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

Author: Grafiati
Published: 4 June 2021
Last updated: 3 February 2022

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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 interest rate parity condition suggests that „carry trade” strategy should not result in excess profits. However, the high average payoff to „carry trade” is widely documented by many researchers and thus it may imply that uncovered interest rate parity doesn’t hold on the Japanese yen market. The uncovered interest rate parity on the Japanese yen market is tested by applying the conventional regression approach and orthogonality test of the forward rate forecast error. The results show that it is hard to say definitely that uncovered interest rate parity holds on the analyzed exchange rate market. The uncovered interest rate parity hypothesis is rejected for JPY/TRY market. However, there is not enough evidence to reject UIP hypothesis for JPY/NZD and JPY/USD exchange rate markets.
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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 neutral rate in Ukraine. To achieve this goal, theoretical sources, advisory and research materials of international organizations, central banks and statistical databases were analyzed. It is established that the key issue of the current discussion about the tools for estimating the level of neutral interest rates in countries with small open economies is the relationship between the effects of external and internal factors. The paper identifies the advantages and disadvantages of the method for estimating the level of the neutral rate on the basis of uncovered interest parity rule used by the National Bank of Ukraine within the semi-structural macroeconomic model. The expediency of methodological tools introducing into the practice of monetary regulation of Ukraine for estimating the neutral rate of Ukraine based on the Laubach-Williams approach has been proved with adaptation to the conditions of an open economy, which will consider сinternal factors of economic development – changes in potential GDP and savings.
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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, and inflows in FDI, but neutral to aggregate capital flows. The study concludes that deviations from interest rate parity provides opportunities for interest rate and currency arbitrage in Nigeria but using aggregate capital flows mask this evidence. The study therefore recommends that the CBN should focus on exchange rate stabilization policies, so as not only to discourage FPI reversal but to also enhance FDI inflow. This can be done by putting in place foreign reserve accretion measures to boost the ability of the CBN to defend the Naira. The new policy initiative on remittances is a right step in the right direction as it could boost external reserve.
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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) currency appreciation. (JEL C53, E43, F31, F37, G12, G15)
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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: F21; F36; C23 Keywords: Real Interest Parity, GCC Countries, Panel Unit Root Tests, Monetary Union
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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 causality test were employed for analysis. The ARDL result indicates that there is no long run relationship between Nigeria and USA but there is a long run relationship between Nigeria and China. By implication, the theory of UIP does not hold between Nigeria and USA but between Nigeria and China, the theory of UIP holds. Also, the result of Toda-Yamamoto indicates that the theory of UIP positively and significantly impacts on investment in Nigeria. The study recommended that the government should strengthen her economic relationship especially with China so as to encourage more investments by China in Nigeria.
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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, that the forward Rand/Dollar exchange rate followed its interest parity value very closely over the period August 1983 - August 1985. Opportunities to engage in risk-free arbitrage activities were offset by related transaction costs. The South African foreign exchange market is efficient to the extent that risk-free profit opportunities did not exist for the period under review and therefore there was no benefit, after adjusting for risk, for South African management to borrow from offshore sources of finance.
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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 implies the existence of the forward premium anomaly and market inefficiency. The estimated Hurst coefficient provides insight into the long-range dependence of exchange rates. The MXN/PLN, TRY/PLN and EUR/PLN exchange rates exhibit anti-persistent behaviours suggesting mean-reverting characteristics. For JPY/PLN and CHF/PLN, a high value of the Hurst exponent indicates long memory in the time series. Only for USD/PLN, we achieve the Hurst exponent closest to 0.5, which implies market efficiency. The research results obtained based on the UIP hypothesis and fractal analysis are consistent. The study reveals that the market efficiency hypothesis holds only for the most tradable Polish zloty currency pair, i.e., USD/PLN.
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11

Rahayu, Siti Aisyah Tri, and Lukman Hakim. "ANALISIS PEMBENTUKAN UNI MONETER ASEAN-5 DENGAN PENDEKATAN PARITAS INTERNASIONAL DALAM HUBUNGAN KESEIMBANGAN NILAI TUKAR JANGKA PANJANG (1980.01 – 2004.12)." Jurnal Ekonomi Pembangunan: Kajian Masalah Ekonomi dan Pembangunan 8, no. 2 (2007): 128. http://dx.doi.org/10.23917/jep.v8i2.1037.

