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Dynamický model nekryté úrokové parity (teorie a empirická verifikace v tranzitivních ekonomikách)
[Dynamic model of uncovered interest rate parity (theory and empirical verification in the transitive economies)]

Author

Listed:
  • Jaroslava Durčáková
  • Martin Mandel
  • Vladimír Tomšík

Abstract

The paper presents a dynamic approach to the theory of uncovered interest rate parity. It is examined the dynamic relation between the actual change in spot exchange rate and interest rate differential. Authors show the hypothesis of uncovered interest rate parity is based on an ex ante view and that is the reason that the expected change in spot exchange rate cannot be replaced by an ex post approach. The dynamic approach developed in the paper is empirically tested for five transitive countries of Central and Eastern Europe. The model is estimated using both VAR and cointegration analyses. The model of error correction is also included in the empirical verification of the model.

Suggested Citation

  • Jaroslava Durčáková & Martin Mandel & Vladimír Tomšík, 2005. "Dynamický model nekryté úrokové parity (teorie a empirická verifikace v tranzitivních ekonomikách) [Dynamic model of uncovered interest rate parity (theory and empirical verification in the transit," Politická ekonomie, Prague University of Economics and Business, vol. 2005(3), pages 291-303.
    • Handle: RePEc:prg:jnlpol:v:2005:y:2005:i:3:id:506:p:291-304
    DOI: 10.18267/j.polek.506
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    References listed on IDEAS

    as
    1. Solnik, B., 1978. "International parity conditions and exchange risk : A review," Journal of Banking & Finance, Elsevier, vol. 2(3), pages 281-293, October.
    2. repec:bla:reviec:v:9:y:2001:i:3:p:505-17 is not listed on IDEAS
    3. Cheung, Yin-Wong & Chinn, Menzie D. & Pascual, Antonio Garcia, 2005. "Empirical exchange rate models of the nineties: Are any fit to survive?," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1150-1175, November.
    4. Mishkin, Frederic S, 1984. "Are Real Interest Rates Equal across Countries? An Empirical Investigation of International Parity Conditions," Journal of Finance, American Finance Association, vol. 39(5), pages 1345-1357, December.
    5. repec:bla:scandj:v:78:y:1976:i:2:p:229-48 is not listed on IDEAS
    6. repec:bla:jfinan:v:43:y:1988:i:4:p:933-48 is not listed on IDEAS
    7. Hakkio, Craig S. & Pearce, Douglas K., 1992. "Discount rate policy under alternative operating procedures: An empirical investigation," International Review of Economics & Finance, Elsevier, vol. 1(1), pages 55-72.
    8. Annika Alexius, 2001. "Uncovered Interest Parity Revisited," Review of International Economics, Wiley Blackwell, vol. 9(3), pages 505-517, August.
    9. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    10. Meese, R. & Rogoff, K., 1988. "Was It Real? The Exchange Rate-Interest Differential Ralation Over The Modern Floating-Rate Period," Working papers 368, Wisconsin Madison - Social Systems.
    11. Alexis Derviz, 1999. "Generalized Asset Return Parity and the Exchange Rate in a Finnancially open Economy," Archive of Monetary Policy Division Working Papers 1999/12, Czech National Bank.
    12. repec:czx:journl:v:6:y:1999:i:10:id:79 is not listed on IDEAS
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    Cited by:

    1. Lukáš Kučera, 2017. "Real Interest Rate Channel from the Point of View of Chosen Theories of Investment [Kanál reálné úrokové míry z pohledu vybraných teorií investic]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2017(2), pages 70-84.

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    More about this item

    Keywords

    monetary policy; exchange rate; portfolio theory; interest rate parity; transitive countries;
    All these keywords.

    JEL classification:

    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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