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Relevant bibliographies by topics / Theory of interest rate parity

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Journal articles

Academic literature on the topic 'Theory of interest rate parity'

Author: Grafiati

Published: 4 June 2021

Last updated: 3 February 2022

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Journal articles on the topic "Theory of interest rate parity"

1

Czech, Katarzyna. "Uncovered interest rate parity on the Japanese yen exchange rate market." Oeconomia Copernicana 3, no. 3 (2012): 63–77. http://dx.doi.org/10.12775/oec.2012.015.

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The aim of the paper is to verify the uncovered interest rate parity hypothesis on the Japanese yen exchange rate market. The article describes the theory of uncovered interest rate parity and presents the review of previous research results. Moreover, the paper characterizes the currency speculation strategy „carry trade” which is fundamentally based on the assumption that the uncovered interest rate parity doesn’t hold. The Japanese yen is one of the most popular „carry trade” funding currency and therefore the article is focused on the analysis of this exchange rate market.The uncovered int

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2

Durčáková, Jaroslava, Martin Mandel, and Vladimír Tomšík. "Dynamic model of uncovered interest rate parity (theory and empirical verification in the transitive economies)." Politická ekonomie 53, no. 3 (2005): 291–303. http://dx.doi.org/10.18267/j.polek.506.

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3

Danylyshyn, Bohdan, and Ivan Bohdan. "Problems of estimating the neutral interest rate: conclusions for Ukraine." Investment Management and Financial Innovations 18, no. 3 (2021): 214–28. http://dx.doi.org/10.21511/imfi.18(3).2021.20.

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Estimation of the actual and projected level of the neutral interest rate is a central issue in the application of modern monetary theory in the practical context of monetary policy. Views on the role and key drivers of neutral interest rates have evolved over time in parallel with the development of the theory of capital, money, credit and economic growth. Therefore, the paper is aimed at generalizing methods for assessing the neutral interest rate for open economies with emerging markets and formulating recommendations for improving the existing methodological tools for estimating the neutra

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4

M. Karimo, Tari. "Impact of Interest Rate Differential and Exchange Rate Movement on the Dynamics of Nigeria’s International Private Capital Flows." Central Bank of Nigeria Journal of Applied Statistics, Vol. 11 No. 2 (April 8, 2021): 29–63. http://dx.doi.org/10.33429/cjas.11220.2/8.

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The study examines the impact of interest rate differential and exchange rate movement on the dynamics of Nigeria’s international private capital flows from 2010Q1 to 2019Q4. It uses the interest rate parity theory and the Markov Switching Time Varying Transition Probability Modelling approach. Findings show that interest rate differential does not explain the dynamics of aggregate capital and Foreign Direct Investment (FDI) flows, but significantly explains Foreign Portfolio Investment (FPI) flows. Also, Movement in real exchange rate is significant in explaining outflows and inflows in FPI,

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5

Guender, Alfred V. "Monetary Policy and the Uncovered Interest Rate Parity Puzzle: Theory and Empirical Results for Oceania." Economic Record 90, no. 289 (2014): 207–19. http://dx.doi.org/10.1111/1475-4932.12097.

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6

Kremens, Lukas, and Ian Martin. "The Quanto Theory of Exchange Rates." American Economic Review 109, no. 3 (2019): 810–43. http://dx.doi.org/10.1257/aer.20180019.

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We present a new identity that relates expected exchange rate appreciation to a risk-neutral covariance term, and use it to motivate a currency forecasting variable based on the prices of quanto index contracts. We show via panel regressions that the quanto forecast variable is an economically and statistically significant predictor of currency appreciation and of excess returns on currency trades. Out of sample, the quanto variable outperforms predictions based on uncovered interest parity, on purchasing power parity, and on a random walk as a forecaster of differential (dollar-neutral) curre

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7

Ahmad, Shabbir. "The Integration of Financial Markets in GCC Countries." Pakistan Development Review 50, no. 3 (2011): 209–18. http://dx.doi.org/10.30541/v50i3pp.209-218.

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The real interest parity (RIP) condition states that the interest rate differential between two economies is equivalent to the differential between the forward exchange rate and the spot exchange rate. This study examines the integration of financial markets in the GCC countries by verifying the validity of RIP in their economies. Using univariate and different panel unit root tests, we find evidence supporting the RIP theory, which indicates that the financial markets in these countries are well integrated and that the adoption of a common currency would be relatively easy. JEL classification

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8

Ubi, Peter, and Ishaku Rimamtanung Nyiputen. "Uncovered Interest Rate Parity and Investment: A Tripartite Analysis of Nigeria, United States of America and China." International Journal of Financial Research 11, no. 2 (2020): 111. http://dx.doi.org/10.5430/ijfr.v11n2p111.

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This study comparatively examined the validity of the theory of uncovered interest rate parity (UIP) for Nigeria and United States of America (USA) and for Nigeria and China, using USA and China as anchor countries respectively. The study also examined the impact of the theory (UIP) on investment in Nigeria. Using annual time series data spanning from 1980-2017, the pre-estimation test (Augmented Dickey-Fuller Unit root test) was conducted. Given that the variables were integrated of order one and order zero, Autoregressive Distributed lag bound testing approach (ARDL) and Toda- Yamamoto causa

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9

Correia, C. De J., and R. F. Knight. "Covered interest arbitrage opportunities in the South African foreign exchange market." South African Journal of Business Management 18, no. 4 (1987): 209–14. http://dx.doi.org/10.4102/sajbm.v18i4.1019.

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The Interest Parity Theory states that in an efficient market, any interest differential between local and foreign sources of finance will be offset by the forward premium/discount. Therefore, opportunities to engage in profitable Covered Interest Arbitrage transactions will be eliminated quickly. The fall in the Rand/Dollar exchange rate resulted in many South African companies reporting substantial foreign exchange losses on offshore loans. Companies were attracted to foreign sources of finance because of lower foreign interest rates. The authors conclude, on the basis of empirical tests, th

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10

Czech, Katarzyna, and Łukasz Pietrych. "The Efficiency of the Polish Zloty Exchange Rate Market: The Uncovered Interest Parity and Fractal Analysis Approaches." Risks 9, no. 8 (2021): 142. http://dx.doi.org/10.3390/risks9080142.

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The study of the effectiveness of the currency market is one of the most important research problems in the field of finance. The paper aims to assess the efficiency of the Polish zloty exchange rate market. We test the market efficiency by applying two independent approaches, one based on the Uncovered Interest Parity theory, and another based on the fractal analysis of exchange rates series. The research results show that the Uncovered Interest Parity holds only on the USD/PLN market. For EUR/PLN, JPY/PLN, CHF/PLN, MXN/PLN and TRY/PLN, the Uncovered Interest Parity hypothesis is rejected and

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