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Uncovered Interest Parity In Argentina, Brazil, Chile, And Mexico: A Unit Root Test Application With Panel Data

Author

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  • Jaimilton V. Carvalho
  • Adolfo Sachsida
  • Paulo R. A. Loureiro
  • Tito Belchior S. Moreira

Abstract

The aim of this study was to test uncovered interest parities for Argentina, Brazil, Chile, and Mexico, for the January 1990–December 2001 period, with the use of the rational expectation hypothesis. We also intend to evaluate the degree of mobility of foreign capital in these political jurisdictions, using panel data estimations, with unit root tests proposed by Levin and Lin (1992), and Im, Pesaran and Shin (1997). The econometric results indicate the rejection of uncovered interest parity (UIP), for the period under study, for the group consisting of Argentina, Brazil, Chile, and Mexico. However, the UIP hypothesis is not rejected for the group consisting of Argentina, Chile, and Mexico for the January 1991–December 2000 period.

Suggested Citation

  • Jaimilton V. Carvalho & Adolfo Sachsida & Paulo R. A. Loureiro & Tito Belchior S. Moreira, 2004. "Uncovered Interest Parity In Argentina, Brazil, Chile, And Mexico: A Unit Root Test Application With Panel Data," Review of Urban & Regional Development Studies, Wiley Blackwell, vol. 16(3), pages 263-269, November.
    • Handle: RePEc:bla:revurb:v:16:y:2004:i:3:p:263-269
    DOI: 10.1111/j.1467-940X.2005.00091.x
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    Cited by:

    1. Muhammad Omer & Jakob de Haan & Bert Scholtens, 2019. "Does Uncovered Interest Rate Parity Hold After All?," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 24(2), pages 49-72, July-Dec.
    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.
    3. C. Emre Alper & Oya Pinar Ardic & Salih Fendoglu, 2009. "The Economics Of The Uncovered Interest Parity Condition For Emerging Markets," Journal of Economic Surveys, Wiley Blackwell, vol. 23(1), pages 115-138, February.
    4. Muhammad Omer & Jakob de Haan & Bert Scholtens, 2014. "Testing uncovered interest rate parity using LIBOR," Applied Economics, Taylor & Francis Journals, vol. 46(30), pages 3708-3723, October.
    5. Jaimilton Carvalho & José Angelo Divino, 2008. "Paridade Descoberta da Taxa de Juros em Países Latino-Americanos," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807172349250, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    6. 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), pages 568-573.

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