A new Test of Uncovered Interest Rate Parity: Evidence from Turkey
This paper examines if uncovered interest rate parity condition holds for Turkey. In this paper, an empirical analysis is provided for the dates between December 2001 and June 2007 by using monthly data for Turkey and the U.S. Main finding is that UIP does not hold for Turkey. In addition to this, UIP deviation goes up over time, AR (1) fits the data well, there is an ARCH effect and GARCH (1,1) specification is significant for Turkish case.
|Date of creation:||Aug 2007|
|Date of revision:|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- John Harvey, 2003.
"Deviations from Uncovered Interest Rate Parity: A Post Keynesian Explanation,"
200301, Texas Christian University, Department of Economics.
- John T. Harvey, 2004. "Deviations from uncovered interest rate parity: a Post Keynesian explanation," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 27(1), pages 19-35, October.
- Robert P. Flood & Andrew K. Rose, 2002. "Uncovered Interest Parity in Crisis," IMF Staff Papers, Palgrave Macmillan, vol. 49(2), pages 6.
- repec:use:tkiwps:0616 is not listed on IDEAS
- James R. Lothian & Liuren Wu, 2003.
"Uncovered Interest Rate Parity Over the Past Two Centuries,"
- Lothian, James R. & Wu, Liuren, 2011. "Uncovered interest-rate parity over the past two centuries," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 448-473, April.
- Daniel L. Thornton, 2007. "Resolving the unbiasedness and forward premium puzzles," Working Papers 2007-014, Federal Reserve Bank of St. Louis.
- Flood, Robert P & Rose, Andrew K, 1996.
"Fixes: Of the Forward Discount Puzzle,"
The Review of Economics and Statistics,
MIT Press, vol. 78(4), pages 748-52, November.
- Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 13-47, March.
- Chinn, Menzie D., 2006. "The (partial) rehabilitation of interest rate parity in the floating rate era: Longer horizons, alternative expectations, and emerging markets," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 7-21, February.
- Bennett T. McCallum, 1992.
"A Reconsideration of the Uncovered Interest Parity Relationship,"
NBER Working Papers
4113, National Bureau of Economic Research, Inc.
- McCallum, Bennett T., 1994. "A reconsideration of the uncovered interest parity relationship," Journal of Monetary Economics, Elsevier, vol. 33(1), pages 105-132, February.
- 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.
- Ralf Brüggemann & Helmut Lütkepohl, 2005. "Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe," SFB 649 Discussion Papers SFB649DP2005-035, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Chaboud, Alain P. & Wright, Jonathan H., 2005.
"Uncovered interest parity: it works, but not for long,"
Journal of International Economics,
Elsevier, vol. 66(2), pages 349-362, July.
- Alain P. Chaboud & Jonathan H. Wright, 2003. "Uncovered interest parity: it works, but not for long," International Finance Discussion Papers 752, Board of Governors of the Federal Reserve System (U.S.).
- Peter Isard, 2006. "Uncovered Interest Parity," IMF Working Papers 06/96, International Monetary Fund.
- Baillie, Richard T. & Bollerslev, Tim, 2000. "The forward premium anomaly is not as bad as you think," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 471-488, August.
- Charles Engel, 1995.
"The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence,"
NBER Working Papers
5312, National Bureau of Economic Research, Inc.
- Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
- Guy Meredith & Menzie D. Chinn, 1998. "Long-Horizon Uncovered Interest Rate Parity," NBER Working Papers 6797, National Bureau of Economic Research, Inc.
- Marey Philip S., 2004. "Uncovered interest parity tests and exchange rate expectations," Research Memorandum 021, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Bekaert, Geert & Wei, Min & Xing, Yuhang, 2007.
"Uncovered interest rate parity and the term structure,"
Journal of International Money and Finance,
Elsevier, vol. 26(6), pages 1038-1069, October.
- Geert Bekaert & Min Wei & Yuhang Xing, 2002. "Uncovered Interest Rate Parity and the Term Structure," NBER Working Papers 8795, National Bureau of Economic Research, Inc.
- Philip Marey, 2004. "Uncovered interest parity tests and exchange rate expectations," Computing in Economics and Finance 2004 54, Society for Computational Economics.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:10787. 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: (Joachim Winter)
If references are entirely missing, you can add them using this form.