Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Uncovered Interest Parity Tests And Exchange Rate Expectations full books in PDF, epub, and Kindle. Read online Uncovered Interest Parity Tests And Exchange Rate Expectations ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Philip S. Marey
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (249 download)
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:
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 : Jan Marc Berk
Publisher : International Monetary Fund
ISBN 13 : 1451850344
Total Pages : 29 pages
Book Rating : 4.4/5 (518 download)
Download or read book Co-Movements in Long-Term Interest Rates and the Role of PPP-Based Exchange Rate Expectations written by Jan Marc Berk and published by International Monetary Fund. This book was released on 1999-06-01 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
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 : Peter Isard
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (318 download)
Download or read book Uncovered Interest Parity written by Peter Isard and published by International Monetary Fund. This book was released on 2006-04 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Guy Meredith
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (321 download)
Download or read book Long-horizon Uncovered Interest Rate Parity written by Guy Meredith and published by . This book was released on 1998 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Uncovered interest parity (UIP) has been almost universally rejected in studies of exchange rate movements, although there is little consensus on why it fails. In contrast to previous studies, which have used relatively short-horizon data, we test UIP using interest rates on longer-maturity bonds for the G-7 countries. These long-horizon regressions yield much more support for UIP -- all the coefficients on interest differentials are of the correct sign, and almost all are closer to the UIP value of unity than to the zero coefficient implied by the random walk hypothesis. We then use a small macroeconomic model to explain the differences between the short- and long-horizon results. Regressions run on data generated by stochastic simulations replicate the important regularities in the actual data, including the sharp differences between short- and long-horizon parameters. In the short run from risk premium shocks in the face of endogenous monetary policy. In the long run, in contrast, exchange rate movements are driven by the "fundamentals," leading to a relationship between interest rates and exchange rates that is more consistent with UIP.
Author : Lucio Sarno
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (318 download)
Download or read book Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle written by Lucio Sarno and published by International Monetary Fund. This book was released on 2006-05 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Eleftherios Giovanis
Publisher : GRIN Verlag
ISBN 13 : 3640538552
Total Pages : 121 pages
Book Rating : 4.6/5 (45 download)
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
Author : Menzie David Chinn
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
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.
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 : Constantin Bürgi
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book Do Professional Forecasters Believe in Uncovered Interest Rate Parity? written by Constantin Bürgi and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: No, not according to our data. Using a unique data set, we run panel regressions to test whether professional forecasters believe in uncovered interest rate parity (UIP). Specifically, we test whether the interest rate expectations for individual forecasters are in line with their exchange rate expectations using the UIP condition. This new approach allows us to test directly whether forecasters believe in UIP. We find that professional forecasters generally do not believe in UIP across a range of currencies and horizons. Given the prevalence of the UIP condition in our international macro models, these results reiterate the importance of finding the drivers for these deviations.
Author : Costas I. Karfakis
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (318 download)
Download or read book Uncovered Interest Parity Hypothesis for Major Currencies written by Costas I. Karfakis and published by . This book was released on 1993 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ben Z. Schreiber
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (129 download)
Download or read book Uncovered Interest Parity (Uip) in the Mean and Variance of the Ils/Usd Exchange Rate written by Ben Z. Schreiber and published by . This book was released on 2006 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the simultaneous short-term relationships between the ILS/USD exchange rate and domestic interest rates, the foreign interest rates and the interest-rate differentials along the term structure of interest rates. The test is performed using the ARCH (autoregressive conditional heteroskedasticity) procedure of two variables with a bi-variate threshold ARCH (BV-TARCH) that incorporates a set of equations describing the short term relationship between the exchange rate and interest rates. This procedure enables us to analyze the effect of each of the variables on the other, both the first moment, i.e., the expectation, and the second moment, the conditional variance. It also enables us to identify asymmetry in the effects of shocks and their autoregressive effects. The second section of the paper examines the Uncovered Interest Parity (UIP) hypothesis along the interest-rate differential term structure.The analysis of the results of the procedure used on weekly data for the years 1999-2005 shows that in the mean equation the exchange rate has a positive effect on the long-term domestic interest rates and on the interest-rate differential, but the reverse relationship does not hold. On the other hand, in the conditional variance equation, no cross-relationship was found between the exchange rate and the interest rates or the interest-rate differential. The conditional correlation of the error matrix of these variables and its level of significance rose with the term structure.Examination of the UIP during the sample period shows that changes in the interest-rate differential, particularly for the long term, predicted the changes in the exchange rate better than did the differential itself. These findings can be explained by the significant contraction of the interest-rate differential that occurred during the sample period compared with the small depreciation reflected by the ILS/USD exchange rate in that period.
Author : Dipak Das Gupta
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (318 download)
Download or read book Interest Rates in Open Economies written by Dipak Das Gupta and published by . This book was released on 1994 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Policymakers must address the central questions: How much do world interest rates influence domestic rates? And what are the respective roles of monetary policy, real interest parity, expectations of change in the exchange rate, and "country risk?"
Author : Hali J. Edison
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.3/5 ( download)
Download or read book Purchasing Power Parity and Uncovered Interest Rate Parity written by Hali J. Edison and published by . This book was released on 1992 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Takatoshi Ito
Publisher :
ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (119 download)
Download or read book Use of (time-domain) Vector Autoregressions to Test Uncovered Interest Parity written by Takatoshi Ito and published by . This book was released on 1984 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 1451947003
Total Pages : 38 pages
Book Rating : 4.4/5 (519 download)
Download or read book The Simplest Test of Target Zone Credibility written by International Monetary Fund and published by International Monetary Fund. This book was released on 1990-11-01 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Under the assumption of no arbitrage exchange rate target zone credibility is tested by whether domestic interest rates fall within “rate-of-return bands” between the maximum and minimum home-currency rate of return on a foreign investment absent a devaluation. Under the assumption of uncovered interest rate parity credibility is tested by whether expected future exchange rates fall within the exchange rate band. These tests are applied on data about the Swedish target zone during January 1987-August 1990.
