An alternative approach to testing uncovered interest parity
This paper presents some evidence on the uncovered interest parity (UIP) hypothesis using an alternative model specification and quarterly data on three-month treasury bill rates denominated in eleven currencies vis-a-vis the dollar. Results of cointegration and coefficient restriction tests are strongly supportive of UIP in all cases. These results suggest that capital and foreign exchange markets have become highly integrated.
Volume (Year): 2 (1995)
Issue (Month): 12 ()
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