The Risk-Adjusted Interest Rate Parity: Panel Data Evidence
The interest rate parity relationship is analysed with and without the inclusion of a time-varying risk premium. A panel data set of returns on Eurocurrency deposits is used to test for a panel unit root as well as for common movements in the risk premia across deposits denominated in different currencies. The results showed that each variable in the panel is stationary. The main empirical finding is that the UIP is not supported for any country in the sample except perhaps for Japan indicating support for the Risk-adjusted uncovered interest parity model but not for the UIP without a risk premium included. That evidence is then regarded as support for the Risk-adjusted UIP assumption underlying the Portfolio model of exchange rate determination.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): 57 (2004)
Issue (Month): 1 ()
|Contact details of provider:|| Postal: Via Garibaldi 4, 16124 Genova, Italy|
Phone: +39 010 27041
Fax: +39 010 2704222
Web page: http://www.ge.camcom.it/IT/Tool/Modulistica
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:ris:ecoint:0140. 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: (Angela Procopio)
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 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.