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Nonlinear dynamics and covered interest rate parity

Citations

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Cited by:

  1. Kant, Chander, 2005. "Capital mobility among advanced countries," Journal of Policy Modeling, Elsevier, vol. 27(9), pages 1067-1081, December.
  2. Eduardo Levy Yeyati & Sergio Luis Schmukler & Neeltje Van Horen, 2006. "International Financial Integration through the Law of One Price," Business School Working Papers 2006-01, Universidad Torcuato Di Tella.
  3. Pasricha, Gurnain, 2007. "Financial Integration in Emerging Market Economies," MPRA Paper 5278, University Library of Munich, Germany.
  4. Ahmad Zubaidi Baharumshah & Venus Khim‐Sen Liew & Chan Tze Haw, 2009. "The Real Interest Rate Differential: International Evidence Based On Non‐Linear Unit Root Tests," Bulletin of Economic Research, Wiley Blackwell, vol. 61(1), pages 83-94, January.
  5. Melike Bildirici & Elçin Aykaç Alp, 2012. "Minimum wage is efficient wage in Turkish labor market: TAR–cointegration analysis," Quality & Quantity: International Journal of Methodology, Springer, vol. 46(4), pages 1261-1270, June.
  6. Sekioua, Sofiane H., 2006. "Nonlinear adjustment in the forward premium: evidence from a threshold unit root test," International Review of Economics & Finance, Elsevier, vol. 15(2), pages 164-183.
  7. Trapani, Lorenzo, 2021. "Inferential theory for heterogeneity and cointegration in large panels," Journal of Econometrics, Elsevier, vol. 220(2), pages 474-503.
  8. Jakob de Haan & Tigran Poghosyan & Jakob de Haan, 2007. "Interest Rate Linkages in EMU Countries: A Rolling Threshold Vector Error-Correction Approach," CESifo Working Paper Series 2060, CESifo.
  9. Bhar, Ramprasad & Kim, Suk-Joong & Pham, Toan M., 2004. "Exchange rate volatility and its impact on the transaction costs of covered interest rate parity," Japan and the World Economy, Elsevier, vol. 16(4), pages 503-525, December.
  10. Dominique Torre, 2012. "The monetary views of Paul Einzig," Post-Print halshs-00726126, HAL.
  11. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
  12. Öge Güney, Pelin & Hasanov, Mübariz, 2014. "Real interest rate parity hypothesis in post-Soviet countries: Evidence from unit root tests," Economic Modelling, Elsevier, vol. 36(C), pages 120-129.
  13. Levy Yeyati, Eduardo & Schmukler, Sergio L. & Van Horen, Neeltje, 2009. "International financial integration through the law of one price: The role of liquidity and capital controls," Journal of Financial Intermediation, Elsevier, vol. 18(3), pages 432-463, July.
  14. Bai, Shuming & Mollick, Andre Varella, 2010. "Currency crisis and the forward discount bias: Evidence from emerging economies under breaks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 556-574, December.
  15. Gonzalo, Jesùs & Pitarakis, Jean-Yves, 2005. "Threshold effects In multivariate error correction models," Discussion Paper Series In Economics And Econometrics 0501, Economics Division, School of Social Sciences, University of Southampton.
  16. Pippenger, John, 2013. "The Failure Of Uncovered Interest Parity, Forward Bias And Related Puzzles," University of California at Santa Barbara, Economics Working Paper Series qt50n5p8bv, Department of Economics, UC Santa Barbara.
  17. Ayşegül Çorakcı & Furkan Emirmahmutoglu & Tolga Omay, 2017. "Re-examining the real interest rate parity hypothesis (RIPH) using panel unit root tests with asymmetry and cross-section dependence," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 44(1), pages 91-120, February.
  18. Alan, King, 2011. "A comment on: "The solution to the forward-bias puzzleâ," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 623-628, October.
  19. Pippenger, John E, 2010. "The Solution to the Forward-Bias and Related Puzzles," University of California at Santa Barbara, Economics Working Paper Series qt6br3599r, Department of Economics, UC Santa Barbara.