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In order to strengthening cooperation regional and form the strength regional in ASEAN, likely require to relate at successful European Union in forming financial and economic market integration (EMU). ME become the “model" a success economic integration. We can conclude that to reach monetary union have to beforehand realized by economic union supported by union and strong politics willingness, where this matter have been blazed the way old in such a way by leaders of European countries of West which is merged into EMU. Intention of this research is to see the international parity condition of Purchasing Power Parity (PPP) and rate of interest parity (UIP) of among currency in ASEAN-5 with the currency of United States. Result of this research obtained is show that the goodness of theory of Purchasing Power Parity (PPP) and rate of interest parity (UIP) cannot be holded for the nations of ASEAN-5. In general, hypothesis ß 1=1 refused by existing data. This fact is indication that PPP and UIP cannot be holded during period 1980.01 until 2004.12. With do not hold of two the parity (PPP and UIP) hence possibility to existing of monetary uni ASEAN likely still will passing sufficient process.
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12

A Acciarri, Hugo, and Nuno Garoupa. "On the Judicial Interest Rate: Towards a Law and Economic Theory." Journal of European Tort Law 4, no. 1 (2013): 34–62. http://dx.doi.org/10.1515/jetl-2013-0002.

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AbstractWhile all legal systems implement a form of pre-judgment or post-judgment interest, there is a dearth of literature on substantive law and economics analysing the impact, functioning, and assessment of the judicial interest rate. Current legal scholarship typically views the interest rate as having a neutral effect on private and social costs. This paper demonstrates that the issue is theoretically far more complex and largely influential in legal policy. Due to the asymmetric opportunity costs for each party in a case, judicial interest rates may lead to improper delay of proceedings or the decoupling of damages from recovery. These potential results influence the number of settlements and suits. On this ground, we compare different institutional settings from an economic perspective and conclude that the appropriate mechanism depends on the alternative policy instruments available, namely, the rules of procedure, court fees, or mechanisms for appropriately setting damages. Further, we argue that abolishing the statute which sets pre-judgment interest may be a proposal worth considering.
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13

BAAQUIE, BELAL E. "A COMMON MARKET MEASURE FOR LIBOR AND PRICING CAPS, FLOORS AND SWAPS IN A FIELD THEORY OF FORWARD INTEREST RATES." International Journal of Theoretical and Applied Finance 08, no. 08 (2005): 999–1018. http://dx.doi.org/10.1142/s0219024905003347.

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The main result of this paper is that a martingale evolution can be chosen for LIBOR such that, by appropriately fixing the drift, all LIBOR interest rates have a common market measure. LIBOR is described using a quantum field theory model, and a common measure is seen to emerge naturally for such models. To elaborate how the martingale for the LIBOR belongs to the general class of numeraires for the forward interest rates, two other numeraires are considered, namely the money market measure that makes the evolution of the zero coupon bonds a martingale, and the forward measure for which the forward bond price is a martingale. The price of an interest rate cap is computed for all three numeraires, and is shown to be numeraire invariant. Put-call parity is discussed in some detail and shown to emerge due to some nontrivial properties of the numeraires. Some properties of swaps, and their relation to caps and floors, are briefly discussed.
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14

Hudson, Ian. "The Currency Carry Trade: Selection Skill or Behavioral Bias." International Business Research 9, no. 9 (2016): 176. http://dx.doi.org/10.5539/ibr.v9n9p176.

