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Uncovered Interest Rate Parity Redux: Non- Uniform Effects

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  • Yin-Wong Cheung

    (City University of Hong Kong)

  • Wenhao Wang

    (City University of Hong Kong)

Abstract

An empirical model that includes proxies for unobservable factors and allows for non-uniform effects due to model uncertainty and time-varying parameters can reduce the deviation of uncovered interest rate parity (UIP) as measured by the β-estimate that captures the interest rate differential effect in UIP regressions. However, the specification that alleviated UIP failure does not reduce the variability of the β-estimate, exhibits composition changes and time-varying parameters, and varies across exchange rates. These findings collaborate the scapegoat theory, and suggest that shifting roles of explanatory variables and time-varying effects contribute to the difficulty of rectifying the empirical UIP failure.

Suggested Citation

  • Yin-Wong Cheung & Wenhao Wang, 2020. "Uncovered Interest Rate Parity Redux: Non- Uniform Effects," GRU Working Paper Series GRU_2020_004, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    • Handle: RePEc:cth:wpaper:gru_2020_004
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    More about this item

    Keywords

    Dynamic Model Averaging; Model Uncertainty; Proxies for CIP Deviations; Risk Premiums and Expectational Errors; Scapegoat Theory; Time-Varying Parameters;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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