An alternative approach to testing uncovered interest parity
AbstractThis paper presents some evidence on the uncovered interest parity (UIP) hypothesis using an alternative model specification and quarterly data on three-month treasury bill rates denominated in eleven currencies vis-a-vis the dollar. Results of cointegration and coefficient restriction tests are strongly supportive of UIP in all cases. These results suggest that capital and foreign exchange markets have become highly integrated.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 2 (1995)
Issue (Month): 12 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAEL20
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Min, Hong-Ghi & McDonald, Judith A. & Choung, Jaeyong, 2003. "Dynamic capital mobility, capital-market risk, and contagion: evidence from seven Asian countries," Japan and the World Economy, Elsevier, vol. 15(2), pages 161-183, April.
- Tang, Kin-Boon, 2011. "The precise form of uncovered interest parity: A heterogeneous panel application in ASEAN-5 countries," Economic Modelling, Elsevier, vol. 28(1-2), pages 568-573, January.
- Chiang, Thomas C. & Kim, Doseong, 2000. "Short-term eurocurrency rate behavior and specifications of cointegrating processes," International Review of Economics & Finance, Elsevier, vol. 9(2), pages 157-179.
- Levent, Korap, 2010.
"Does the uncovered interest parity hold in short horizons?,"
20788, University Library of Munich, Germany.
- Ozgur Aslan & H. Levent Korap, 2010. "Does the uncovered interest parity hold in short horizons?," Applied Economics Letters, Taylor & Francis Journals, vol. 17(4), pages 361-365.
- Levent, Korap, 2007. "Does the interest differential explain future exchange rate return? a re-examination of the UIP hypothesis for the Turkish economy," MPRA Paper 19618, University Library of Munich, Germany.
- Hong G. Min & McDonald, Judith A., 1999. "Does a thin foreign exchange market lead to destabilizing capital-market speculation in the Asian Crisis countries?," Policy Research Working Paper Series 2056, The World Bank.
- Felmingham, Bruce & Leong, SuSan, 2005. "Parity conditions and the efficiency of the Australian 90- and 180-day forward markets," Review of Financial Economics, Elsevier, vol. 14(2), pages 127-145.
- Bing Han, 2004. "Is the forward premium puzzle universal?," Applied Economics Letters, Taylor & Francis Journals, vol. 11(2), pages 131-134.
- Arusha Cooray, 2003. "Financial integration: some evidence from Australia," Applied Economics Letters, Taylor & Francis Journals, vol. 10(15), pages 959-966.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.