Another look at the uncovered interest rate parity: Have we missed the fundamentals?
Author
Abstract
Suggested Citation
DOI: 10.1016/j.econlet.2012.04.032
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- repec:bla:reviec:v:9:y:2001:i:3:p:505-17 is not listed on IDEAS
- Menzie D. Chinn & Guy Meredith, 2004. "Monetary Policy and Long-Horizon Uncovered Interest Parity," IMF Staff Papers, Palgrave Macmillan, vol. 51(3), pages 409-430, November.
- Francesco Caselli & James Feyrer, 2007.
"The Marginal Product of Capital,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 122(2), pages 535-568.
- Caselli, Francesco & Feyrer, James, 2005. "The Marginal Product of Capital," CEPR Discussion Papers 5203, C.E.P.R. Discussion Papers.
- Francesco Caselli & James Feyrer, 2006. "The Marginal Product of Capital," CEP Discussion Papers dp0735, Centre for Economic Performance, LSE.
- Francesco Caselli & James Feyrer, 2005. "The Marginal Product of Capital," NBER Working Papers 11551, National Bureau of Economic Research, Inc.
- Caselli, Francesco & Feyrer, James, 2006. "The marginal product of capital," LSE Research Online Documents on Economics 3560, London School of Economics and Political Science, LSE Library.
- Annika Alexius, 2001. "Uncovered Interest Parity Revisited," Review of International Economics, Wiley Blackwell, vol. 9(3), pages 505-517, August.
- Christensen, Michael, 2000. "Uncovered Interest Parity and Policy Behavior New Evidence," Finance Working Papers 00-2, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Cappiello, Lorenzo & Mehl, Arnaud, 2007. "Uncovered interest parity at distant horizons: evidence on emerging economies & nonlinearities," Working Paper Series 801, European Central Bank.
- Christensen, Michael, 2000. "Uncovered interest parity and policy behavior: new evidence," Economics Letters, Elsevier, vol. 69(1), pages 81-87, October.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Heike Joebges & Volker Meinhard & Katja Rietzler & Rudolf Zwiener, 2012. "On the Path to Old-Age Poverty - Assessing the Impact of the Funded Riester Pension," IMK Report 73e-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Heike Joebges & Volker Meinhard & Katja Rietzler & Rudolf Zwiener, 2012. "Auf dem Weg in die Altersarmut - Bilanz der Einführung der kapitalgedeckten Riester-Rente," IMK Report 73-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- C. Emre Alper & Oya Pinar Ardic & Salih Fendoglu, 2009.
"The Economics Of The Uncovered Interest Parity Condition For Emerging Markets,"
Journal of Economic Surveys, Wiley Blackwell, vol. 23(1), pages 115-138, February.
- Alper, C. Emre & Ardic, Oya Pinar & Fendoglu, Salih, 2007. "The Economics of Uncovered Interest Parity Condition for Emerging Markets: A Survey," MPRA Paper 4079, University Library of Munich, Germany.
- Ozgur Aslan & H. Levent Korap, 2010.
"Does the uncovered interest parity hold in short horizons?,"
Applied Economics Letters, Taylor & Francis Journals, vol. 17(4), pages 361-365.
- Levent, Korap, 2010. "Does the uncovered interest parity hold in short horizons?," MPRA Paper 20788, University Library of Munich, Germany.
- Juan Carlos Cuestas & Fabio Filipozzi & Karsten Staehr, 2017.
"Uncovered interest parity in Central and Eastern Europe: Expectations and structural breaks,"
Review of International Economics, Wiley Blackwell, vol. 25(4), pages 695-710, September.
- Juan Carlos Cuestas & Karsten Staehr & Fabio Filipozzi, 2015. "Uncovered interest parity in Central and Eastern Europe : expectations and structural breaks," Bank of Estonia Working Papers wp2015-4, Bank of Estonia, revised 30 Dec 2015.
- Ferreira, Paulo & Kristoufek, Ladislav, 2020. "Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 553(C).
- Tang, Kin-Boon, 2011. "The precise form of uncovered interest parity: A heterogeneous panel application in ASEAN-5 countries," Economic Modelling, Elsevier, vol. 28(1-2), pages 568-573, January.
