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The Simultaneity Bias of the Uncovered Interest Rate Parity: evidence using survey data for Brazil

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  • Alex Luiz Ferreira

    (FEA-RP/USP)

Abstract

The paper focuses on testing the ex ante uncovered interest rate parity (UIP) in a single equation framework. I use survey based expectations as a proxy for observed exchange rate expectations and IV estimation for statistical inference, overcoming the negative bias indicated by the small scale general equilibrium model with standard ingredients. Results from 2001M11 until 2014M12 using data for Brazil and the United States of America (Real/Dollar exchange rate) show strong support for ex ante UIP.

Suggested Citation

  • Alex Luiz Ferreira, 2015. "The Simultaneity Bias of the Uncovered Interest Rate Parity: evidence using survey data for Brazil," Economics Bulletin, AccessEcon, vol. 35(3), pages 1718-1725.
    • Handle: RePEc:ebl:ecbull:eb-15-00078
    as

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    References listed on IDEAS

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    More about this item

    Keywords

    Uncovered Interest Rate Parity; Bias; exchange rates;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates

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