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The Uncovered Interest Rate Parity Puzzle in the Foreign Exchange Market

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  • Sahil Aggarwal

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  • Sahil Aggarwal, 2013. "The Uncovered Interest Rate Parity Puzzle in the Foreign Exchange Market," Working Papers 13-07, New York University, Leonard N. Stern School of Business, Department of Economics.
    • Handle: RePEc:ste:nystbu:13-07
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    File URL: http://w4.stern.nyu.edu/economics/docs/workingpapers/2013/Aggarwal_ParityPuzzle_May2013.pdf
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    References listed on IDEAS

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    1. Engle, Robert F. & White (the late), Halbert (ed.), 1999. "Cointegration, Causality, and Forecasting: Festschrift in Honour of Clive W. J. Granger," OUP Catalogue, Oxford University Press, number 9780198296836.
    2. Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
    3. Menzie D. Chinn & Guy Meredith, 2005. "Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era," NBER Working Papers 11077, National Bureau of Economic Research, Inc.
    4. Cathy Ning & Dinghai Xu & Tony Wirjanto, 2009. "Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data," Working Papers 006, Toronto Metropolitan University, Department of Economics.
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    Cited by:

    1. Lucian Claudiu ANGHEL & Florina PINZARU & Mihaela DINU & Laurentiu-Mihai TREAPAT, 2014. "Fixing the Central Parity and the Evolution of the Currency within the Exchange Rate Mechanism II in the Countries that Joined the Euro Zone," Management Dynamics in the Knowledge Economy, College of Management, National University of Political Studies and Public Administration, vol. 2(4), pages 21-40, April.
    2. Shimizu, Makoto, 2017. "Effect of net foreign assets on persistency of time-varying risk premium: Evidence from the Dollar-Yen exchange rate," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 255-265.
    3. Jorge Andrés Muñoz Mendoza & Carmen Lissette Veloso Ramos & Sandra María Sepúlveda Yelpo & Carlos Leandro Delgado Fuentealba & Edinson Edgardo Cornejo Saavedra, 2022. "Exchange Markets and Stock Markets Integration in Latin-America," 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. 17(3), pages 1-24, Julio - S.
    4. 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.

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