Interest Parity
Interest-parity conditions during the era of the classical gold standard (1880–1914)—evidence from the investment demand for bills of exchange in Europe
... and interest rate (or at the time the discount ...of interest arbitrage” and the corresponding techniques were “described in detail in innumerable practical books and ...short-term interest by ...
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Eurozone Real Output and Covered Interest Parity Deviations: Can Stronger Real Output Lessen the Deviations?
... covered interest parity deviations have expanded over time in the EUR/USD cross currency basis swap market – the world’s largest basis swap market – even across the less erratic long-end of the basis swap ...
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Dynamic Financial Linkages of Japan and ASEAN Economies: An Application of Real Interest Parity
... real interest parity (RIP), this study provides empirical evidences concerning the dynamic linkages of real interest rates among ASEAN-5 and the mean reversion behaviors of real interest ...
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A Liquidity Based Resolution of the Uncovered Interest Parity Puzzle
... ABSTRACT ———————————————————————————————————— A new monetary theory is set out to resolve the “Uncovered Interest Parity (UIP)” Puzzle. It explores the possibility that liquidity properties of money and ...
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Arbitrage, Covered Interest Parity and Cointegration Analysis on the NTD/USD Forex Market Revisited
... applies interest parity theory including covered interest parity (CIP) to examine the 30-, 60-, 90-, and 180-day maturities for the new Taiwan dollar/US dollar (NTD/USD) foreign exchange (FX) ...
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European banks US dollar liabilities: beyond the covered interest parity
... This article provides an update of the determinants of dollar-denominated long-term debt issuance by euro area banks, with a particular focus on deviations from Covered Interest Parity (CIP).These ...
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Uncertainty and the Uncovered Interest Parity Condition: How Are They Related?
... There is a well-established literature that documents the failure of the uncovered interest parity (UIP) condition. While a host of factors have been examined as possible reasons behind this result, the ...
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Wider Covered Interest Parity Deviations and Lower Stock Returns: Evidence from the Eurozone
... Financial economists have in recent times begun to analyze the reasons for and determinants of the non- zero cross-currency basis swap spread, a measure of the extent of deviations from covered interest ...
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Does the uncovered interest parity hold in short horizons?
... of interest in policy design process is to reveal the fundamental building blocks of exchange rates and interest rates in international macroeconomics, and in turn such a policy debate based on theoretical ...
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The Economics of Uncovered Interest Parity Condition for Emerging Markets: A Survey
... Financial account liberalizations since the second half of the 1980s paved way for the burgeoning literature that investigates foreign exchange market efficiency in emerg- ing markets via testing for the uncovered ...
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Forward Bias, Uncovered Interest Parity and Related Puzzles
... Uncovered interest parity is widely used in open economy macroeconomics. But when exchange rates are flexible the evidence rejects UIP and implies forward bias. There are many suggested explanations for ...
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Do Foreign Exchange Forecasters Believe in Uncovered Interest Parity?
... Uncovered Interest Parity (UIP) is typically rejected in empirical studies, but this letter finds nevertheless that Consensus Forecasts of the exchange rate for Central and Eastern European countries are ...
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Dynamic financial linkages among the Asia Pacific economies: an empirical assessment of real interest parity condition
... Real Interest Parity (RIP) has been considered as the necessary rule to justify the exchange rates regime and the extent of financial integration among ...real interest rates among ASEAN-5 ...real ...
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Uncovered Interest Parity in Central and Eastern Europe: Sample, Expectations and Structural Breaks
... Abstract: This paper examines the empirical validity of the hypothesis of uncovered interest parity (UIP) using data from five Central and Eastern European countries with floating exchange rates for the ...
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The forward premium puzzle is closely related to the failure of uncovered interest parity
... uncovered interest parity to hold, and the phenomenon of forward rate ...Uncovered interest parity states that, if covered interest parity holds, then the forward discount and ...
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Uncovered Interest Parity: Cross sectional Evidence
... uncovered interest parity ...its interest rate is higher than the foreign country’s, due to international capital ...domestic interest rate is higher than the foreign interest rate, its ...
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Real Interest Parity in the EU and the Consequences for Euro Area Membership: Panel Data Evidence, 1979 2005 ESRI WP183 March 2007
... Real interest parity (RIP) arises where real rates of return on similar assets are the same across ...power parity (PPP) in the goods market it can also be considered as a general indicator of ...
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The Swiss Franc exchange rate and deviations from uncovered interest parity: Global vs domestic factors
... Swiss interest rate puzzle, the fact that excess returns on the Swiss franc over the last seventy years are persistently negative, marking a gross violation of uncovered interest ...Swiss interest ...
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Financial Integration of East Asian Economies: Evidence from Real Interest Parity
... real interest rate parity ...real interest rate towards parity—provided an indication of whether countries are financially integrated wit other financial ...international parity ...
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Nonlinearity in deviations from uncovered interest parity: an explanation of the forward bias puzzle
... international parity conditions is a function of the size of the deviation from the parity conditions ...the interest di¤erential, modelled according to a jump-di¤usion process regulated by ...
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