Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe
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- Ralf Brueggemann & Helmut Luetkepohl, 2005. "Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe," Economics Working Papers ECO2005/08, European University Institute.
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More about this item
KeywordsExpectations hypothesis of the term structure; uncovered interest rate parity; unit roots; cointegration analysis;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-10-29 (All new papers)
- NEP-EEC-2005-10-29 (European Economics)
- NEP-FMK-2005-10-29 (Financial Markets)
- NEP-IFN-2005-10-29 (International Finance)
- NEP-MAC-2005-10-29 (Macroeconomics)
- NEP-MON-2005-10-29 (Monetary Economics)
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