Do Exchange Rates Move In Line With Uncovered Interest Parity
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Author | : Ronald Huisman |
Publisher | : |
Total Pages | : 7 |
Release | : 2013 |
Genre | : |
ISBN | : |
Download Do Exchange Rates Move in Line With Uncovered Interest Parity? Book in PDF, Epub and Kindle
According to uncovered interest rate Parity (UIP), the expected relative change in an exchange rate is equal to the difference between interest rates between the two currencies. Empirically, UIP is frequently rejected. In this paper, we examine whether exchange rates have at least any tendency to move in the direction predicted by UIP and whether exchange rates tend to move more in line with UIP in periods with large interest rate differentials.
Author | : Norman C. Miller |
Publisher | : Edward Elgar Publishing |
Total Pages | : 217 |
Release | : 2014-09-26 |
Genre | : Business & Economics |
ISBN | : 1781006814 |
Download Exchange Rate Economics Book in PDF, Epub and Kindle
The Uncovered Interest Parity (UIP) puzzle has remained a moot point since it first circulated economic discourse in 1984 and, despite a number of attempts at a solution, the UIP puzzle and other anomalies in Exchange Rate Economics continue to perplex
Author | : Alain P. Chaboud |
Publisher | : |
Total Pages | : 32 |
Release | : 2003 |
Genre | : Interest rates |
ISBN | : |
Download Uncovered Interest Parity Book in PDF, Epub and Kindle
Author | : Mr.Evan Tanner |
Publisher | : International Monetary Fund |
Total Pages | : 25 |
Release | : 1998-08-01 |
Genre | : Business & Economics |
ISBN | : 1451941641 |
Download Deviations From Uncovered Interest Parity Book in PDF, Epub and Kindle
Ex-post deviations from uncovered interest parity (UIP) – realized differences between dollar returns on identical assets of different currencies – equal the real interest differential plus real exchange rate growth. Among industrialized countries, UIP deviations are largely explained by unanticipated real exchange rate growth, but among developing countries, real interest differentials are “where the action is.” This observation is due to the greater variability of inflation in developing countries, but may also stem from higher and more variable risks and capital controls in these countries. Also, among developing countries with moderate inflation, offsetting comovements of real interest differentials and real exchange growth support the sticky-price hypothesis.
Author | : |
Publisher | : |
Total Pages | : 7 |
Release | : 2007 |
Genre | : |
ISBN | : |
Download Do Exchange Rates Move in Line with Uncovered Interest Parity? Book in PDF, Epub and Kindle
Author | : Ralph C. Bryant |
Publisher | : |
Total Pages | : 120 |
Release | : 1995 |
Genre | : Foreign exchange |
ISBN | : |
Download The "Exchange Risk Premium," Uncovered Unterest Parity, and the Treatment of Exchange Rates in Multicountry Macroeconomic Models Book in PDF, Epub and Kindle
Author | : Stephanie Schmitt-Grohe |
Publisher | : |
Total Pages | : 38 |
Release | : 2018 |
Genre | : |
ISBN | : |
Download Exchange Rates and Uncovered Interest Differentials Book in PDF, Epub and Kindle
We estimate an empirical model of exchange rates with transitory and permanent monetary shocks. Using monthly post-Bretton-Woods data from the United States, the United Kingdom, and Japan, we report four main findings: First, there is no exchange rate overshooting in response to either temporary or permanent monetary shocks. Second, a transitory increase in the nominal interest rate causes appreciation, whereas a permanent increase in the interest rate causes short-run depreciation. Third, transitory increases in the interest rate cause short-run deviations from uncovered interest-rate parity in favor of domestic assets, whereas permanent increases cause deviations against domestic assets. Fourth, permanent monetary shocks explain the majority of short-run movements in nominal exchange rates.
Author | : Michael T. Kiley |
Publisher | : |
Total Pages | : |
Release | : 2013 |
Genre | : |
ISBN | : |
Download Exchange Rates, Monetary Policy Statements, and Uncovered Interest Parity Book in PDF, Epub and Kindle
Author | : Charles Engel |
Publisher | : |
Total Pages | : |
Release | : 2013 |
Genre | : Economics |
ISBN | : |
Download Exchange Rates and Interest Parity Book in PDF, Epub and Kindle
This paper surveys recent theoretical and empirical contributions on foreign exchange rate determination. The paper first considers monetary models under uncovered interest parity and rational expectations. Then the paper considers deviations from UIP/rational expectations: foreign exchange risk premium, private information, near-rational expectations, and peso problems.
Author | : Jonathan Eaton |
Publisher | : |
Total Pages | : 23 |
Release | : 1987 |
Genre | : |
ISBN | : |
Download Covered Interest Parity, Uncovered Interest Parity, and Exchange Rate Dynamics Book in PDF, Epub and Kindle