- Bruce Felmingham & SuSan Leong, 2005. "Parity conditions and the efficiency of the Australian 90‐ and 180‐day forward markets," Review of Financial Economics, John Wiley & Sons, vol. 14(2), pages 127-145.
- Maurice J. Roche & Michael J. Moore, 2010. "For Rich or for Poor: When does Uncovered Interest Parity Hold?," Working Papers 015, Toronto Metropolitan University, Department of Economics.
- Adewuyi, Adeolu O. & Ogebe, Joseph O., 2019. "The validity of uncovered interest parity: Evidence from african members and non-member of the organisation of petroleum exporting countries (OPEC)," Economic Modelling, Elsevier, vol. 82(C), pages 229-249.
- Li, Dandan & Ghoshray, Atanu & Morley, Bruce, 2013. "An empirical study of nonlinear adjustment in the UIP model using a smooth transition regression model," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 109-120.
- Charles Engel, 2011.
"The Real Exchange Rate, Real Interest Rates, and the Risk Premium,"
Working Papers
272011, Hong Kong Institute for Monetary Research.
- Engel, Charles, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," Economics Series 265, Institute for Advanced Studies.
- Charles Engel, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," NBER Working Papers 17116, National Bureau of Economic Research, Inc.
- Pippenger, John, 2013. "The Failure Of Uncovered Interest Parity, Forward Bias And Related Puzzles," University of California at Santa Barbara, Economics Working Paper Series qt50n5p8bv, Department of Economics, UC Santa Barbara.
- Menzie D. Chinn & Yi Zhang, 2018.
"Uncovered Interest Parity and Monetary Policy Near and Far from the Zero Lower Bound,"
Open Economies Review, Springer, vol. 29(1), pages 1-30, February.
- Menzie D. Chinn & Yi Zhang, 2015. "Uncovered Interest Parity and Monetary Policy Near and Far from the Zero Lower Bound," NBER Working Papers 21159, National Bureau of Economic Research, Inc.
- Pippenger, John, 2018. "Forward Bias, Uncovered Interest Parity and Related Puzzles," University of California at Santa Barbara, Economics Working Paper Series qt2cm6p186, Department of Economics, UC Santa Barbara.
- Engel, Charles, 2014.
"Exchange Rates and Interest Parity,"
Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.), Handbook of International Economics, edition 1, volume 4, chapter 0, pages 453-522,
Elsevier.
- Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
- Ravi Bansal & Ivan Shaliastovich, 2013.
"A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 26(1), pages 1-33.
- Ivan Shaliastovich & Ravi Bansal, 2012. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," 2012 Meeting Papers 778, Society for Economic Dynamics.
- Ravi Bansal & Ivan Shaliastovich, 2012. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," NBER Working Papers 18357, National Bureau of Economic Research, Inc.
- Leo Krippner, 2006. "A Yield Curve Perspective on Uncovered Interest Parity," Working Papers in Economics 06/16, University of Waikato.
- Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889.
- Tarek A. Hassan & Tony Zhang, 2021.
"The Economics of Currency Risk,"
Annual Review of Economics, Annual Reviews, vol. 13(1), pages 281-307, August.
- Hassan, Tarek & Zhang, Tony, 2020. "The Economics of Currency Risk," CEPR Discussion Papers 15313, C.E.P.R. Discussion Papers.
- Tarek Alexander Hassan & Tony Zhang, 2020. "The Economics of Currency Risk," NBER Working Papers 27847, National Bureau of Economic Research, Inc.
- Otavio De Medeiros, 2005. "Order Flow and Exchange Rate Dynamics in Brazil," Finance 0503019, University Library of Munich, Germany.
- Ichiue, Hibiki & Koyama, Kentaro, 2011.
"Regime switches in exchange rate volatility and uncovered interest parity,"
Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1436-1450.
- Hibiki Ichiue & Kentaro Koyama, 2007. "Regime Switches in Exchange Rate Volatility and Uncovered Interest Parity," Bank of Japan Working Paper Series 07-E-22, Bank of Japan.
More about this item
Keywords
Exchange rates; Uncovered interest rate parity; CCAPM;All these keywords.
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:116:y:2012:i:3:p:476-479. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.