Relevant bibliographies by topics / Uncovered interest rate parity model

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Academic literature on the topic 'Uncovered interest rate parity model'

Author: Grafiati
Published: 4 June 2021
Last updated: 10 February 2022

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Journal articles on the topic "Uncovered interest rate parity model"

1

Mladenovic, Zorica, and Jelena Raskovic. "Econometric testing of uncovered interest rate parity in Serbia." Ekonomski anali 63, no. 216 (2018): 35–61. http://dx.doi.org/10.2298/eka1816035m.

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This paper provides econometric evidence of the interest parity puzzle in Serbia over the period 2005-2016. Econometric findings are derived from the following techniques: long-run parameter estimation based on the autoregressive distributed lag model, impulse response function computed from the bivariate vector autoregressive model, and estimation of the two-regime Markov switching parameter model. Our results indicate that a positive interest differential corrected for country risk leads to significant dinar appreciation against the euro. The intensity of this impact is different across sub-
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Ilut, Cosmin. "Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle." American Economic Journal: Macroeconomics 4, no. 3 (2012): 33–65. http://dx.doi.org/10.1257/mac.4.3.33.

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High interest rate currencies tend to appreciate in the future relative to low interest rate currencies instead of depreciating as uncovered interest parity (UIP) predicts. I construct a model of exchange rate determination in which ambiguity-averse agents face a dynamic filtering problem featuring signals of uncertain precision. Solving a max-min problem, agents act upon a worst-case signal precision and systematically underestimate the hidden state that controls payoffs. Thus, on average, agents next periods perceive positive innovations, which generates an upward re-evaluation of the strate
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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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Engel, Charles. "Exchange Rates, Interest Rates, and the Risk Premium." American Economic Review 106, no. 2 (2016): 436–74. http://dx.doi.org/10.1257/aer.20121365.

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The uncovered interest parity puzzle concerns the empirical regularity that high interest rate countries tend to have high expected returns on short term deposits. A separate puzzle is that high real interest rate countries tend to have currencies that are stronger than can be accounted for by the path of expected real interest differentials under uncovered interest parity. These two findings have apparently contradictory implications for the relationship of the foreign-exchange risk premium and interest-rate differentials. We document these puzzles, and show that existing models appear unable
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Kanchanapoom, Termkiat, Chaiyuth Padungsaksawasdi, Pornchai Chunhachinda, and Maria E. de Boyrie. "Uncovered Interest Rate Parity, Carry Trade, and Country Equity Return Differentials." Global Economy Journal 18, no. 3 (2018): 20180041. http://dx.doi.org/10.1515/gej-2018-0041.

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This paper applies a mixed effect model to investigate the relationship between international equity returns and forward discount sorted currency returns from three base currencies (i. e., US dollar, euro, and pound sterling). Empirical results using the portfolio approach show that high-interest rate currencies co-move positively while low-interest rate currencies co-move negatively, suggesting that foreign equity excess returns can help to explain investment in currency markets, providing a partial resolution to the uncovered interest parity conundrum. Furthermore, we show that global equity
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Hsing, Yu. "Exchange rate fluctuations in Croatia: test of uncovered interest rate parity and the open economy model." Applied Economics Letters 14, no. 11 (2007): 785–88. http://dx.doi.org/10.1080/13504850600689980.

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Taylor, L. "Exchange rate indeterminacy in portfolio balance, Mundell-Fleming and uncovered interest rate parity models." Cambridge Journal of Economics 28, no. 2 (2004): 205–27. http://dx.doi.org/10.1093/cje/28.2.205.

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Yoon, Jong Cheol, Dai Hong Min, and Sang Young Jei. "Purchasing power parity vs. uncovered interest rate parity for NAFTA countries: The value of incorporating time-varying parameter model." Economic Modelling 90 (August 2020): 494–500. http://dx.doi.org/10.1016/j.econmod.2019.11.034.

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Bhatti, Muhammad Awais, Noman Arshed, and Muhammad Haseeb. "Performance of CHEERs Based Equilibrium Exchange Rate of Pakistan." Business and Management Horizons 1, no. 1 (2013): 17. http://dx.doi.org/10.5296/bmh.v1i1.3374.

