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Testing Uncovered Interest Parity
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Book Synopsis Testing Uncovered Interest Parity at Short and Long Horizons by : Menzie David Chinn
Download or read book Testing Uncovered Interest Parity at Short and Long Horizons written by Menzie David Chinn and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The unbiasedness hypothesis - the joint hypothesis of uncovered interest parity (UIP) and rational expectations - has been almost universally rejected in studies of exchange rate movements. In contrast to previous studies, which have used short-horizon data, we test this hypothesis using interest rates on longer-maturity bonds for the G-7 countries. The results of these long-horizon regressions are much more positive - the coefficients on interest differentials are of the correct sign, and almost all are closer to the predicted value of unity than to zero. These results are robust changes in data type and to base currency (i.e., Deutschemark versus US dollar). We appeal to an econometric interpretation of the results, which focuses on the presence of simultaneity in a cointegration framework.
Book Synopsis Testing Uncovered Interest Parity by : Antonio Díez de los Ríos
Download or read book Testing Uncovered Interest Parity written by Antonio Díez de los Ríos and published by . This book was released on 2007 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing Uncovered Interest Parity by : Antonio Diez de los Rios
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.
Book Synopsis Tests of the Uncovered Interest Parity by : Aseem Shrestha
Download or read book Tests of the Uncovered Interest Parity written by Aseem Shrestha and published by . This book was released on 2014 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper carries out empirical testing of the Uncovered Interest Parity for US-Mexico, US-Brazil and US-Japan using general OLS and GARCH from monthly data. Similar to numerous other studies UIP failed to hold empirically. I also test if deviations from UIP are in any way effected by business cycles but did not find any supporting evidence. In contrast to a number of other studies my slope coefficient was significantly different from unity. The coefficient also showed a negative sign for one of the economies. Additionally, there were presence of ARCH and GARCH effects in UIP deviations. Finally, no evidence was found for UIP to hold better for developed nations like Japan and not for emerging markets like Mexico and Brazil.
Book Synopsis International Parity Conditions by : Razzaque H. Bhatti
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.
Book Synopsis Testing Uncovered Interest Parity by : Steinar Holden
Download or read book Testing Uncovered Interest Parity written by Steinar Holden and published by . This book was released on 1993 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Uncovered Interest Parity by : Mr.Peter Isard
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.
Book Synopsis Testing Uncovered Interest Parity at Short and Long Horizons During the Post-Bretton Woods Era by : Menzie David Chinn
Download or read book Testing Uncovered Interest Parity at Short and Long Horizons During the Post-Bretton Woods Era written by Menzie David Chinn and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The hypothesis that interest rate differentials are unbiased predictors of future exchange rate movements has been almost universally rejected in empirical studies. In contrast to previous studies, which have used short-horizon data, we test this hypothesis using interest rates on longer-maturity bonds for the U.S., Germany, Japan and Canada. The results of these long-horizon regressions are much more positive - the coefficients on interest differentials are of the correct sign, and most are closer to the predicted value of unity than to zero. We appeal to an econometric interpretation of the results, which focuses on the presence of simultaneity in a cointegration framework.
Book Synopsis Testing Uncovered Interest Parity Under the Assumption of Liquidity Premia by :
Download or read book Testing Uncovered Interest Parity Under the Assumption of Liquidity Premia written by and published by . This book was released on 2014 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Uncovered Interest Parity Tests and Exchange Rate Expectations by : Philip S. Marey
Download or read book Uncovered Interest Parity Tests and Exchange Rate Expectations written by Philip S. Marey and published by . This book was released on 2004 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Some Survey Based Tests of Uncovered Interest Parity by : Ronald MacDonald
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:
Book Synopsis A Research Examination of Covered-Uncovered Interest Rate Parity and the Purchase Power Parity (PPP) Hypothesis: Applications in MATLAB, RATS and EVIEWS by : Eleftherios Giovanis
Download or read book A Research Examination of Covered-Uncovered Interest Rate Parity and the Purchase Power Parity (PPP) Hypothesis: Applications in MATLAB, RATS and EVIEWS written by Eleftherios Giovanis and published by GRIN Verlag. This book was released on 2010-02 with total page 121 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2008 in the subject Business economics - Investment and Finance, grade: 95.00%, language: English, abstract: This project examines in the first part the covered and uncovered interest parity between US dollar and Swiss Franc. We present simple summary statistics, unit root tests, deviations from covered interest parity, regression analysis, threshold autoregression and exponential transition autoregression. Then we present the uncovered interest parity and, as in the case of covered interest parity, we apply some tests to examine if it's valid. We apply Johansen cointegration tests between spot and forward rates, but also between forward premia and interest rates differentials and we test if there is a cointegration equation and we estimate the vector error correction model. After this procedure we present the impulse responses. Next we test if there is a threshold cointegration relation between the above variables. Finally in the last section we apply a dynamic OLS (DOLS) estimation with Newey-West HAC standard errors. In the second part the purchasing power parity (PPP) hypothesis is examined with a similar methodology followed, where additionally we present a long span study, unit root tests allowing for structural breaks in data, panel unit root tests as also Markov switching regime autoregressive model is examined in the category of the non linear models
Book Synopsis Testing for Uncovered Interest Rate Parity by : Martin Cincibuch
Download or read book Testing for Uncovered Interest Rate Parity written by Martin Cincibuch and published by . This book was released on 2000 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing Uncovered Interest Parity at Short and Lomg Horizons During the Post-Bretton Woods Era by : Menzie David Chinn
Download or read book Testing Uncovered Interest Parity at Short and Lomg Horizons During the Post-Bretton Woods Era written by Menzie David Chinn and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Some Specification Tests of Uncovered Interest Parity by : Ian D. McAvinchey
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:
Book Synopsis A New Test for Market Efficiency and Uncovered Interest Parity by : Richard T. Baillie
Download or read book A New Test for Market Efficiency and Uncovered Interest Parity written by Richard T. Baillie and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We suggest a new single-equation test for Uncovered Interest Parity (UIP) based on a dynamic regression approach. The method provides consistent and asymptotically efficient parameter estimates, and is not dependent on assumptions of strict exogeneity. This new approach is asymptotically more efficient than the common approach of using OLS with HAC robust standard errors in the static forward premium regression. The coefficient estimates when spot return changes are regressed on the forward premium are all positive and remarkably stable across currencies. These estimates are considerably larger than those of previous studies, which frequently find negative coefficients. The method also has the advantage of showing dynamic effects of risk premia, or other events that may lead to rejection of UIP or the efficient markets hypothesis.
Book Synopsis Covered Interest Parity Deviations: Macrofinancial Determinants by : Mr.Eugenio M Cerutti
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).
