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Uncovered interest parity and behavior of interest differentials

Author

Listed:
  • Jorge Andrés Muñoz Mendoza

    (Universidad de Concepción, Chile)

  • Sandra María Sepúlveda Yelpo

    (Universidad de Concepción, Chile)

  • Carmen Lissette Veloso Ramos

    (Universidad de Concepción, Chile & Universidad Santo Tomás, Chile)

  • Carlos Leandro Delgado Fuentealba

    (Universidad de Concepción, Chile)

Abstract

En este artículo analizamos la relación entre los retornos cambiarios y diferenciales de tasas de interés a través de la Paridad Descubierta de Tasas de Interés (UIP). Usamos panel de datos para 83 países entre 1980 y 2015. Las regresiones por efectos fijos demuestran que la UIP no se cumple, pero el impacto del diferencial de tasas de interés sobre los retornos cambiarios es no lineal. La forma de la no linealidad sugiere que la UIP es menos sesgada en países con diferenciales de tasas de interés superiores al 38%. Las regresiones por cuartiles demuestran que la relación positiva entre los retornos cambiarios y los diferenciales de tasas de interés se observaría cuando estas variables experimentan variaciones elevadas. Estos resultados son relevantes para el diseño de la política monetaria y cambiaria, y para decisiones de inversión en mercados cambiarios.

Suggested Citation

  • Jorge Andrés Muñoz Mendoza & Sandra María Sepúlveda Yelpo & Carmen Lissette Veloso Ramos & Carlos Leandro Delgado Fuentealba, 2020. "Uncovered interest parity and behavior of interest differentials," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 15(2), pages 173-183, Abril - J.
    • Handle: RePEc:imx:journl:v:15:y:2020:i:2:p:173-183
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    More about this item

    Keywords

    retornos cambiarios; paridad de tasas; diferenciales;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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