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In pursuit to sketch the Pakistan USA Exchange Rate patterns for the duration of 1991M3 to 2010M5 using the CHEERS model, the role of Goods Market and Financial Market is implied through the Purchasing Power Parity (PPP) and Uncovered Interest Parity (UIP) respectively. The results using Vector Error Correction Model (VECM) revealed that both Parities work in combination with near unity elasticities to explain the motion of Exchange Rate in Long Run, but it showed very slow degree of convergence (around 3 and half years) to this equilibrium path after any shock.
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Valchev, Rosen. "Bond Convenience Yields and Exchange Rate Dynamics." American Economic Journal: Macroeconomics 12, no. 2 (2020): 124–66. http://dx.doi.org/10.1257/mac.20170391.

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This paper proposes a new explanation for the failure of Uncovered Interest Parity (UIP) that rationalizes both the classic UIP puzzle and the evidence that the puzzle reverses direction at longer horizons. In the model, excess currency returns arise as compensation for endogenous fluctuations in bond convenience yield differentials. Due to the interaction of monetary and fiscal policy, the impulse response of the equilibrium convenience yield is nonmonotonic, which generates the reversal of the puzzle. The calibrated model fits exchange rate dynamics very well. I also find direct evidence lin
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Dissertations / Theses on the topic "Uncovered interest rate parity model"

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Kohler, Daniel. "Betting against uncovered interest rate parity." kostenfrei, 2008. http://www.biblio.unisg.ch/www/edis.nsf/wwwDisplayIdentifier/3513.

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Moh, Young-Kyu. "Exchange rate dynamics in a continuous-time model of uncovered interest parity with central bank intervention." Connect to this title online, 2003. http://www.gbv.de/dms/zbw/557909902.pdf.

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Reddy, Desigan. "Factors of the term structure of sovereign yield spreads and the effect on the uncovered interest rate parity model for exchange rate prediction." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29691.

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Using a Principal Component Analysis (PCA) approach, we investigate the sovereign yield spread term structure of the BRICS economies against the U.S. We show that the term structure for these markets are primarily driven by three latent factors which can be classified as the spread level, slope and curvature factors. We further postulate that a country’s yield curve contains valuable information about its future economic state and as such the PCA derived spread factors, which are based on the differences between sovereign yield curves, encapsulates material macro-economic information between t
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Makauskas, Rytis. "Will the Asian countries buy up the United States? : Current account imbalances and the Uncovered Interest Rate Parity: Japan, China and the U.S. 1970-2008." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Nationalekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-18470.

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This paper aims to explain the current account imbalances between the United States of America, Japan and China. According to theory, such imbalances should offset each other so that the international balance of payments account is zero. The study also tests the Uncovered Interest Rate Parity (UIP) theory for the same sample of countries. The focus is on the empirics of the topic, therefore time-series analysis is used. The results suggest that American current account deficit can indeed be explained by the surpluses of the Japanese and Chinese current accounts. Furthermore, the conclusion reg
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Macháček, Marek. "Analýza vývoje měnového kurzu na základě koncepce nekryté úrokové parity." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-359731.

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The aim of this diploma thesis is based on the empirical analysis to identify the relationship between the exchange rate and the interest rates in selected countries and verify the validity of the uncovered interest rate parity. In the first part, the author deals with basic theoretical and exchange rate determinants from a fundamental analysis point of view, which attempts to explain the causality between these two variables. The actual analysis was performed at three levels on monthly time series from 2010 to 2016. Graphical analysis was selected as the first stage of the analysis, also incl
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Dror, Marika. "Forecasting of exchange rates." Doctoral thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-202335.

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The thesis investigates different exchange rate models and their forecasting performance. The work takes previous literature overview and summarize their findings. Despite the significant amount of papers which were done on the topic of exchange rate forecast, basically none of them cannot find an appropriate model which would outperform a forecast of a simple random walk in every horizon or for any currency pair. However, there are some positive findings in specific cases (e.g. for specific pair or for specific time horizon). The study provides up-to-date analysis of four exchange rates (USD/
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Van, Heerden Petrus Marthinus Stephanus. "The relationship between the forward– and the realized spot exchange rate in South Africa / Petrus Marthinus Stephanus van Heerden." Thesis, North-West University, 2010. http://hdl.handle.net/10394/4511.

