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Long-Horizon Uncovered Interest Rate Parity

Citations

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Cited by:

  1. Alexius, Annika, 2000. "UIP for Short Investments in Long-Term Bonds," Working Paper Series 115, Sveriges Riksbank (Central Bank of Sweden).
  2. Martin Melecky & Evgenij Najdov, 2010. "Comparing constraints to economic stabilization in Macedonia and Slovakia: macroestimates with micronarratives," Applied Financial Economics, Taylor & Francis Journals, vol. 20(9), pages 681-699.
  3. Adolfo Sachsida & Roberto Ellery & Joanilio Rodolpho Teixeira, 2001. "Uncovered interest parity and the peso problem: the Brazilian case," Applied Economics Letters, Taylor & Francis Journals, vol. 8(3), pages 179-181.
  4. Daniel Buncic & Martin Melecky, 2008. "An Estimated New Keynesian Policy Model for Australia," The Economic Record, The Economic Society of Australia, vol. 84(264), pages 1-16, March.
  5. Christopher J. Neely & Lucio Sarno, 2002. "How well do monetary fundamentals forecast exchange rates?," Review, Federal Reserve Bank of St. Louis, vol. 84(Sep), pages 51-74.
  6. Alex Luiz Ferreira, 2008. "The Simultaneity Bias of the Uncovered Interest Rate Parity: Evidence for Brazil," Working Papers 08_20, Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto.
  7. Oliver Holtemöller, 2005. "Uncovered interest rate parity and analysis of monetary convergence of potential EMU accession countries," International Economics and Economic Policy, Springer, vol. 2(1), pages 33-63, June.
  8. John H. Cochrane, 1999. "New facts in finance," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 36-58.
  9. Felmingham, Bruce & Leong, SuSan, 2005. "Parity conditions and the efficiency of the Australian 90- and 180-day forward markets," Review of Financial Economics, Elsevier, vol. 14(2), pages 127-145.
  10. Pericoli, Marcello & Taboga, Marco, 2012. "Bond risk premia, macroeconomic fundamentals and the exchange rate," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 42-65.
  11. Ron Alquist & Menzie D. Chinn, 2008. "Conventional and unconventional approaches to exchange rate modelling and assessment," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 2-13.
  12. Annika Alexius & Peter Sellin, 2012. "Exchange Rates and Long-Term Bonds," Scandinavian Journal of Economics, Wiley Blackwell, vol. 114(3), pages 974-990, September.
  13. Ronald MacDonald, 2002. "Modelling the Long–run Real Effective Exchange Rate of the New Zealand Dollar," Australian Economic Papers, Wiley Blackwell, vol. 41(4), pages 519-537, December.
  14. Christopher J. Neely, 2005. "The case for foreign exchange intervention: the government as an active reserve manager," Working Papers 2004-031, Federal Reserve Bank of St. Louis.
  15. Peter Rowland, 2003. "Uncovered Interest Parity and the USD/COP Echange Rate," Borradores de Economia 227, Banco de la Republica de Colombia.
  16. Byung‐Joo Lee, 2011. "Uncovered Interest Parity: Cross‐Sectional Evidence," Review of International Economics, Wiley Blackwell, vol. 19(2), pages 219-231, May.
  17. Chinn, Menzie D. & Meredith, Guy, 2000. "Testing uncovered interest parity at short and long horizons," HWWA Discussion Papers 102, Hamburg Institute of International Economics (HWWA).
  18. Dumitriu, Ramona & Stefanescu, Razvan, 2013. "Provocările politicii monetare [Monetary policy challenges]," MPRA Paper 50261, University Library of Munich, Germany, revised 28 Sep 2013.
  19. Alex Maynard, 2006. "The forward premium anomaly: statistical artefact or economic puzzle? New evidence from robust tests," Canadian Journal of Economics, Canadian Economics Association, vol. 39(4), pages 1244-1281, November.
  20. Berk, Jan Marc & Knot, Klaas H. W., 2001. "Testing for long horizon UIP using PPP-based exchange rate expectations," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 377-391, February.
  21. Gilles DUFRENOT & Balazs Egert, 2003. "Real Exchange Rates in Central and Eastern Europe : What Scope for the Underlying Fundamentals?," Development and Comp Systems 0309001, University Library of Munich, Germany.
  22. Clark, Peter B. & MacDonald, Ronald, 2004. "Filtering the BEER: A permanent and transitory decomposition," Global Finance Journal, Elsevier, vol. 15(1), pages 29-56.
  23. 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.
  24. Inci, Ahmet Can, 2008. "The Japanese yen futures returns, spot returns, and the risk premium," Global Finance Journal, Elsevier, vol. 18(3), pages 385-399.
