IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

A theoretical and empirical investigation on the validity of the uncovered interest parity

Listed author(s):
  • M.H.J. Blom
Registered author(s):

    In the empirical literature, not much support is found for the uncovered interest parity. Especially with free floating exchange rates, the forward rate is a biased predictor of the future exchange rate. This phenomenon can both be explained by an absence of rational expectations or by risk premia in the foreign exchange market. By means of survey data, this study demonstrates that both aspects are indeed important. On the one hand, survey expectations deviate systematically from future realisations. On the other hand, interest differentials do not fully reflect expected depreciations.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: no

    Paper provided by Netherlands Central Bank, Research Department in its series WO Research Memoranda (discontinued) with number 576.

    in new window

    Date of creation: 1999
    Handle: RePEc:dnb:wormem:576
    Contact details of provider: Postal:
    Postbus 98, 1000 AB Amsterdam

    Web page:

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:dnb:wormem:576. 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: (Rob Vet)

    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.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.