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The inability to effectively hedge against unfavourable exchange rate movements, using the current forward exchange rate as the only guideline, is a key inhibiting factor of international trade. Market participants use the current forward exchange rate quoted in the market to make decisions regarding future exchange rate changes. However, the current forward exchange rate is not solely determined by the interaction of demand and supply, but is also a mechanistic estimation, which is based on the current spot exchange rate and the carry cost of the transaction. Results of various studies, inclu
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Zhang, Yifei. "Zero Lower Bound and Uncovered Interest Parity – A Forecasting Perspective." Miami University / OhioLINK, 2018. http://rave.ohiolink.edu/etdc/view?acc_num=miami1532698263083492.

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Davies, Orlan. "The Uncovered Interest Rate Parity at the Turn of the 20th Century." Scholarship @ Claremont, 2013. http://scholarship.claremont.edu/cmc_theses/663.

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High interest rate currencies tend to appreciate despite what is be implied by the uncovered interest parity. It is thought that the uncovered interest parity does not hold due to various risks, costs, liquidity issues, and monetary policies. There have been extensive studies into the cause of this phenomenon yet none have examined the period before the formation of the Federal Reserve in 1913. This study examines whether or not the uncovered interest parity holds between the UK, the US, France, Germany, the Netherlands, Belgium, Italy, Spain, and Portugal during this time period to determine
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Yuen, Wai-kee, and 袁偉基. "A historical event analysis of the variability in the empirical uncovered interest parity (UIP) coefficient." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2006. http://hub.hku.hk/bib/B36424201.

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Books on the topic "Uncovered interest rate parity model"

1

Meredith, Guy. Long-horizon uncovered interest rate parity. National Bureau of Economic Research, 1998.

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Isard, Peter. Uncovered interest parity. International Monetary Fund, IMF Institute, 2006.

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Geert, Bekaert. Uncovered interest rate parity and the term structure. National Bureau of Economic Research, 2002.

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Flood, Robert P. Uncovered interest parity in crisis: The interest rate defense in the 1990s. International Monetary Fund, Research Department, 2001.

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Exchange rate economics: The uncovered interest parity puzzle and other anomalies. Edward Elgar, 2014.

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6

McCallum, Bennett T. A reconsideration of the uncovered interest parity relationship. National Bureau of Economic Research, 1992.

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Sarno, Lucio. Nonlinearity in deviations from uncovered interest parity: An explanation of the forward bias problem. International Monetary Fund, Middle East and Central Asia Dept., 2006.

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Chinn, Menzie David. Testing uncovered interest parity at short and long horizons during the post-Bretton Woods era. National Bureau of Economic Research, 2005.

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Charry, Luisa, Pranav Gupta, and Vimal Thakoor. Introducing a Semi-Structural Macroeconomic Model for Rwanda. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780198785811.003.0018.

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We develop a simple semi-structural model for the Rwandan economy to better understand the monetary policy transmission mechanism. A key feature of the model is the introduction of a modified uncovered interest parity condition to capture key structural features of Rwanda’s economy and policy framework, such as the limited degree of capital mobility and managed floating regime. A filtration of the observed data through the model allows us to illustrate the contribution of various factors to inflation dynamics and its deviations from the inflation target. Our results, consistent with evidence f
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Book chapters on the topic "Uncovered interest rate parity model"

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Kirchgässner, Gebhard, and Jürgen Wolters. "Uncovered Interest Parity Condition between the United States and Europe under Different Exchange Rate Regimes." In Monetary Theory and Monetary Policy. Palgrave Macmillan UK, 1993. http://dx.doi.org/10.1007/978-1-349-23096-9_18.

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Wolters, Jürgen. "Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the US and Europe." In Contributions to Modern Econometrics. Springer US, 2002. http://dx.doi.org/10.1007/978-1-4757-3602-1_18.

