Hypothesis Testing with Restricted Spectral Density Matrices, with an Application to Uncovered Interest Parity

1989 ◽  
Vol 30 (1) ◽  
pp. 203 ◽  
Author(s):  
Takatoshi Ito ◽  
Danny Quah
Keyword(s):  
Spectral Density ◽  
Hypothesis Testing ◽  
Uncovered Interest Parity ◽  
Density Matrices ◽  
Interest Parity

Uncovered interest parity and the peso problem: the Brazilian case

2001 ◽  
Vol 8 (3) ◽  
pp. 179-181 ◽  
Author(s):  
Adolfo Sachsida ◽  
Roberto Ellery ◽  
Joanílio Rodolpho Teixeira
Keyword(s):  
Uncovered Interest Parity ◽  
Interest Parity ◽  
Brazilian Case

scholarly journals An Ex-Post Investigation Of Interest Rate Parity In Asian Emerging Markets

2011 ◽  
Vol 6 (2) ◽  
Author(s):  
Bahram Adrangi ◽  
Kambiz Raffiee ◽  
Todd M. Shank
Keyword(s):  
Interest Rate ◽  
Emerging Markets ◽  
Statistical Tests ◽  
Supply And Demand ◽  
The Philippines ◽  
Uncovered Interest Parity ◽  
Interest Rate Parity ◽  
Ex Post ◽  
Interest Parity ◽  
Asian Emerging Markets

This paper investigates the uncovered interest parity theory for the three emerging markets of Korea, the Philippines, and Thailand. The study provides evidence on the efficiency of the currency markets of these economies. In this paper we test for the uncovered interest parity because futures markets for currencies of most emerging markets are not well developed. Furthermore, short- term exchange rate supply and demand are often dominated by the uncovered international investments. Several statistical tests are applied in an attempt to detect evidence of uncovered interest parity. We find there is evidence that the currencies of higher interest rate emerging economies tend to depreciate in the future spot market. However, our test results indicate that this relationship does not support the uncovered interest parity strictly. Arbitrage opportunities remain for a longer periods than predicted by the uncovered interest parity. Furthermore, these abnormal gains are not random and could be predicted by a well designed econometric model. These findings are consistent with empirical findings surrounding uncovered interest parity for mature markets of the world.

scholarly journals For Rich or for Poor: When does Uncovered Interest Parity Hold?

2021 ◽  
Author(s):  
Maurice J Roche ◽  
Michael J Moore
Keyword(s):  
Uncovered Interest Parity ◽  
Interest Parity

For Rich or for Poor: When does Uncovered Interest Parity Hold?

scholarly journals Análisis de la integración y dependencia de las políticas monetarias de la Unión Europea

2013 ◽  
pp. 47
Author(s):  
María del Carmen González Velasco ◽  
Roque Brinckmann
Keyword(s):  
Monetary Policy ◽  
Central Bank ◽  
Empirical Evidence ◽  
European Central Bank ◽  
Central Banks ◽  
Uncovered Interest Parity ◽  
European Central ◽  
Long Run ◽  
Bank Of England ◽  
Interest Parity

En este artículo se efectúa un análisis de la integración y dependencia de las políticas monetarias de la Unión Europea y, en concreto, de las políticas monetarias de la Unión Económica yMonetaria y de la zona no euro para el periodo comprendido entre Enero de 1999 y Septiembre 2009. Se aplica la metodología de la cointegración de Engle y Granger (1987) y de Johansen(1988) para contrastar la hipótesis de la paridad de tipos de interés no cubierta y se llega a la conclusión de que ambas políticas están cointegradas porque mantienen una relación de equilibrio a largo plazo. También se deduce una dependencia de la política del Banco de Inglaterra de la política del Banco Central Europeo, lo que confirma la importancia y el liderazgo de la Unión Económica y Monetaria.<br /><br />This study is to investigate the long-run relationship and dependence between the UME´s monetary policy and non-euro zone´s monetary policy for the period from January 4, 1999 to September 30, 2009. We use cointegration methodology to test the Uncovered Interest Parity Hypothesis and the results indicate a long-run cointegration and empirical evidence testifies a leader-follower pattern between the two central banks. According to this pattern, the Bank of England does follow the European Central Bank.

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