Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time-series model

1995 ◽  
Vol 69 (1) ◽  
pp. 211-240 ◽  
Author(s):  
Katarina Juselius
Keyword(s):  
Time Series ◽  
Interest Rate ◽  
Purchasing Power Parity ◽  
Multivariate Time Series ◽  
Likelihood Inference ◽  
Power Parity ◽  
Interest Rate Parity ◽  
Uncovered Interest Rate Parity ◽  
Long Run ◽  
Rate Parity

scholarly journals Use of Deviations of Purchasing Power Parity and Interest Rate Parity to Clarify the 1997 Asian Financial Crisis

2002 ◽  
Vol 05 (02) ◽  
pp. 195-218 ◽  
Author(s):  
Mao-Wei Hung ◽  
Yin-Ching Jan
Keyword(s):  
Interest Rate ◽  
Financial Crisis ◽  
Purchasing Power Parity ◽  
Asian Financial Crisis ◽  
Purchasing Power ◽  
Power Parity ◽  
Interest Rate Parity ◽  
Weak Evidence ◽  
Causality Tests ◽  
Rate Parity

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.

scholarly journals Uncovered Interest Rate Parity and Investment: A Tripartite Analysis of Nigeria, United States of America and China

2020 ◽  
Vol 11 (2) ◽  
pp. 111
Author(s):  
Peter Ubi ◽  
Ishaku Rimamtanung Nyiputen
Keyword(s):  
United States ◽  
Interest Rate ◽  
United States Of America ◽  
Time Series Data ◽  
Series Data ◽  
Interest Rate Parity ◽  
Uncovered Interest Rate Parity ◽  
Long Run ◽  
Rate Parity ◽  
The Impact

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.

scholarly journals PENGARUH PARITAS DAYA BELI DAN PARITAS SUKU BUNGA, TERHADAP NILAI TUKAR RUPIAH TERHADAP DOLLAR AMERIKA SERIKAT

IQTISHODUNA ◽  
2018 ◽  
pp. 55-70
Author(s):  
Robiatul Adhawiyah ◽  
Maretha Ika Prajawati ◽  
Rieza Firdian
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Purchasing Power Parity ◽  
Real Interest Rate ◽  
Purchasing Power ◽  
Fisher Effect ◽  
Power Parity ◽  
Interest Rate Parity ◽  
Us Dollar ◽  
Rate Parity

The exchange rate will react against change of inflation and interest rate, at least there are three theories that explain the relationship between inflation, interest rate, and exchange rate, namely purchasing power parity, interest rate parity, and international fisher effect. The purpose of this study was to determine the influence of purchasing power parity, interest rate parity, and international fisher effect on the Rupiah exchange rate against US Dollar. The populations in this research included inflation time series data, nominal interest rate, real interest rate, and Rupiah exchange rate. The data used in is secondary data form the inflation report, nominal interest rate, real interest rate, and Rupiah exchange rate quarterly. The independent variable used purchasing power parity, interest rate parity, and international fisher effect,the dependent variable used the Rupiah exchange rate against US Dollar. The result of this study indicated that the purchasing power parity, interest rate parity simultaneously had a significant influence on the exchange rate of Rupiah/US Dollar.

scholarly journals Currency Futures: Some Implications For International Financial Management

2011 ◽  
Vol 3 (3) ◽  
pp. 62
Author(s):  
Russ Ray
Keyword(s):  
Interest Rate ◽  
Purchasing Power Parity ◽  
Financial Management ◽  
Capital Budgeting ◽  
Purchasing Power ◽  
Power Parity ◽  
Interest Rate Parity ◽  
Currency Futures ◽  
Efficient Hedging ◽  
Rate Parity

This paper tests the contemporary currency futures market for interest-rate parity, purchasing-power parity, market efficiency, and hedging effectiveness. The study finds that the currency futures markets is a highly efficient, hedging-effective market exhibiting significant degrees of interest-rate parity and (longer-term) purchasing-power parity. Finally, the study infers from such findings some practicable policy tools for international cash management, multi-country capital budgeting, currency forecasting, and the risk management of foreign exchange exposure.

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