Another look at the uncovered interest rate parity: Have we missed the fundamentals?
We present a version of the uncovered interest parity condition nesting in a portfolio balance model of the consumption capital asset pricing variety. This model supports the existence of “excess returns”–returns in excess of those explained by UIP.
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- Caselli, Francesco & Feyrer, James, 2005.
"The Marginal Product of Capital,"
CEPR Discussion Papers
5203, C.E.P.R. Discussion Papers.
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- Mehl, Arnaud & Cappiello, Lorenzo, 2007. "Uncovered interest parity at distant horizons: evidence on emerging economies & nonlinearities," Working Paper Series 0801, European Central Bank.
- Christensen, Michael, 2000. "Uncovered interest parity and policy behavior: new evidence," Economics Letters, Elsevier, vol. 69(1), pages 81-87, October.
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