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Survey of Literature on Covered and Uncovered Interest Parities

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  • Pasricha, Gurnain Kaur

Abstract

This paper explains the concepts of covered and uncovered interest parities and surveys related literature.

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File URL: http://mpra.ub.uni-muenchen.de/22737/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 22737.

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Date of creation: Dec 2006
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Handle: RePEc:pra:mprapa:22737

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Keywords: Covered interest parity; uncovered interest parity; survey;

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References

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  3. Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1994. "The implications of first-order risk aversion for asset market risk premiums," Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago 94-22, Federal Reserve Bank of Chicago.
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  9. McCallum, Bennett T., 1994. "A reconsideration of the uncovered interest parity relationship," Journal of Monetary Economics, Elsevier, Elsevier, vol. 33(1), pages 105-132, February.
  10. Giovannini, Alberto & Jorion, Philippe, 1989. " The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets," Journal of Finance, American Finance Association, American Finance Association, vol. 44(2), pages 307-25, June.
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  24. Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 88(5), pages 829-53, October.
  25. Frenkel, Jacob A. & Razin, Assaf, 1980. "Stochastic prices and tests of efficiency of foreign exchange markets," Economics Letters, Elsevier, Elsevier, vol. 6(2), pages 165-170.
  26. Clinton, Kevin, 1988. "Transactions Costs and Covered Interest Arbitrage: Theory and Evidence," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 96(2), pages 358-70, April.
  27. Krugman, Paul, 1979. "A Model of Balance-of-Payments Crises," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 11(3), pages 311-25, August.
  28. Froot, Kenneth A. & Ito, Takatoshi, 1989. "On the consistency of short-run and long-run exchange rate expectations," Journal of International Money and Finance, Elsevier, Elsevier, vol. 8(4), pages 487-510, December.
  29. Yin-Wong Cheung & Antonio Garcia Pascual & Menzie David Chinn, 2004. "Empirical Exchange Rate Models of the Nineties," IMF Working Papers, International Monetary Fund 04/73, International Monetary Fund.
  30. 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.
  31. Mark P. Taylor & Elena Tchernykh Branson, 2004. "Asymmetric Arbitrage and Default Premiums Between the U.S. and Russian Financial Markets," IMF Staff Papers, Palgrave Macmillan, vol. 51(2), pages 3.
  32. Menzie D. Chinn & Guy Meredith, 2005. "Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era," NBER Working Papers 11077, National Bureau of Economic Research, Inc.
  33. Fratianni, Michele & Wakeman, L. MacDonald, 1982. "The law of one price in the eurocurrency market," Journal of International Money and Finance, Elsevier, Elsevier, vol. 1(1), pages 307-323, January.
  34. Flood, Robert P. & Garber, Peter M. & Kramer, Charles, 1996. "Collapsing exchange rate regimes: Another linear example," Journal of International Economics, Elsevier, Elsevier, vol. 41(3-4), pages 223-234, November.
  35. Stockman, Alan C, 1980. "A Theory of Exchange Rate Determination," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 88(4), pages 673-98, August.
  36. 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.
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  38. Guy Meredith & Menzie D. Chinn, 1998. "Long-Horizon Uncovered Interest Rate Parity," NBER Working Papers 6797, National Bureau of Economic Research, Inc.
  39. James Lothian & Yusif Simaan, 1998. "International Financial Relations Under the Current Float: Evidence from Panel Data," Open Economies Review, Springer, Springer, vol. 9(4), pages 293-313, October.
  40. Lucas, Robert Jr., 1982. "Interest rates and currency prices in a two-country world," Journal of Monetary Economics, Elsevier, Elsevier, vol. 10(3), pages 335-359.
  41. Isabel Vieira, 2003. "Evaluating capital mobility in the EU: a new approach using swaps data," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 9(5), pages 514-532.
  42. Froot, Kenneth A & Frankel, Jeffrey A, 1989. "Forward Discount Bias: Is It an Exchange Risk Premium?," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 104(1), pages 139-61, February.
  43. Olivier Davanne, 1990. "La dynamique des taux de change," Économie et Statistique, Programme National Persée, Programme National Persée, vol. 236(1), pages 37-50.
  44. Cosandier, Pierre-Alexis & Lang, Bruno R., 1981. "Interest rate parity tests : Switzerland and some major western countries," Journal of Banking & Finance, Elsevier, Elsevier, vol. 5(2), pages 187-200, June.
  45. Taylor, Mark P, 1989. "Covered Interest Arbitrage and Market Turbulence," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 99(396), pages 376-91, June.
  46. 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.
  47. Partick Artus, 1994. "Les crises de balance des paiements sont-elles inévitables ?," Revue Économique, Programme National Persée, Programme National Persée, vol. 45(6), pages 1377-1400.
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  49. Frenkel, Jacob A & Levich, Richard M, 1975. "Covered Interest Arbitrage: Unexploited Profits?," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 83(2), pages 325-38, April.
  50. Ronald Macdonald & Mark P. Taylor, 1992. "Exchange Rate Economics: A Survey," IMF Staff Papers, Palgrave Macmillan, vol. 39(1), pages 1-57, March.
  51. John A. Carlson & C. L. Osler, 1999. "Determinants of current risk premiums," Staff Reports, Federal Reserve Bank of New York 70, Federal Reserve Bank of New York.
  52. Mark, Nelson C & Wu, Yangru, 1998. "Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 108(451), pages 1686-1706, November.
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Cited by:
  1. Muhammad Omer & Jakob de Haan & Bert Scholtens, 2012. "Testing Uncovered Interest Rate Parity Using LIBOR," CESifo Working Paper Series 3839, CESifo Group Munich.
  2. Jiang, Chun & Li, Xiao-Lin & Chang, Hsu-Ling & Su, Chi-Wei, 2013. "Uncovered interest parity and risk premium convergence in Central and Eastern European countries," Economic Modelling, Elsevier, Elsevier, vol. 33(C), pages 204-208.

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