  25. Pasricha, Gurnain Kaur, 2006. "Survey of Literature on Covered and Uncovered Interest Parities," MPRA Paper 22737, University Library of Munich, Germany.
  26. Alex Luiz Ferreira, 2015. "The Simultaneity Bias of the Uncovered Interest Rate Parity: evidence using survey data for Brazil," Economics Bulletin, AccessEcon, vol. 35(3), pages 1718-1725.
  27. Inci, Ahmet Can, 2005. "ERM effects on currency spot and futures markets," Global Finance Journal, Elsevier, vol. 16(2), pages 145-163, December.
  28. Byrne, Joseph P. & Nagayasu, Jun, 2008. "Common and Idiosyncratic Factors of the Exchange Risk Premium in Emerging European Markets," SIRE Discussion Papers 2008-49, Scottish Institute for Research in Economics (SIRE).
  29. Yu-chin Chen & Kwok Ping Tsang, 2013. "What Does the Yield Curve Tell Us about Exchange Rate Predictability?," The Review of Economics and Statistics, MIT Press, vol. 95(1), pages 185-205, March.
  30. Joseph P. Byrne & Jun Nagayasu, 2012. "Common Factors Of The Exchange Risk Premium In Emerging European Markets," Bulletin of Economic Research, Wiley Blackwell, vol. 64(Supplemen), pages 71-85, December.
  31. Kleopatra Nikolaou & Lucio Sarno, 2006. "New evidence on the forward unbiasedness hypothesis in the foreign‐exchange market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(7), pages 627-656, July.
  32. Nelson Mark & Young-Kyu Moh, 2003. "Official Interventions and Occasional Violations of Uncovered Interest Party in the Dollar-DM Market," NBER Working Papers 9948, National Bureau of Economic Research, Inc.
  33. Han, Bing & Hirshleifer, David & Wang, Tracy Yue, 2005. "Investor Overconfidence and the Forward Discount Puzzle," Working Paper Series 2005-21, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  34. Jaramillo Franco, Miguel & Serván Lozano, Sergio, 2012. "Modeling exchange rate dynamics in Peru: A cointegration approach using the UIP and PPP," MPRA Paper 70772, University Library of Munich, Germany.
  35. Erdal Ozmen & Aysun Gokcan, 2004. "Deviations from PPP and UIP in a financially open economy: the Turkish evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 14(11), pages 779-784.
  36. Zsolt Darvas & Gábor Rappai & Zoltán Schepp, 2006. "Uncovering Yield Parity: A new insight into the UIP puzzle through the stationarity of long maturity forward rates," DNB Working Papers 098, Netherlands Central Bank, Research Department.
  37. Schepp, Zoltán, 2003. "Befektetői horizont és a „forwardrejtély” [The investor horizon and the ‘forward puzzle’]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 939-963.
  38. Mr. Abhisek Banerjee & Mr. Manmohan Singh, 2006. "Testing Real Interest Parity in Emerging Markets," IMF Working Papers 2006/249, International Monetary Fund.
  39. Antonio Montanés & Marcos Sanso-Navarro, "undated". "Another look at long-horizon uncovered interest parity," Studies on the Spanish Economy 221, FEDEA.
  40. Stefanescu, Razvan & Dumitriu, Ramona, 2016. "Particularitǎţi ale evoluţiei variabilelor financiare [Some particularities of the financial variables evolution]," MPRA Paper 73481, University Library of Munich, Germany, revised 02 Sep 2016.
  41. Mr. Jorge I Canales Kriljenko & Mr. Cem Karacadag & Roberto Guimarães-Filho, 2003. "Official Intervention in the Foreign Exchange Market: Elements of Best Practice," IMF Working Papers 2003/152, International Monetary Fund.
  42. Chinn, Menzie D., 2006. "The (partial) rehabilitation of interest rate parity in the floating rate era: Longer horizons, alternative expectations, and emerging markets," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 7-21, February.
  43. Mr. Guy M Meredith, 2003. "Medium-Term Exchange Rate Forecasting: What Can We Expect?," IMF Working Papers 2003/021, International Monetary Fund.
  44. Buiter, Willem, 2000. "Monetary Misconceptions: New and Old Paradigmata and Other Sad Tales," CEPR Discussion Papers 2365, C.E.P.R. Discussion Papers.
  45. Inci, Ahmet Can, 2006. "Co-integrating currencies and yield differentials," Review of Financial Economics, Elsevier, vol. 15(2), pages 159-175.
  46. Shu Wu, 2007. "Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2‐3), pages 423-442, March.
  47. Ali Trabelsi Karoui & Aida Kammoun, 2021. "Exchange Rate Determination: Mixed Microstructural and Macroeconomic Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 11(3), pages 89-106.
