A new Test of Uncovered Interest Rate Parity: Evidence from Turkey
AbstractThis paper examines if uncovered interest rate parity condition holds for Turkey. In this paper, an empirical analysis is provided for the dates between December 2001 and June 2007 by using monthly data for Turkey and the U.S. Main finding is that UIP does not hold for Turkey. In addition to this, UIP deviation goes up over time, AR (1) fits the data well, there is an ARCH effect and GARCH (1,1) specification is significant for Turkish case.
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 InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 10787.
Date of creation: Aug 2007
Date of revision:
Uncovered Interest Rate Parity; Unit Root Test; AR Process; ARCH and GARCH Models;
Find related papers by JEL classification:
- F30 - International Economics - - International Finance - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Geert Bekaert & Min Wei & Yuhang Xing, 2002.
"Uncovered Interest Rate Parity and the Term Structure,"
NBER Working Papers
8795, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Wei, Min & Xing, Yuhang, 2007. "Uncovered interest rate parity and the term structure," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 1038-1069, October.
- Chaboud, Alain P. & Wright, Jonathan H., 2005.
"Uncovered interest parity: it works, but not for long,"
Journal of International Economics,
Elsevier, vol. 66(2), pages 349-362, July.
- Alain P. Chaboud & Jonathan H. Wright, 2003. "Uncovered interest parity: it works, but not for long," International Finance Discussion Papers 752, Board of Governors of the Federal Reserve System (U.S.).
- Robert P. Flood & Andrew K. Rose, 2002.
"Uncovered Interest Parity in Crisis,"
IMF Staff Papers,
Palgrave Macmillan, vol. 49(2), pages 6.
- Daniel L.Thornton, 2007. "Resolving the unbiasedness and forward premium puzzles," Working Papers 2007-014, Federal Reserve Bank of St. Louis.
- Bennett T. McCallum, 1992.
"A Reconsideration of the Uncovered Interest Parity Relationship,"
NBER Working Papers
4113, National Bureau of Economic Research, Inc.
- McCallum, Bennett T., 1994. "A reconsideration of the uncovered interest parity relationship," Journal of Monetary Economics, Elsevier, vol. 33(1), pages 105-132, February.
- James R. Lothian & Liuren Wu, 2003.
"Uncovered Interest Rate Parity Over the Past Two Centuries,"
- Lothian, James R. & Wu, Liuren, 2011. "Uncovered interest-rate parity over the past two centuries," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 448-473, April.
- John T. Harvey, 2004.
"Deviations from uncovered interest rate parity: a Post Keynesian explanation,"
Journal of Post Keynesian Economics,
M.E. Sharpe, Inc., vol. 27(1), pages 19-35, October.
- John Harvey, 2003. "Deviations from Uncovered Interest Rate Parity: A Post Keynesian Explanation," Working Papers 200301, Texas Christian University, Department of Economics.
- Ralf Brüggemann & Helmut Lütkepohl, 2005.
"Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe,"
SFB 649 Discussion Papers
SFB649DP2005-035, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Ralf Brueggemann & Helmut Luetkepohl, 2005. "Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe," Economics Working Papers ECO2005/08, European University Institute.
- Flood, Robert P & Rose, Andrew K, 1996.
"Fixes: Of the Forward Discount Puzzle,"
The Review of Economics and Statistics,
MIT Press, vol. 78(4), pages 748-52, November.
- Marey,Philip S., 2004. "Uncovered interest parity tests and exchange rate expectations," Research Memorandum 021, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Philip Marey, 2004. "Uncovered interest parity tests and exchange rate expectations," Computing in Economics and Finance 2004 54, Society for Computational Economics.
- Guy Meredith & Menzie D. Chinn, 1998. "Long-Horizon Uncovered Interest Rate Parity," NBER Working Papers 6797, National Bureau of Economic Research, Inc.
- Charles Engel, 1995.
"The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence,"
NBER Working Papers
5312, National Bureau of Economic Research, Inc.
- Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
- Peter Isard, 2006. "Uncovered Interest Parity," IMF Working Papers 06/96, International Monetary Fund.
- M. Hadzi-Vaskov & C.J.M. Kool, 2006. "The importance of interest rate volatility in empirical tests of uncovered interest parity," Working Papers 06-16, Utrecht School of Economics.
- Brooks,Chris, 2008. "Introductory Econometrics for Finance," Cambridge Books, Cambridge University Press, number 9780521694681.
- Baillie, Richard T. & Bollerslev, Tim, 2000. "The forward premium anomaly is not as bad as you think," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 471-488, August.
- Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 13-47, March.
- Chinn, Menzie D., 2006. "The (partial) rehabilitation of interest rate parity in the floating rate era: Longer horizons, alternative expectations, and emerging markets," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 7-21, February.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.