  20. Maurice Obstfeld & Alan M. Taylor, 2003. "Globalization and Capital Markets," NBER Chapters, in: Globalization in Historical Perspective, pages 121-188, National Bureau of Economic Research, Inc.
  21. Uctum, Remzi, 2007. "Économétrie des modèles à changement de régimes : un essai de synthèse," L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(4), pages 447-482, décembre.
  22. Jie-Cao He & Hsing-Hua Chang & Ting-Fu Chen & Shih-Kuei Lin, 2023. "Upside and downside correlated jump risk premia of currency options and expected returns," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-58, December.
  23. Juan José Echavarría & Diego Vásquez & Mauricio Villamizar, 2008. "Expectativas, tasa de interés y tasa de cambio: paridad cubierta y no cubierta en Colombia, 2000-2007," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 26(56), pages 150-203, June.
  24. Pippenger, John, 2018. "Forward Bias, Uncovered Interest Parity and Related Puzzles," University of California at Santa Barbara, Economics Working Paper Series qt2cm6p186, Department of Economics, UC Santa Barbara.
  25. Lin, Xiaoqiang & Tang, Zhenpeng & Fei, Fangyu, 2013. "Testing for relationships between Shanghai and Shenzhen stock markets: A threshold cointegration perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(18), pages 4064-4074.
  26. Nidhi Aggarwal & Sanchit Arora & Rajeswari Sengupta, 2021. "Capital account liberalisation in a large emerging economy: An Analysis of onshore-offshore arbitrage," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2021-013, Indira Gandhi Institute of Development Research, Mumbai, India.
  27. King, Alan, 2011. "Pippenger's CIP-based solution to the forward-bias puzzle: A rejoinder," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 867-873.
  28. Fong, Wai-Ming & Valente, Giorgio & Fung, Joseph K.W., 2010. "Covered interest arbitrage profits: The role of liquidity and credit risk," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1098-1107, May.
  29. Nelson C. Mark & Young-Kyu Moh, 2005. "The real exchange rate and real interest differentials: the role of nonlinearities," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(4), pages 323-335.
  30. Jing Li & Junsoo Lee, 2010. "ADL tests for threshold cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(4), pages 241-254, July.
  31. N.R. Ramírez-Rondán & Marco E. Terrones, 2019. "Uncertainty and the Uncovered Interest Parity Condition: How Are They Related?," Working Papers 156, Peruvian Economic Association.
  32. Canto, Bea & Kräussl, Roman, 2007. "Electronic trading systems and intraday non-linear dynamics: An examination of the FTSE 100 cash and futures returns," CFS Working Paper Series 2007/20, Center for Financial Studies (CFS).
  33. Li, Ming-Yuan Leon, 2008. "Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 511-520.
  34. Ming-Yuan Leon Li, 2009. "Nonlinear interrelations between ADRs and their underlying stocks revisited: application of threshold VECM," Applied Economics Letters, Taylor & Francis Journals, vol. 16(18), pages 1867-1873.
  35. Byoung Hark Yoo, 2008. "Interest Arbitrage and Interest Rates in Korea," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 14(3), pages 133-155, September.
  36. Giofré, Maela/M., 2008. "EMU Effects on Stock Markets: From Home Bias to Euro Bias," MPRA Paper 13926, University Library of Munich, Germany.
  37. Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Testing for sign and amplitude asymmetries using threshold autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 30(4), pages 623-654, April.
  38. Nazım Ekren & Elçin Aykaç Alp & Mete Han Yağmur, 2017. "Macroeconomic performance index: a new approach to calculation of economic wellbeing," Applied Economics, Taylor & Francis Journals, vol. 49(53), pages 5462-5476, November.
  39. Takashi Matsuki, 2016. "Linear and nonlinear comovement in Southeast Asian local currency bond markets: a stepwise multiple testing approach," Empirical Economics, Springer, vol. 51(2), pages 591-619, September.
  40. Holmes, Mark J. & Maghrebi, Nabil, 2006. "Are international real interest rate linkages characterized by asymmetric adjustments?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(4), pages 384-396, October.