  48. Dandan Li & A Ghoshray & Bruce Morley, 2011. "Uncovered Interest Parity and the Risk Premium," Department of Economics Working Papers 02/11, University of Bath, Department of Economics.
  49. Drakos, Konstantinos, 2003. "The term structure of deviations from the interest parity," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(1), pages 57-67, February.
  50. Inci, Ahmet Can, 2007. "US-Swiss term structures and exchange rate dynamics," Global Finance Journal, Elsevier, vol. 18(2), pages 270-288.
  51. Eiji Fujii & Menzie D. Chinn, 2000. "Fin de Siecle Real Interest Parity," NBER Working Papers 7880, National Bureau of Economic Research, Inc.
  52. Nyoni, Thabani, 2019. "An ARIMA analysis of the Indian Rupee/USD exchange rate in India," MPRA Paper 96908, University Library of Munich, Germany.
  53. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2009. "Time-Varying Risk, Interest Rates, and Exchange Rates in General Equilibrium," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 76(3), pages 851-878.
  54. Mr. Douglas Laxton & Mr. Andrew Berg & Mr. Philippe D Karam, 2006. "A Practical Model-Based Approach to Monetary Policy Analysis—Overview," IMF Working Papers 2006/080, International Monetary Fund.
  55. Yin-Wong Cheung & Menzie D. Chinn, 1999. "Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders," NBER Working Papers 7417, National Bureau of Economic Research, Inc.
  56. Bhatti, Razzaque H., 2014. "The existence of uncovered interest parity in the CIS countries," Economic Modelling, Elsevier, vol. 40(C), pages 227-241.
  57. Lee, Eunhee, 2019. "Asset prices with stochastic volatilities and a UIP puzzle," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 41-61.
  58. Baak, SaangJoon, 2012. "Measuring misalignments in the Korean exchange rate," Japan and the World Economy, Elsevier, vol. 24(4), pages 227-234.
  59. Hyoung-Seok Lim & Masao Ogaki, 2013. "A Theory of Exchange Rates and the Term Structure of Interest Rates," Review of Development Economics, Wiley Blackwell, vol. 17(1), pages 74-87, February.
  60. Christopher J. Neely & Paul A. Weller, 2007. "Central bank intervention with limited arbitrage," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 249-260.
  61. Alexius, Annika, 2002. "Can Endogenous Monetary Policy Explain the Deviations from UIP," Working Paper Series 2002:17, Uppsala University, Department of Economics.
  62. Gottfries, Nils, 2003. "Booms and Busts in EMU," Working Paper Series 2003:29, Uppsala University, Department of Economics.
  63. International Monetary Fund, 2006. "Israel: Selected Issues," IMF Staff Country Reports 2006/121, International Monetary Fund.
  64. Chaboud, Alain P. & Wright, Jonathan H., 2005. "Uncovered interest parity: it works, but not for long," Journal of International Economics, Elsevier, vol. 66(2), pages 349-362, July.
  65. Inci, Ahmet Can & Lu, Biao, 2004. "Exchange rates and interest rates: can term structure models explain currency movements?," Journal of Economic Dynamics and Control, Elsevier, vol. 28(8), pages 1595-1624, June.
  66. Alex Luiz Ferreira, 2004. "Leaning Against the Parity," Studies in Economics 0413, School of Economics, University of Kent.
  67. Lothian, James R. & Koedijk, Kees & Mahieu, Ronald & Campbell, Rachel, 2007. "Irving Fisher, Expectational Errors, and the UIP Puzzle," CEPR Discussion Papers 6294, C.E.P.R. Discussion Papers.
  68. Yilmaz, Kamil, 2003. "Martingale Property of Exchange Rates and Central Bank Interventions," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(3), pages 383-395, July.
  69. Yu-chin Chen & Kwok Ping Tsang, 2013. "What Does the Yield Curve Tell Us about Exchange Rate Predictability?," The Review of Economics and Statistics, MIT Press, vol. 95(1), pages 185-205, March.
  70. Mrs. Gilda C Fernandez & Mr. Cem Karacadag & Rupa Duttagupta, 2004. "From Fixed to Float: Operational Aspects of Moving towards Exchange Rate Flexibility," IMF Working Papers 2004/126, International Monetary Fund.
  71. Alexis Derviz, 2000. "Monetary Transmission and Asset-Liability Management by Financial Institutions in Transitional Economies - Implications for Czech Monetary Policy," Archive of Monetary Policy Division Working Papers 2000/22, Czech National Bank.
  72. Ogaki, Masao & Santaella, Julio A., 2000. "The exchange rate and the term structure of interest rates in Mexico," Journal of Development Economics, Elsevier, vol. 63(1), pages 135-155, October.
