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Exchange Rates And Volatility In Central And Eastern Europe: A Test For Uncovered Interest Parity

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  • HOROBET Alexandra Lavinia

    (Academy of Economic Studies Bucharest, Faculty of International Business and Economics)

  • DUMITRESCU Sorin-Adrian

    (Academy of Economic Studies Bucharest, Faculty of International Business and Economics)

  • DUMITRESCU Dan-Gabriel

    (Academy of Economic Studies Bucharest, Faculty of International Business and Economics)

Abstract

At times of heightened global capital market volatility, high-yielding currencies tend to depreciate, while low-yielding currencies tend to serve as a€ssafe heavena€t. We present the results of a test for Uncovered Interest Parity for selected European cu

Suggested Citation

  • HOROBET Alexandra Lavinia & DUMITRESCU Sorin-Adrian & DUMITRESCU Dan-Gabriel, 2009. "Exchange Rates And Volatility In Central And Eastern Europe: A Test For Uncovered Interest Parity," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 3(1), pages 552-557, May.
    • Handle: RePEc:ora:journl:v:3:y:2009:i:1:p:552-557
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    References listed on IDEAS

    as
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    3. Flood, Robert P & Rose, Andrew, 2001. "Uncovered Interest Parity in Crisis: The Interest Rate Defence in the 1990s," CEPR Discussion Papers 2943, C.E.P.R. Discussion Papers.
    4. McCallum, Bennett T., 1994. "A reconsideration of the uncovered interest parity relationship," Journal of Monetary Economics, Elsevier, vol. 33(1), pages 105-132, February.
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    9. Lothian, James R. & Wu, Liuren, 2011. "Uncovered interest-rate parity over the past two centuries," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 448-473, April.
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    11. Huisman, R. & Mahieu, R.J., 2007. "Revisiting Uncovered Interest Rate Parity: Switching Between UIP and the Random Walk," ERIM Report Series Research in Management ERS-2007-001-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
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    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange

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