Reinvestigating the Uncovered Interest Rate Parity Puzzle Via Analysis of Multivariate Tail Dependence in Currency Carry Trades

SSRN Electronic Journal ◽

10.2139/ssrn.2235687 ◽

2013 ◽

Cited By ~ 2

Author(s):

Matthew Ames ◽

Guillaume Bagnarosa ◽

Gareth William Peters

Keyword(s):

Interest Rate ◽

Tail Dependence ◽

Interest Rate Parity ◽

Uncovered Interest Rate Parity ◽

Rate Parity

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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

Journal of Econometrics ◽

10.1016/0304-4076(94)01669-q ◽

1995 ◽

Vol 69 (1) ◽

pp. 211-240 ◽

Cited By ~ 130

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

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A Panel Data Analysis of the Validity of Uncovered Interest Rate Parity (UIRP) in Selected African Countries

Research in World Economy ◽

10.5430/rwe.v7n2p15 ◽

2016 ◽

Vol 7 (2) ◽

Author(s):

Deebii Nwiado ◽

Lezaasi LeneeTorbira

Keyword(s):

Data Analysis ◽

Panel Data ◽

Interest Rate ◽

Panel Data Analysis ◽

African Countries ◽

Interest Rate Parity ◽

Uncovered Interest Rate Parity ◽

Rate Parity

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Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2020.124257 ◽

2020 ◽

Vol 553 ◽

pp. 124257

Author(s):

Paulo Ferreira ◽

Ladislav Kristoufek

Keyword(s):

European Union ◽

Interest Rate ◽

The European Union ◽

Interest Rate Parity ◽

Uncovered Interest Rate Parity ◽

Rate Parity ◽

Fractal Methods

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The long-run uncovered interest rate parity in view of a trading strategy

Strategic Direction ◽

10.1108/sd.2010.05626dad.005 ◽

2010 ◽

Vol 26 (4) ◽

Author(s):

C-C. Chin

Keyword(s):

Interest Rate ◽

Trading Strategy ◽

Interest Rate Parity ◽

Uncovered Interest Rate Parity ◽

Long Run ◽

Rate Parity

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Tests for a Systematic Risk Component in Deviations from Uncovered Interest Rate Parity

The Review of Economic Studies ◽

10.2307/2298013 ◽

1991 ◽

Vol 58 (3) ◽

pp. 587 ◽

Cited By ~ 38

Author(s):

Thomas H. McCurdy ◽

Ieuan G. Morgan

Keyword(s):

Interest Rate ◽

Systematic Risk ◽

Interest Rate Parity ◽

Uncovered Interest Rate Parity ◽

Rate Parity

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Emerging market liberalization and the impact on uncovered interest rate parity

Journal of International Money and Finance ◽

10.1016/s0261-5606(02)00029-3 ◽

2002 ◽

Vol 21 (6) ◽

pp. 931-956 ◽

Cited By ~ 26

Author(s):

Bill B. Francis ◽

Iftekhar Hasan ◽

Delroy M. Hunter

Keyword(s):

Interest Rate ◽

Emerging Market ◽

Market Liberalization ◽

Interest Rate Parity ◽

Uncovered Interest Rate Parity ◽

Rate Parity ◽

The Impact

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Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences

SSRN Electronic Journal ◽

10.2139/ssrn.2638163 ◽

2015 ◽

Cited By ~ 3

Author(s):

Matthew Ames ◽

Guillaume Bagnarosa ◽

Gareth William Peters

Keyword(s):

Exchange Rate ◽

Interest Rate ◽

International Exchange ◽

Interest Rate Parity ◽

Uncovered Interest Rate Parity ◽

Rate Parity

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Estimating effect of trade openness on uncovered interest rate parity deviations using double selection by LASSO

SSRN Electronic Journal ◽

10.2139/ssrn.3958286 ◽

2021 ◽

Author(s):

Alexander Chentsov ◽

Nikita Toropov

Keyword(s):

Interest Rate ◽

Trade Openness ◽

Interest Rate Parity ◽

Uncovered Interest Rate Parity ◽

Rate Parity

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Explaining Deviations from Uncovered Interest Rate Parity

Handbook of Safeguarding Global Financial Stability ◽

10.1016/b978-0-12-397875-2.00017-9 ◽

2013 ◽

pp. 209-212 ◽

Cited By ~ 1

Author(s):

P. Bacchetta

Keyword(s):

Interest Rate ◽

Interest Rate Parity ◽

Uncovered Interest Rate Parity ◽

Rate Parity

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Uncovered Interest Rate Parity: A Relation to Global Trade Risk

SSRN Electronic Journal ◽

10.2139/ssrn.2669454 ◽

2015 ◽

Author(s):

Tamara Nunes ◽

Andreea Piloiu

Keyword(s):

Interest Rate ◽

Global Trade ◽

Interest Rate Parity ◽

Uncovered Interest Rate Parity ◽

Rate Parity

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