Uncovered interest rate parity between the Chinese RMB and the US dollar

2015 ◽  
Author(s):  
D. Yang ◽  
X. S. Lu
Keyword(s):  
Interest Rate ◽  
Interest Rate Parity ◽  
Uncovered Interest Rate Parity ◽  
The Us ◽  
Us Dollar ◽  
Rate Parity

scholarly journals Does Uncovered Interest Rate Parity Hold After All?

2019 ◽  
Vol 24 (2) ◽  
pp. 49-72 ◽  
Author(s):  
Muhammad Omer ◽  
Jakob de Haan ◽  
Bert Scholtens
Keyword(s):  
Interest Rate ◽  
State Dependence ◽  
Short Term ◽  
Interest Rate Parity ◽  
Uncovered Interest Rate Parity ◽  
International Currencies ◽  
The Us ◽  
Exchange Rate Overshooting ◽  
Us Dollar ◽  
Rate Parity

This paper tests Uncovered Interest Rate Parity (UIP) using LIBOR rates for six major international currencies for the period January 2001 to December 2008. We find that UIP generally holds over a short-term (above 5-months) horizon for individual as well as groups of currencies. Our results suggest that it is important to consider the cross-correlation between currencies. We also find that “state dependence” plays an important role for currencies with a negative interest rate differential vis-à-vis the US dollar. This state dependence could also be instrumental in explaining exchange rate overshooting.

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