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Hadjimatheou, George. "Comments On ‘Uncovered Interest Rate Parity Condition between the United States and Europe under Different Exchange Rate Regimes’ by Gebhard Kirchgässner and Jürgen Wolters." In Monetary Theory and Monetary Policy. Palgrave Macmillan UK, 1993. http://dx.doi.org/10.1007/978-1-349-23096-9_19.

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Muinhos, Marcelo Kfoury, Paulo Springer de Freitas, and Fabio Araujo. "Uncovered interest parity with fundamentals: a Brazilian exchange rate forecast model." In Monetary Transmission in Diverse Economies. Cambridge University Press, 2002. http://dx.doi.org/10.1017/cbo9780511492488.011.

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Bacchetta, P. "Explaining Deviations from Uncovered Interest Rate Parity." In Handbook of Safeguarding Global Financial Stability. Elsevier, 2013. http://dx.doi.org/10.1016/b978-0-12-397875-2.00017-9.

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Flood, Robert P., and Andrew K. Rose. "Uncovered Interest Parity in Crisis: The Interest Rate Defense in the 1990s." In Economic Policy in the International Economy. Cambridge University Press, 2003. http://dx.doi.org/10.1017/cbo9780511610141.008.

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FRYDMAN, ROMAN, and MICHAEL D. GOLDBERG. "Imperfect Knowledge Expectations, Uncertainty-Adjusted Uncovered Interest Rate Parity, and Exchange Rate Dynamics." In Knowledge, Information, and Expectations in Modern Macroeconomics. Princeton University Press, 2021. http://dx.doi.org/10.2307/j.ctv18zhdvn.13.

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Conference papers on the topic "Uncovered interest rate parity model"

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Lily, Jaratin, Mori Kogid, Dullah Mulok, and Rozilee Asid. "Revisiting Uncovered Interest Rate Parity: An Empirical Testing Using Bounds Test Approach." In Annual International Conferences on Accounting and Finance. Global Science & Technology Forum (GSTF), 2012. http://dx.doi.org/10.5176/2251-1997_af32.

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Yang, D., and X. S. Lu. "Uncovered interest rate parity between the Chinese RMB and the US dollar." In International Conference on Computer Science and Systems Engineering. WIT Press, 2015. http://dx.doi.org/10.2495/csse140811.

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Dabrowski, Christopher, and Fern Hunt. "Identifying Failure Scenarios in Complex Systems by Perturbing Markov Chain Models." In ASME 2011 Pressure Vessels and Piping Conference. ASMEDC, 2011. http://dx.doi.org/10.1115/pvp2011-57683.

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In recent years, substantial research has been devoted to monitoring and predicting performance degradations in real-world complex systems within large entities such as nuclear power plants, electrical grids, and distributed computing systems. Special challenges are posed by the fact that such systems operate in uncertain environments, are highly dynamic, and exhibit emergent behaviors that can lead to catastrophic failure. Discrete Time Markov chains (DTMCs) provide important tools for analysis of such systems, because they represent dynamic behavior succinctly, provide a means to measure unc
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Reports on the topic "Uncovered interest rate parity model"

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Meredith, Guy, and Menzie Chinn. Long-Horizon Uncovered Interest Rate Parity. National Bureau of Economic Research, 1998. http://dx.doi.org/10.3386/w6797.

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Bekaert, Geert, Min Wei, and Yuhang Xing. Uncovered Interest Rate Parity and the Term Structure. National Bureau of Economic Research, 2002. http://dx.doi.org/10.3386/w8795.

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Rowland, Peter. Uncovered interest parity and the USD/COP exchange rate. Banco de la República, 2003. http://dx.doi.org/10.32468/be.227.

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Galí, Jordi. Uncovered Interest Parity, Forward Guidance, and the Exchange Rate. National Bureau of Economic Research, 2020. http://dx.doi.org/10.3386/w26797.

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Engel, Charles, Dohyeon Lee, Chang Liu, Chenxin Liu, and Steve Pak Yeung Wu. The Uncovered Interest Parity Puzzle, Exchange Rate Forecasting, and Taylor Rules. National Bureau of Economic Research, 2017. http://dx.doi.org/10.3386/w24059.

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