Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Some Specification Tests Of Uncovered Interest Parity full books in PDF, epub, and Kindle. Read online Some Specification Tests Of Uncovered Interest Parity ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Ian D. McAvinchey
Publisher :
ISBN 13 : 9780851218380
Total Pages : 24 pages
Book Rating : 4.2/5 (183 download)
Download or read book Some Specification Tests of Uncovered Interest Parity written by Ian D. McAvinchey and published by . This book was released on 1990 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Antonio Diez de los Rios
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Testing Uncovered Interest Parity written by Antonio Diez de los Rios and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nowadays researchers can choose the sampling frequency of exchange rates and interest rates. If the degree of overlap is large relative to the sample size, standard GMM asymptotic theory provides unreliable inferences in uncovered interest parity (UIP) regression tests. We specify a continuous-time model for exchange rates and forward premia robust to temporal aggregation, unlike existing discrete-time models. We test the UIP restrictions on the continuous-time model parameters and propose a novel specification test that compares estimators at different frequencies. Our results based on correctly specified models provide little support for UIP at both short and long horizons.
Author : Ronald MacDonald
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (497 download)
Download or read book Some Survey Based Tests of Uncovered Interest Parity written by Ronald MacDonald and published by . This book was released on 1988 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Nils Herger
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Panel Data Models and the Uncovered Interest Parity Condition written by Nils Herger and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper endeavors to show how the specification of the regression testing the uncovered interest parity (UIP) condition can determine whether or not the hypothesized proportional relationship between international interest rate differences and exchange rate changes is rejected. Across major currencies, various terms to maturity, different data frequencies and the short as well as the long time horizon, single-equation regressions partly reject the UIP condition. However, this 'UIP puzzle' tends to disappear when panel data regressions account, for example, for risk premiums by means of two-way unobserved component specifications with random or fixed effects for both currencies and time periods. The closest concurrence with the UIP condition arises when specifying the time-specific component as fixed effect, which provides a way to address the potential bias when unobserved exchange rate risk premiums correlate with interest rates.
Author : Bennett T. McCallum
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (873 download)
Download or read book A Reconsideration of the Uncovered Interest Parity Relationship written by Bennett T. McCallum and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper first presents reasons for viewing the uncovered interest-parity (VIP) relationship as more important, in terms of economic analysis, than the unbiasedness of forward rates as predictors of future spot exchange rates. The two hypotheses are closely related, so that test rejections of the latter tend to cast doubt on the former, but are not identical--so unbiasedness rejections are not conclusive for UIP. Next, some representative evidence is presented that pertains to alternative versions of the unbiasedness test. Although s[sub t] = [alpha] + ([beta]f[sub t- 1] + [epsilon, sub t] and s[sub t] - s[sub t-1] =[alpha] + [beta](f[sub t-1] ? s[sub t-1]) + [epsilon, sub t] are equivalent under the null hypothesis of [beta]= 1.0, they represent different classes of alternative hypotheses. Empirically, they give rise to extremely different outcomes, estimates of [beta] being very close to 1. 0 in the former equation but in the vicinity of -3.0 in the latter. In a generalized specification that includes both as special cases, the results strongly favor the second specification--thereby rejecting unbiasedness. Finally, three possible explanations for the [beta] = -3 result are considered and related to the UIP condition. Of these three, the latter two--one involving systematically irrational expectations and the other an additional relationship reflecting monetary policy behavior--are consistent with UIP. The policy-response hypothesis, that monetary authorities manage interest-rate differentials so as to resist rapid changes in exchange rates and in these differentials, is attractive conceptually and is capable of explaining not only the [beta] = -3 finding, but also several other notable features of the data.
Author : Mr.Eugenio M Cerutti
Publisher : International Monetary Fund
ISBN 13 : 1484395212
Total Pages : 36 pages
Book Rating : 4.4/5 (843 download)
Download or read book Covered Interest Parity Deviations: Macrofinancial Determinants written by Mr.Eugenio M Cerutti and published by International Monetary Fund. This book was released on 2019-01-16 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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).
Author : Razzaque H. Bhatti
Publisher : Springer
ISBN 13 : 1349255238
Total Pages : 389 pages
Book Rating : 4.3/5 (492 download)
Download or read book International Parity Conditions written by Razzaque H. Bhatti and published by Springer. This book was released on 2016-07-27 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Mr.Peter Isard
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (318 download)
Download or read book Uncovered Interest Parity written by Mr.Peter Isard and published by International Monetary Fund. This book was released on 1991-05 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Arnaud Mehl
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (229 download)
Download or read book Uncovered Interest Parity at Distant Horizons written by Arnaud Mehl and published by . This book was released on 2007 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests for uncovered interest parity (UIP) at distant horizons for the US and its main trading partners, including both mature and emerging market economies, also exploring the existence of nonlinearities. At long and medium horizons, it finds support in favour of the standard, linear, specification of UIP for dollar rates vis-à-vis major floating currencies, but not vis-à-vis emerging market currencies. Moreover, the paper finds evidence that, not only yield differentials widen, but that US bond yields do react in anticipation of exchange rate movements, notably when these take place vis-à-vis major floating currencies. Last, the paper detects signs of nonlinearities in UIP at the medium term horizon for dollar rates vis-à-vis some of the major floating currencies, albeit surrounded by some uncertainty.
