Of The Forward Bias Puzzle
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Author : Lucio Sarno
language : en
Publisher: International Monetary Fund
Release Date : 2006-05
Nonlinearity In Deviations From Uncovered Interest Parity An Explanation Of The Forward Bias Puzzle written by Lucio Sarno and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-05 with Business & Economics categories.
We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less indicative of major market inefficiencies than previously thought. Monte Carlo experiments allow us to reconcile these results with the large empirical literature on the forward bias puzzle since we show that, if the true process of UIP deviations were of the nonlinear form we consider, estimation of conventional spot-forward regressions would generate the anomalies documented in previous research.
Uncovered Interest Parity And Carry Trades
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Author : Torsten Abendroth
language : en
Publisher: GRIN Verlag
Release Date : 2017-01-18
Uncovered Interest Parity And Carry Trades written by Torsten Abendroth and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-18 with Business & Economics categories.
Master's Thesis from the year 2016 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,0, University of Frankfurt (Main) (Goethe Business School), language: English, abstract: The aim of this thesis is to test UIP by implementing an OLS regression analysis for five currency pairs which, according to CFTC data, global turnover data and carry-to-risk ratios, were among the most popular in the investor community. To increase the significance of this thesis for practitioners, the work will use one-month forward contracts which are used frequently by investors and include bid and ask rates in order to account for transaction costs. In addition, all currency pairs include the US Dollar for reasons of better liquidity, and therefore tighter bid-ask spreads. Moreover, this thesis will present recent findings in literature which try to explain deviations from UIP. Approaches can be separated by the focus on a risk premium, by irrational market behavior or by learning problems and market inefficiency. While most focus is laid on an explanation by a risk premium, it will be shown that it is crucial to combine the different scientific disciplines in order to solve the forward premium puzzle. In addition to this, the thesis will provide an outlook on the future attractiveness of carry trade strategies.
International Parity Conditions
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Author : Razzaque H. Bhatti
language : en
Publisher: Springer
Release Date : 2016-07-27
International Parity Conditions written by Razzaque H. Bhatti and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-07-27 with Business & Economics categories.
This book presents an extensive survey of the theory and empirics of international parity conditions which are critical to our understanding of the linkages between world markets and the movement of interest and exchange rates across countries. The book falls into three parts dealing with the theory, methods of econometric testing and existing empirical evidence. Although it is intended to provide a consensus view on the subject, the authors also make some controversial propositions, particularly on the purchasing power parity conditions.
Uncovered Interest Parity Hypothesis For Major Currencies
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Author : Costas I. Karfakis
language : en
Publisher:
Release Date : 1993
Uncovered Interest Parity Hypothesis For Major Currencies written by Costas I. Karfakis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Foreign exchange categories.
Interest Parity Conditions As Indicators Of Financial Integration In East Asia
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Author : Gordon De Brouwer
language : en
Publisher:
Release Date : 1997
Interest Parity Conditions As Indicators Of Financial Integration In East Asia written by Gordon De Brouwer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with East Asia categories.
Uncovered Interest Parity In Long Run
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Author : Chang Liu
language : en
Publisher:
Release Date : 2008
Uncovered Interest Parity In Long Run written by Chang Liu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.