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<p>Many attempts have been undertaken to solve the forward premium puzzle with little to no success. The global currency market is considered the most information efficient and transparent of all financial markets since it demonstrates a balance between over and under-reaction to information with remarkable consistency. The Efficient Market Hypothesis espouses investors cannot systematically outperform a benchmark since all investors have access to the same information. Therefore, the expected long-term rate of return for currencies is essentially zero. The Arbitrage Pricing Theory asserts investment returns are random. As such, traders cannot avail themselves of mispriced currencies. The assertion of Uncovered Interest Rate Parity is that bi-national interest rate variance is equal to the expected differential in exchange rates. This paper asks the following questions: does alpha persistence exist in currency carry trade funds or are its excess returns merely a collection of behavioral biases?</p>
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15

Kim, Soyoung. "Effects of Monetary Policy Shocks on the Exchange Rate in the Republic of Korea: Capital Flows in Stock and Bond Markets." Asian Development Review 31, no. 1 (2014): 121–35. http://dx.doi.org/10.1162/adev_a_00023.

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Several studies have suggested that the prediction of standard theory on the effects of monetary policy on the exchange rate might not be applicable to or in the case of the Republic of Korea because participation of foreign investors is weak in the bond market but strong in the stock market. The current study examines the effects of monetary policy shocks on the exchange rate in the Republic of Korea by using structural vector autoregression models with sign restrictions. To determine the channels by which monetary policy shocks affect the exchange rate, I investigate the effects on various components of capital flows. The main empirical findings are as follows. First, a contractionary monetary policy shock, which increases the interest rate, appreciates the Korean won significantly in the short run as predicted by most theories. Second, contractionary monetary policy shocks increase capital inflows into the bond market consistent with the prediction of the uncovered interest parity condition. This seems to be the main channel by which contractionary monetary shocks appreciate the won. Finally, foreign investors tend to withdraw money from the domestic stock market in response to a monetary tightening, resulting in a decrease in capital inflows.
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16

Petrović, Ružica, Tamara Milenković Kerković, and Dragana Radenković Jocić. "Legal Nature and Role of Swap Arrangements and Options as Financial Instruments." Economic Themes 57, no. 4 (2019): 459–80. http://dx.doi.org/10.2478/ethemes-2019-0026.

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AbstractFinancial derivatives are, in the last forty years, the most important financial innovation that influence the creation of new, very deep and broad financial markets. Their number is constantly increasing. There is a creation of new variants of existing derivative contracts and therefore the subjects have the opportunity to differently manage risk. Although their controversial legal nature, generally accepted view is that they were contracts. Swap is the youngest of all financial derivatives and represents a financial innovation of a later date. Market swaps recorded one of the fastest growth rate among global financial markets. Swap represents a private agreement between the two parties regarding exchange cash flow of the fixed time in the future in accordance with a predetermined pattern. The most common users of swaps are non-financial corporations, which want to receive variable, and to pay a fixed interest rate in order to limit interest expenses on bank loans or bond issues with variable interest rate, as well as banks, the governments of some supranational institutions such as the World Bank. In economic theory emphasized is the view that the comparative advantage is the basis for swaps functioning. Options are contracts in which one party has the exclusive right, while the other contracting party assumes only the obligation to buy or sell assets to which the option is created. In the nationa legislation the option contract is transferable standardized contract binding the buyer has the right to, including the payment obligation of the agreed premium on the day or days of maturity specified in the contract.
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17

McKee, J. "FOREIGN FUNDING OF THE AUSTRALIAN PETROLEUM INDUSTRY — IMPORTANT ASPECTS OF THE DIRECT INVESTMENT DECISION PROCESS." APPEA Journal 26, no. 1 (1986): 88. http://dx.doi.org/10.1071/aj85009.