  41. Nidhi Aggarwal & Sanchit Arora & Rajeswari Sengupta, 2022. "Capital account openness in India and a comparison with China: Then versus now," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2022-005, Indira Gandhi Institute of Development Research, Mumbai, India.
  42. Kim, Bong-Han & Chun, Sun-Eae & Min, Hong-Ghi, 2010. "Nonlinear dynamics in arbitrage of the S&P 500 index and futures: A threshold error-correction model," Economic Modelling, Elsevier, vol. 27(2), pages 566-573, March.
  43. Pippenger, John, 2009. "The Forward-Bias Puzzle: A Solution Based on Covered Interest Parity," University of California at Santa Barbara, Economics Working Paper Series qt4dd1075r, Department of Economics, UC Santa Barbara.
  44. Aslanidis, Nektarios & Kouretas, Georgios P., 2005. "Testing for two-regime threshold cointegration in the parallel and official markets for foreign currency in Greece," Economic Modelling, Elsevier, vol. 22(4), pages 665-682, July.
  45. Ted Juhl & William Miles & Marc D. Weidenmier, 2004. "Covered Interest Arbitrage: Then vs. Now," NBER Working Papers 10961, National Bureau of Economic Research, Inc.
  46. Al-Awad, Mouawiya & Grennes, Thomas J., 2002. "Real interest parity and transaction costs for the group of 10 countries," International Review of Economics & Finance, Elsevier, vol. 11(4), pages 363-372.
  47. Bilson, Chris & Brailsford, Tim & Rajaguru, Gulasekaran, 2022. "Covered interest rate parity deviations in the Asia-Pacific," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
  48. Hansen, Bruce E. & Seo, Byeongseon, 2002. "Testing for two-regime threshold cointegration in vector error-correction models," Journal of Econometrics, Elsevier, vol. 110(2), pages 293-318, October.
  49. El in Ayka Alp & Zeynep Biyik, 2018. "Inflation Expectation Dynamics: A Structural Long-run Analysis for Turkey," International Journal of Economics and Financial Issues, Econjournals, vol. 8(2), pages 350-356.
  50. Holmes, Mark J. & Maghrebi, Nabil, 2004. "Asian real interest rates, nonlinear dynamics, and international parity," International Review of Economics & Finance, Elsevier, vol. 13(4), pages 387-405.
  51. Nath, Golaka, 2013. "The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis," MPRA Paper 51591, University Library of Munich, Germany.
  52. Jack Strauss & Mark E. Wohar, 2007. "Domestic‐Foreign Interest Rate Differentials: Near Unit Roots and Symmetric Threshold Models," Southern Economic Journal, John Wiley & Sons, vol. 73(3), pages 814-829, January.
  53. Pippenger, John, 2011. "A Complete Solution To The Forward-Bias Puzzle," University of California at Santa Barbara, Economics Working Paper Series qt5gq9z4j0, Department of Economics, UC Santa Barbara.
  54. Pippenger, John E, 2009. "The Forward-Bias Puzzle: A Solution Based on Covered Interest Parity," University of California at Santa Barbara, Economics Working Paper Series qt05d0t24b, Department of Economics, UC Santa Barbara.
  55. Batten, Jonathan A. & Szilagyi, Peter G., 2007. "Covered interest parity arbitrage and temporal long-term dependence between the US dollar and the Yen," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 409-421.
  56. Jing Li & Junsoo Lee, 2010. "ADL tests for threshold cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(4), pages 241-254, July.
  57. Pippenger, John, 2011. "The solution to the forward-bias puzzle," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(2), pages 296-304, April.
  58. Holmes, Mark J., 2001. "Some new evidence on exchange rates, capital controls and European Union financial integration," International Review of Economics & Finance, Elsevier, vol. 10(2), pages 135-146.
  59. Tigran Poghosyan, 2009. "Are “new” and “old” EU members becoming more financially integrated? A threshold cointegration analysis," International Economics and Economic Policy, Springer, vol. 6(3), pages 259-281, October.
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