  73. Eichler, Stefan, 2011. "Exchange rate expectations and the pricing of Chinese cross-listed stocks," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 443-455, February.
  74. Otavio De Medeiros, 2005. "Order Flow and Exchange Rate Dynamics in Brazil," Finance 0503019, University Library of Munich, Germany.
  75. Melecky, M, 2007. "Currency Preferences in a Tri-Polar Model of Foreign Exchange," MPRA Paper 4186, University Library of Munich, Germany.
  76. Chinn, Menzie & Frankel, Jeffrey A., 2003. "The Euro Area and World Interest Rates," Santa Cruz Center for International Economics, Working Paper Series qt9823140f, Center for International Economics, UC Santa Cruz.
  77. Min, Hong-Ghi & McDonald, Judith A. & Choung, Jaeyong, 2003. "Dynamic capital mobility, capital-market risk, and contagion: evidence from seven Asian countries," Japan and the World Economy, Elsevier, vol. 15(2), pages 161-183, April.
  78. Cappiello, Lorenzo & Mehl, Arnaud, 2007. "Uncovered interest parity at distant horizons: evidence on emerging economies & nonlinearities," Working Paper Series 801, European Central Bank.
  79. Cheung, Yin-Wong & Chinn, Menzie David, 2001. "Currency traders and exchange rate dynamics: a survey of the US market," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 439-471, August.
  80. Erdemlioglu, Deniz M, 2007. "A new Test of Uncovered Interest Rate Parity: Evidence from Turkey," MPRA Paper 10787, University Library of Munich, Germany.
  81. Ahmet Can Ýnci, 2007. "Currency and yield Co-integration between a developed and an emerging Country: The Case of Turkey," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 21(1+2), pages 1-20.
  82. Christoph Sax, 2006. "Interest Rates and Exchange Rate Movements: Analyzing Short-term Investments in Long-term Bonds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(2), pages 205-220, June.
  83. repec:eid:wpaper:02/11 is not listed on IDEAS
  84. Sarantis, Nicholas, 2006. "Testing the uncovered interest parity using traded volatility, a time-varying risk premium and heterogeneous expectations," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1168-1186, November.
  85. Mark, Nelson C. & Moh, Young-Kyu, 2007. "Official interventions and the forward premium anomaly," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 499-522, September.
  86. Alberto Humala, 2006. "Depreciation expectations and interest rate differentials: Are there regime switches? The Peruvian case," Working Papers 2006-002, Banco Central de Reserva del Perú.
  87. Hong G. Min, 1998. "Dynamic capita mobility, capital market risk, and exchange rate misalignment : evidence from seven Asian Countries," Policy Research Working Paper Series 2025, The World Bank.
  88. Corinne Winters, 2008. "The Carry Trade, Portfolio Diversification, and the Adjustment of the Japanese Yen," Discussion Papers 08-2, Bank of Canada.
  89. Chinn, Menzie David, 2000. "The empirical determinants of the Euro: Short and long run perspectives," SFB 373 Discussion Papers 2000,43, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  90. Michelle Lewis & Lauren Rosborough, 2013. "What in the world moves New Zealand bond yields?," Reserve Bank of New Zealand Analytical Notes series AN2013/08, Reserve Bank of New Zealand.
  91. Miller, Norman C., 2005. "Can exchange rate variations or trade policy alter the equilibrium current account?," Journal of International Money and Finance, Elsevier, vol. 24(3), pages 465-480, April.
  92. Lillie Lam & Laurence Fung & Ip-wing Yu, 2008. "Comparing Forecast Performance of Exchange Rate Models," Working Papers 0808, Hong Kong Monetary Authority.
  93. Mr. Guy M Meredith & Yue Ma, 2002. "The Forward Premium Puzzle Revisited," IMF Working Papers 2002/028, International Monetary Fund.
  94. Mr. Douglas Laxton & Mr. Alasdair Scott & David Rose, 2009. "Developing a Structured Forecasting and Policy Analysis System to Support Inflation-Forecast Targeting (IFT)," IMF Working Papers 2009/065, International Monetary Fund.
  95. Susan Thorp, 2004. "That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds," Econometric Society 2004 Australasian Meetings 148, Econometric Society.
  96. Dominick Stephens, 2004. "The equilibrium exchange rate according to PPP and UIP," Reserve Bank of New Zealand Discussion Paper Series DP 2004/03, Reserve Bank of New Zealand.
  97. Sfia, Mohamed Daly, 2007. "Régimes de change: Le chemin vers la flexibilité," MPRA Paper 4085, University Library of Munich, Germany.
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