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The paper provides an outline of the financial aspects of the foreign direct investment decision process and an understanding of how this can help attract funds for Australian petroleum exploration and development.Proposals to foreign investors are seen to require specific personal presentations. The investors' view of risk is discussed under the headings of political, economic, and environmental, and the major risk factors that require understanding are shown to be country risk; exchange rate risk—rate forecasting and exposure management; and international taxation.The techniques in assessing country risk are reviewed, and the methodology of international banks assessed. The Go/No-Go, Premium for Risk, Range of Estimates, and Risk Analysis techniques are described.In considering the forecasting of exchange rate movements it is recognized that, while there is no adequate forecasting measure, the major variables of comparative prices, interest rates, and comparative money supply require attention. The mechanistic tools of purchasing parity theory and the Fisher effect formula on interest are therefore outlined.The management strategy in the management of exchange rate movement exposure is seen to require a determination of economic exposure, the observance of basic rules in currency grouping, and market operation guidelines. A management guide is set down for reference.A reference to international taxation indicates the need of the tax planner to consider comparative taxation domicile of investment, and corporate structure.The basic taxation principles that apply are seen as the necessity to plan in after-tax terms; the importance of determining the nature and sources of taxes; and the requirement of a full knowledge of relevant double taxation agreements and local tax administration regulations.The role of the Australian petroleum industry in attracting foreign investment is seen as promoting the provision of data, increased opportunities to invest, risk reduction through tax effective opportunities, and assisting in proposal presentations.The need for earlier release of exploration data is expressed, as is the development of comprehensive updated data packages—which would include basin reviews—for use by industry. A zoning approach to areal permit size that provides for a reduction in permit size with exploration maturity is seen as an approach to increasing investment opportunities. Finally, APEA is encouraged to take a leading role in encouraging foreign investment through direct participation in presentations.
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18

Overturf, Stephen Frank. "Interest rate expectations and interest parity." Journal of International Money and Finance 5, no. 1 (1986): 91–98. http://dx.doi.org/10.1016/0261-5606(86)90052-5.

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19

DU, WENXIN, ALEXANDER TEPPER, and ADRIEN VERDELHAN. "Deviations from Covered Interest Rate Parity." Journal of Finance 73, no. 3 (2018): 915–57. http://dx.doi.org/10.1111/jofi.12620.

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20

MacDonald, Ronald, and Mark P. Taylor. "INTEREST RATE PARITY: SOME NEW EVIDENCE0." Bulletin of Economic Research 41, no. 4 (1989): 255–74. http://dx.doi.org/10.1111/j.1467-8586.1989.tb00342.x.

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21

Linnemann, Ludger, and Andreas Schabert. "Liquidity premia and interest rate parity." Journal of International Economics 97, no. 1 (2015): 178–92. http://dx.doi.org/10.1016/j.jinteco.2015.03.006.

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22

Ghosh, Dilip K. "The Interest Rate Parity: Seven Expressions." Financial Management 20, no. 4 (1991): 8. http://dx.doi.org/10.2307/3665705.

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23

Martinez-Mateo, Jesus, David Elkouss, and Vicente Martin. "Blind reconciliation." Quantum Information and Computation 12, no. 9&10 (2012): 791–812. http://dx.doi.org/10.26421/qic12.9-10-5.

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Information reconciliation is a crucial procedure in the classical post-processing of quantum key distribution (QKD). Poor reconciliation efficiency, revealing more information than strictly needed, may compromise the maximum attainable distance, while poor performance of the algorithm limits the practical throughput in a QKD device. Historically, reconciliation has been mainly done using close to minimal information disclosure but heavily interactive procedures, like \textit{Cascade}, or using less efficient but also less interactive ---just one message is exchanged--- procedures, like the ones based in low-density parity-check (LDPC) codes. The price to pay in the LDPC case is that good efficiency is only attained for very long codes and in a very narrow range centered around the quantum bit error rate (QBER) that the code was designed to reconcile, thus forcing to have several codes if a broad range of QBER needs to be catered for. Real world implementations of these methods are thus very demanding, either on computational or communication resources or both, to the extent that the last generation of GHz clocked QKD systems are finding a bottleneck in the classical part. In order to produce compact, high performance and reliable QKD systems it would be highly desirable to remove these problems. Here we analyse the use of short-length LDPC codes in the information reconciliation context using a low interactivity, \textit{blind}, protocol that avoids an a priori error rate estimation. We demonstrate that $2 \times 10^3$ bits length LDPC codes are suitable for blind reconciliation. Such codes are of high interest in practice, since they can be used for hardware implementations with very high throughput.
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24

Komura, Chikara, and Takahiko Mutoh. "Is the interest differential exogenous in interest rate parity?" Economics Letters 21, no. 4 (1986): 357–63. http://dx.doi.org/10.1016/0165-1765(86)90204-1.

