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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- Francesco Caselli & James Feyrer, 2006.
"The Marginal Product of Capital,"
CEP Discussion Papers
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- Francesco Caselli & James Feyrer, 2006. "The marginal product of capital," LSE Research Online Documents on Economics 3560, London School of Economics and Political Science, LSE Library.
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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.
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- Christensen, Michael, 2000. "Uncovered Interest Parity and Policy Behavior New Evidence," Finance Working Papers 00-2, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Christensen, Michael, 2000. "Uncovered interest parity and policy behavior: new evidence," Economics Letters, Elsevier, vol. 69(1), pages 81-87, October.
- 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.
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