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Testing for uncovered interest parity conditions in a small open economy: A state space modelling approach

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  • Guna Raj Bhatta
  • Rabindra Nepal
  • Charles Harvie
  • Kankesu Jayanthakumaran

Abstract

This is the first study to apply the Kalman filter analysis based on state space modelling to test for the existence of the uncovered interest parity (UIP) condition and simulate the risk premium between the pegged currencies of Nepal and India. We find significant evidence that the UIP condition does not hold in Nepal. Simultaneously, a negative risk premium of about 12 per cent exists on average based on our model calibration using the monthly and the annual time-series data. The Kalman filter simulations further confirm our modelling assumptions that the ordinary least squares-based risk premium estimation is substantially biased in both sign and magnitude. The presence of a negative risk premium provides three key policy implications: a preference to hold foreign assets by residents, the expectation of a future currency devaluation, and obstacles to attracting foreign deposits.

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  • Guna Raj Bhatta & Rabindra Nepal & Charles Harvie & Kankesu Jayanthakumaran, 2021. "Testing for uncovered interest parity conditions in a small open economy: A state space modelling approach," CAMA Working Papers 2021-56, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    • Handle: RePEc:een:camaaa:2021-56
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    Keywords

    uncovered interest parity; State Space Model; Kalman filter; risk premium;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions

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