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25

AISHA, ZINAZ, and MUHAMMAD OMER. "Testing Uncovered Interest Rate Parity for Pakistan." International Review of Management and Business Research 9, no. 4 (2020): 56–66. http://dx.doi.org/10.30543/9-4(2020)-6.

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This paper provides direct empirical assessment of Uncovered Interest Rate Parity (UIP) for Pakistan. To Test UIP, wide range of maturities have been used and for estimation purpose, we used Johansen cointegration and Dynamic Ordinary Least Square (DOLS). We find that UIP does not hold for short to medium term maturities. However for the long term maturities i.e., 10-year, the result showes that the UIP holds. It means the exchange rate is better predicted by the long term interest rates. These findings suggest that the interventions in the foreign exchange market distort the price discovery mechanism of the foreign currency in the short to medium term. In the long run, however, the market fundamentals dictate the price discovery guiding the exchange rate to converge to its long run equilibrium. Keywords: UIP, Johansen Cointegration, DOLS, Foreign Exchange Market, Price Discovery Mechanism.
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Omer, Muhammad, Jakob de Haan, and Bert Scholtens. "Testing uncovered interest rate parity using LIBOR." Applied Economics 46, no. 30 (2014): 3708–23. http://dx.doi.org/10.1080/00036846.2014.939375.

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McBrady, Matthew R., Sandra Mortal, and Michael J. Schill. "Do Firms Believe in Interest Rate Parity?*." Review of Finance 14, no. 4 (2010): 695–726. http://dx.doi.org/10.1093/rof/rfq001.

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28

Skinner, Frank S., and Andrew Mason. "Covered interest rate parity in emerging markets." International Review of Financial Analysis 20, no. 5 (2011): 355–63. http://dx.doi.org/10.1016/j.irfa.2011.06.008.

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29

Balke, Nathan S., and Mark E. Wohar. "Nonlinear dynamics and covered interest rate parity." Empirical Economics 23, no. 4 (1998): 535–59. http://dx.doi.org/10.1007/bf01205993.

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30

Balke, Nathan S., and Mark E. Wohar. "Nonlinear dynamics and covered interest rate parity." Empirical Economics 23, no. 4 (1998): 535–59. http://dx.doi.org/10.1007/s001810050035.

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31

Liao, Gordon Y. "Credit migration and covered interest rate parity." Journal of Financial Economics 138, no. 2 (2020): 504–25. http://dx.doi.org/10.1016/j.jfineco.2020.06.002.

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32

Adrangi, Bahram, Mary Allender, and Kambiz Raffiee. "Emerging markets and uncovered interest rate parity." Atlantic Economic Journal 31, no. 3 (2003): 291. http://dx.doi.org/10.1007/bf02298824.

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33

Craighead, William D., George K. Davis, and Norman C. Miller. "Interest differentials and extreme support for uncovered interest rate parity." International Review of Economics & Finance 19, no. 4 (2010): 723–32. http://dx.doi.org/10.1016/j.iref.2010.03.008.

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34

KIA, AMIR. "OVERNIGHT COVERED INTEREST PARITY: THEORY AND PRACTICE." International Economic Journal 10, no. 1 (1996): 59–82. http://dx.doi.org/10.1080/10168739600080005.

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35

Omer, Muhammad, Jakob de Haan, and Bert Scholtens. "Does Uncovered Interest Rate Parity Hold After All?" LAHORE JOURNAL OF ECONOMICS 24, no. 2 (2019): 49–72. http://dx.doi.org/10.35536/lje.2019.v24.i2.a3.

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This paper tests Uncovered Interest Rate Parity (UIP) using LIBOR rates for six major international currencies for the period January 2001 to December 2008. We find that UIP generally holds over a short-term (above 5-months) horizon for individual as well as groups of currencies. Our results suggest that it is important to consider the cross-correlation between currencies. We also find that “state dependence” plays an important role for currencies with a negative interest rate differential vis-à-vis the US dollar. This state dependence could also be instrumental in explaining exchange rate overshooting.
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36

Lee, Seungho. "Deviation from Covered Interest Rate Parity in Korea." East Asian Economic Review 7, no. 1 (2003): 125–41. http://dx.doi.org/10.11644/kiep.jeai.2003.7.1.104.

