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Does Ex post uncovered interest differential reflect the degrees of capital mobility?

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  • Donggyu Sul

Abstract

This paper examines whether ex post uncovered interest differential between the US and the UK reflects the degrees of capital mobility over the time period 1973-92 by using GMM, GARCH and Kalman filter methods. The empirical results, however, do not support the hypothesis that the magnitude of the absolute deviation from UIP or the conditional variance of the deviation becomes smaller as the degrees of capital mobility increases.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/135048599353717&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 6 (1999)
Issue (Month): 2 ()
Pages: 97-102

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Handle: RePEc:taf:apeclt:v:6:y:1999:i:2:p:97-102

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Cited by:
  1. Neumann, Anne & Siliverstovs, Boriss, 2005. "Convergence of European Spot Market Prices for Natural Gas? A Real-Time Analysis of Market Integration using the Kalman Filter," Dresden Discussion Paper Series in Economics 05/05, Dresden University of Technology, Faculty of Business and Economics, Department of Economics.
  2. 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.

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