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Another look at the uncovered interest rate parity: Have we missed the fundamentals?

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  • Pikoulakis, Emmanuel V.
  • Wisniewski, Tomasz Piotr

Abstract

We present a version of the uncovered interest parity condition nesting in a portfolio balance model of the consumption capital asset pricing variety. This model supports the existence of “excess returns”–returns in excess of those explained by UIP.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 116 (2012)
Issue (Month): 3 ()
Pages: 476-479

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Handle: RePEc:eee:ecolet:v:116:y:2012:i:3:p:476-479

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Exchange rates; Uncovered interest rate parity; CCAPM;

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References

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  1. Alexius, Annika, 2001. "Uncovered Interest Parity Revisited," Review of International Economics, Wiley Blackwell, vol. 9(3), pages 505-17, August.
  2. Christensen, Michael, 2000. "Uncovered Interest Parity and Policy Behavior New Evidence," Finance Working Papers 00-2, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  3. Francesco Caselli & James Feyrer, 2005. "The Marginal Product of Capital," NBER Working Papers 11551, National Bureau of Economic Research, Inc.
  4. Mehl, Arnaud & Cappiello, Lorenzo, 2007. "Uncovered interest parity at distant horizons: evidence on emerging economies & nonlinearities," Working Paper Series 0801, European Central Bank.
  5. Menzie D. Chinn & Guy Meredith, 2004. "Monetary Policy and Long-Horizon Uncovered Interest Parity," IMF Staff Papers, Palgrave Macmillan, vol. 51(3), pages 409-430, November.
  6. Christensen, Michael, 2000. "Uncovered interest parity and policy behavior: new evidence," Economics Letters, Elsevier, vol. 69(1), pages 81-87, October.
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Cited by:
  1. Heike Joebges & Volker Meinhard & Katja Rietzler & Rudolf Zwiener, 2012. "Auf dem Weg in die Altersarmut - Bilanz der Einführung der kapitalgedeckten Riester-Rente," IMK Report 73-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
  2. Heike Joebges & Volker Meinhard & Katja Rietzler & Rudolf Zwiener, 2012. "On the Path to Old-Age Poverty - Assessing the Impact of the Funded Riester Pension," IMK Report 73e-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.

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