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37

Przystawa, Jerzy, and Marek Wolf. "Violation of interest-rate parity: a Polish example." Physica A: Statistical Mechanics and its Applications 285, no. 1-2 (2000): 220–26. http://dx.doi.org/10.1016/s0378-4371(00)00284-3.

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38

Harvey, John T. "Modeling Interest Rate Parity: A System Dynamics Approach." Journal of Economic Issues 40, no. 2 (2006): 395–403. http://dx.doi.org/10.1080/00213624.2006.11506917.

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39

Bekaert, Geert, Min Wei, and Yuhang Xing. "Uncovered interest rate parity and the term structure." Journal of International Money and Finance 26, no. 6 (2007): 1038–69. http://dx.doi.org/10.1016/j.jimonfin.2007.05.004.

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40

Ismailov, Adilzhan, and Barbara Rossi. "Uncertainty and deviations from uncovered interest rate parity." Journal of International Money and Finance 88 (November 2018): 242–59. http://dx.doi.org/10.1016/j.jimonfin.2017.07.012.

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41

Dutton, Marilyn Miller. "Real interest rate parity new measures and tests." Journal of International Money and Finance 12, no. 1 (1993): 62–77. http://dx.doi.org/10.1016/0261-5606(93)90010-9.

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42

Wu, Jyh-Lin, and Show-Lin Chen. "A Re-Examination of Real Interest Rate Parity." Canadian Journal of Economics / Revue canadienne d'Economique 31, no. 4 (1998): 837. http://dx.doi.org/10.2307/136495.

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43

Blenman, Lloyd P. "A Note on Interest Rate Parity: Seven Expressions." Financial Management 21, no. 3 (1992): 10. http://dx.doi.org/10.2307/3666013.

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44

Hung, Mao-Wei, and Yin-Ching Jan. "Use of Deviations of Purchasing Power Parity and Interest Rate Parity to Clarify the 1997 Asian Financial Crisis." Review of Pacific Basin Financial Markets and Policies 05, no. 02 (2002): 195–218. http://dx.doi.org/10.1142/s0219091502000754.

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Abstract:
This study is an attempt to examine whether the deviations of purchasing power parity and uncover interest rate parity Granger-cause the 1997 Asian financial crisis by using vector autoregression and Granger causality tests. The results show that the purchasing power parity and uncover interest rate parity do not hold for most Asian markets. We find weak evidence to support that the deviations of purchasing power parity and uncover interest rate parity have the power to explicate the origin of the financial crisis.
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45

Edison, Hali J., and William R. Melick. "Purchasing Power Parity and Uncovered Interest Rate Parity : The United States 1974 - 1990." International Finance Discussion Paper 1992, no. 425 (1992): 1–31. http://dx.doi.org/10.17016/ifdp.1992.425.

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46

Ames, Matthew, Guillaume Bagnarosa, and Gareth W. Peters. "Violations of uncovered interest rate parity and international exchange rate dependences." Journal of International Money and Finance 73 (May 2017): 162–87. http://dx.doi.org/10.1016/j.jimonfin.2017.01.002.

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47

Aliuddin, Sadaf. "Uncovered Interest-Rate Parity over the Past Two Centuries." CFA Digest 41, no. 3 (2011): 33–35. http://dx.doi.org/10.2469/dig.v41.n3.6.

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48

Byun, Jong-Cook, and Son-Nan Chen. "International real interest rate parity with error correction models." Global Finance Journal 7, no. 2 (1996): 129–51. http://dx.doi.org/10.1016/s1044-0283(96)90001-0.

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49

Chortareas, Georgios, George Kapetanios, and Georgios Magkonis. "Resuscitating real interest rate parity: new evidence from panels." European Journal of Finance 24, no. 14 (2017): 1176–89. http://dx.doi.org/10.1080/1351847x.2017.1406383.

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50

Fraser, Patricia, and Mark P. Taylor. "Some efficient tests of international real interest rate parity." Applied Economics 22, no. 8 (1990): 1083–92. http://dx.doi.org/10.1080/00036849000000136.

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