IDEAS home Printed from https://ideas.repec.org/a/prg/jnlpol/v2005y2005i3id506p291-304.html
   My bibliography  Save this article

Dynamický model nekryté úrokové parity (teorie a empirická verifikace v tranzitivních ekonomikách)
[Dynamic model of uncovered interest rate parity (theory and empirical verification in the transitive economies)]

Author

Listed:
  • Jaroslava Durčáková
  • Martin Mandel
  • Vladimír Tomšík

Abstract

The paper presents a dynamic approach to the theory of uncovered interest rate parity. It is examined the dynamic relation between the actual change in spot exchange rate and interest rate differential. Authors show the hypothesis of uncovered interest rate parity is based on an ex ante view and that is the reason that the expected change in spot exchange rate cannot be replaced by an ex post approach. The dynamic approach developed in the paper is empirically tested for five transitive countries of Central and Eastern Europe. The model is estimated using both VAR and cointegration analyses. The model of error correction is also included in the empirical verification of the model.

Suggested Citation

  • Jaroslava Durčáková & Martin Mandel & Vladimír Tomšík, 2005. "Dynamický model nekryté úrokové parity (teorie a empirická verifikace v tranzitivních ekonomikách)
    [Dynamic model of uncovered interest rate parity (theory and empirical verification in the transit
    ," Politická ekonomie, University of Economics, Prague, vol. 2005(3), pages 291-304.
  • Handle: RePEc:prg:jnlpol:v:2005:y:2005:i:3:id:506:p:291-304
    as

    Download full text from publisher

    File URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=506.pdf
    Download Restriction: free of charge

    File URL: http://www.vse.cz/polek/506
    Download Restriction: free of charge

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Dan Felsenthal & Moshé Machover, 2005. "Voting power measurement: a story of misreinvention," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 25(2), pages 485-506, December.
    2. repec:cup:apsrev:v:48:y:1954:i:03:p:787-792_00 is not listed on IDEAS
    3. František Turnovec, 2007. "New Measure of Voting Power," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 1(1), pages 04-14, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:prg:jnlaop:v:2017:y:2017:i:2:id:575:p:70-84 is not listed on IDEAS

    More about this item

    Keywords

    monetary policy; exchange rate; portfolio theory; interest rate parity; transitive countries;

    JEL classification:

    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:prg:jnlpol:v:2005:y:2005:i:3:id:506:p:291-304. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Frantisek Sokolovsky). General contact details of provider: http://edirc.repec.org/data/uevsecz.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.