Uncovered Interest Parity In Long Run
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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.
Co Movements In Long Term Interest Rates And The Role Of Ppp Based Exchange Rate Expectations
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Author : Jan Marc Berk
language : en
Publisher: International Monetary Fund
Release Date : 1999-06-01
Co Movements In Long Term Interest Rates And The Role Of Ppp Based Exchange Rate Expectations written by Jan Marc Berk 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 1999-06-01 with Business & Economics categories.
This paper investigates international co-movement in bond yields by testing for uncovered interest parity (UIP). Existing work is supplemented by focusing on long instead of short-term interest rates and by employing exchange rate expectations derived from purchasing power parity (PPP) instead of actual outcomes. Among the major currencies during 1975-97, the paper does not find a further increase in co-movement beyond that associated with the wave of financial market liberalization in the early 1980s. Given the similarity between PPP-based UIP tests and those employing actual exchange rate outcomes, the value added of the former lies mainly with data availability.
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 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.
Covered Interest Parity Deviations Macrofinancial Determinants
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Author : Mr.Eugenio M Cerutti
language : en
Publisher: International Monetary Fund
Release Date : 2019-01-16
Covered Interest Parity Deviations Macrofinancial Determinants written by Mr.Eugenio M Cerutti 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 2019-01-16 with Business & Economics categories.
For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely—even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential macrofinancial drivers of the variation in CIP deviations have also become significant. The variation in CIP deviations seems to be associated with multiple factors, not only regulatory changes. Most of these do not display a uniform importance across currency pairs and time, and some are associated with possible temporary considerations (such as asynchronous monetary policy cycles).
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.
Testing Real Interest Parity In Emerging Markets
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Author : Manmohan Singh
language : en
Publisher: International Monetary Fund
Release Date : 2006
Testing Real Interest Parity In Emerging Markets written by Manmohan Singh 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 with Developing countries categories.
The paper finds significant deviations between short-term emerging market real interest rates and world real interest rates primarily due to the inflationary expectations of the local investor base. We test for long-run real interest convergence in emerging markets using a time varying panel unit root test proposed by Pesaran to capture the improved macro-economic fundamentals since early 1990s. We also estimate the speed of convergence in the presence of a shock. The paper suggests that real interest rates in the emerging markets show some convergence in the long run but real interest parity does not hold. Our results also find that the speed of adjustment of real rates to a shock is estimated to differ significantly across the emerging markets. Measured by their half-life, some emerging markets in Asia, E.Europe and S.Africa, where real interest rates are generally low, take much longer to adjust than where real interest rates are generally high (Latin America, Turkey). From a policy perspective, encouraging foreign investors to take direct exposure at the short end of the local debt market could lower the real interest rates in some emerging markets.
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.
The Monetary Model Of Exchange Rates And Cointegration
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Author : Javier Gardeazabal
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
The Monetary Model Of Exchange Rates And Cointegration written by Javier Gardeazabal and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
These notes draw from the Theory of Cointegration in order to test the monetary model of exchange rate determination. Previous evidence shows that the monetary model does not capture the short run dynamics of the exchange rate, specially when assessed in terms of forecasting accuracy. Even though the monetary equations of exchange rate determination may be bad indicators of how exchange rates are determined in the short run, they couldstill describe long run equilibrium relationships between the exchange rate and its fundamentals. Stationary deviations from those long run relationships are allowed in the short run. This book also addresses severalissues on Cointegration. Chapter 6 studies the small sample distribution of the likelihood ratio test statistics (on the dimension and restrictions on the cointegrating space) under deviations from normality. This monograph also focuses on the issue of optimal prediction in partially nonstationary multivariate time series models. In particular, it caries out an exchange rate prediction exercise.