Author : Simon Van Norden
Publisher :
ISBN 13 :
Total Pages : 84 pages
Book Rating : 4.3/5 ( download)
Download or read book A Regime Switching Approach to Uncovered Interest Parity written by Simon Van Norden and published by . This book was released on 1989 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews the empirical evidence on violations of uncovered interest parity and explores whether the evidence is consistent with the behaviour of speculative bubbles. The problem of testing for bubbles in exchange rates, without an accepted model of fundamentals, are then examined and a variety of tests are suggested. Extensive tests are run using weekly forward rate and survey data for seven major exchange rates. Results are presented.
Author : Université catholique de Louvain (1835-1969). Centre de recherches économiques
Publisher :
ISBN 13 :
Total Pages : 528 pages
Book Rating : 4.0/5 ( download)
Download or read book Bulletin written by Université catholique de Louvain (1835-1969). Centre de recherches économiques and published by . This book was released on 1990 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.3/5 (21 download)
Download or read book Working Paper Series written by and published by . This book was released on 1986 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Theo Eicher
Publisher : Routledge
ISBN 13 : 1135979669
Total Pages : 1130 pages
Book Rating : 4.1/5 (359 download)
Download or read book International Economics written by Theo Eicher and published by Routledge. This book was released on 2009-03-25 with total page 1130 pages. Available in PDF, EPUB and Kindle. Book excerpt: Thought-provoking and clearly explained, the new edition provides students of international economics and international business with a rigorous explanation of global economic theory and policy, both current trends and historic developments. It explores key models through case studies and review questions, enabling students to challenge the reporting of economic events by press and government alike. Split into 2 parts – International Trade and International Finance – the text explains conceptual building blocks before applying them to current events and controversies. Key issues discussed include: the influence of transportation costs economies of scale and the new economic geography the evaluation of preferential trade agreements european Economic and Monetary Union the integration of international financial markets international financial crises, China and other emerging economies. Fully illustrated with tables and figures to allow students to visualise the issues discussed, the lively prose gives this book a refreshing approach. An accompanying website also provides context and coverage of the international financial crisis of October 2008, including the so-called ‘credit crunch’ and the collapse of some banking institutions.
Author : G.M. Grossman
Publisher : Elsevier
ISBN 13 : 0080933459
Total Pages : 896 pages
Book Rating : 4.0/5 (89 download)
Download or read book Handbook of International Economics written by G.M. Grossman and published by Elsevier. This book was released on 1997-10-24 with total page 896 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of International Economics
Author : John Y. Campbell
Publisher : University of Chicago Press
ISBN 13 : 0226092127
Total Pages : 444 pages
Book Rating : 4.2/5 (26 download)
Download or read book Asset Prices and Monetary Policy written by John Y. Campbell and published by University of Chicago Press. This book was released on 2008-11-15 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic growth, low inflation, and financial stability are among the most important goals of policy makers, and central banks such as the Federal Reserve are key institutions for achieving these goals. In Asset Prices and Monetary Policy, leading scholars and practitioners probe the interaction of central banks, asset markets, and the general economy to forge a new understanding of the challenges facing policy makers as they manage an increasingly complex economic system. The contributors examine how central bankers determine their policy prescriptions with reference to the fluctuating housing market, the balance of debt and credit, changing beliefs of investors, the level of commodity prices, and other factors. At a time when the public has never been more involved in stocks, retirement funds, and real estate investment, this insightful book will be useful to all those concerned with the current state of the economy.
Author : Paolo Cecchini
Publisher : Springer Science & Business Media
ISBN 13 : 3642573649
Total Pages : 261 pages
Book Rating : 4.6/5 (425 download)
Download or read book The Incomplete European Market for Financial Services written by Paolo Cecchini and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 261 pages. Available in PDF, EPUB and Kindle. Book excerpt: Looking back over the last decade it can be said with some justification that sig nificant progress has been achieved on the way towards fully integrated financial markets in Europe. The 1993 Internal Market initiative and the Euro introduction in 1999/2002 constitute important milestones. The integration process has further been intensified by market developments like the surge in mergers and acquisi tions and by technological innovations like internet based distribution. As a result, some market segments today do no longer have a national character. Nevertheless, this success should not obscure the fact that integration of financial services markets is still a long way from the level of integration that exists within national markets. Particularly for retail financial services national borders still constitute a considerable de facto barrier. The absence of frequent direct cross border links between financial service providers and retail consumers holds true despite the fact that the Euro has made product comparisons easier and that the internet has reduced information costs to a considerable extent.
Author : L. Gomes
Publisher : Springer
ISBN 13 : 0230375421
Total Pages : 362 pages
Book Rating : 4.2/5 (33 download)
Download or read book The International Adjustment Mechanism written by L. Gomes and published by Springer. This book was released on 1993-07-20 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is about the history of thought and policy on the international adjustment mechanism. Economics emerged as a discipline in its own right largely out of the accumulated reflections, analyses and judgements of a group of writers from the sixteenth to the early nineteenth century who shared a common perspective on matters relating to the adjustment of the balance of payments. The present survey starts with the development of the doctrine at that time and continues the story up to the present debate on economic and monetary union in Europe.
