scholarly journals Covered Interest Parity, Uncovered Interest Parity, and Exchange Rate Dynamics

10.3386/w0984 ◽  
1982 ◽  
Author(s):  
Jonathan Eaton ◽  
Stephen Turnovsky
Keyword(s):  
Exchange Rate ◽  
Uncovered Interest Parity ◽  
Exchange Rate Dynamics ◽  
Covered Interest Parity ◽  
Interest Parity

scholarly journals Covered Interest Parity, Uncovered Interest Parity and Exchange Rate Dynamics

1983 ◽  
Vol 93 (371) ◽  
pp. 555 ◽  
Author(s):  
Jonathan Eaton ◽  
Stephen J. Turnovsky
Keyword(s):  
Exchange Rate ◽  
Uncovered Interest Parity ◽  
Exchange Rate Dynamics ◽  
Covered Interest Parity ◽  
Interest Parity

scholarly journals Bond Convenience Yields and Exchange Rate Dynamics

2020 ◽  
Vol 12 (2) ◽  
pp. 124-166 ◽  
Author(s):  
Rosen Valchev
Keyword(s):  
Exchange Rate ◽  
Fiscal Policy ◽  
Impulse Response ◽  
Direct Evidence ◽  
Uncovered Interest Parity ◽  
Convenience Yield ◽  
Endogenous Fluctuations ◽  
Exchange Rate Dynamics ◽  
Interest Parity ◽  
Monetary And Fiscal Policy

This paper proposes a new explanation for the failure of Uncovered Interest Parity (UIP) that rationalizes both the classic UIP puzzle and the evidence that the puzzle reverses direction at longer horizons. In the model, excess currency returns arise as compensation for endogenous fluctuations in bond convenience yield differentials. Due to the interaction of monetary and fiscal policy, the impulse response of the equilibrium convenience yield is nonmonotonic, which generates the reversal of the puzzle. The calibrated model fits exchange rate dynamics very well. I also find direct evidence linking convenience yields to excess currency returns. (JEL E43, E52, F31, F41, H63)

scholarly journals Uncovered Interest Parity, Forward Guidance and the Exchange Rate

2020 ◽  
Vol 52 (S2) ◽  
pp. 465-496
Author(s):  
JORDI GALí
Keyword(s):  
Exchange Rate ◽  
Uncovered Interest Parity ◽  
Forward Guidance ◽  
Interest Parity ◽  
The Exchange Rate

Uncovered interest parity with fundamentals: a Brazilian exchange rate forecast model

2002 ◽  
pp. 191-207
Author(s):  
Marcelo Kfoury Muinhos ◽  
Paulo Springer de Freitas ◽  
Fabio Araujo
Keyword(s):  
Exchange Rate ◽  
Forecast Model ◽  
Uncovered Interest Parity ◽  
Interest Parity ◽  
Exchange Rate Forecast

scholarly journals The Swiss Franc exchange rate and deviations from uncovered interest parity: Global vs domestic factors

2010 ◽  
Vol 146 (1) ◽  
pp. 349-371 ◽  
Author(s):  
Mathias Hoffmann ◽  
Rahel Suter
Keyword(s):  
Exchange Rate ◽  
Swiss Franc ◽  
Uncovered Interest Parity ◽  
Interest Parity

scholarly journals The uncovered interest parity puzzle, exchange rate forecasting, and Taylor rules

2019 ◽  
Vol 95 ◽  
pp. 317-331 ◽  
Author(s):  
Charles Engel ◽  
Dohyeon Lee ◽  
Chang Liu ◽  
Chenxin Liu ◽  
Steve Pak Yeung Wu
Keyword(s):  
Exchange Rate ◽  
Uncovered Interest Parity ◽  
Exchange Rate Forecasting ◽  
Taylor Rules ◽  
Interest Parity

scholarly journals Testing the interest-parity condition with Irving Fisher's example of Indian rupee and sterling bonds in the London financial market, 1869–1906

2019 ◽  
Vol 26 (1) ◽  
pp. 21-42 ◽  
Author(s):  
Nils Herger
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Financial Market ◽  
Close Correlation ◽  
Uncovered Interest Parity ◽  
Indian Rupee ◽  
Interest Parity ◽  
Default Risks ◽  
Exchange Rate Changes ◽  
Parity Condition

Following the pioneering work of Irving Fisher, this article assesses the uncovered interest-parity (UIP) condition by comparing Indian interest and exchange rates during the 1869 to 1906 period. The Indian case provides a good example of the UIP condition, since Indian rupee and sterling bonds were simultaneously traded in the London financial market and subject to negligible default risks. Large deviations from the UIP condition arose when India suffered from pervasive levels of uncertainty about the future of its silver-based currency system. Otherwise, a relatively close correlation arises between sterling-to-rupee interest-rate differences and exchange-rate changes.

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