کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10477146 930169 2005 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Uncovered interest parity: it works, but not for long
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Uncovered interest parity: it works, but not for long
چکیده انگلیسی
If an investor borrows in a low interest currency and invests in a high interest currency, the interest differential accrues in a lumpy manner, formally just like the dividend payments on a stock. The investor will receive the interest differential discretely at the point when a position is rolled over from one day to the next. A position that is not held open overnight receives no interest differential because intradaily interest rates are zero. Using a large data set of intradaily exchange rate data, we run uncovered interest parity (UIP) regressions over different short time intervals taking careful account of the settlement rules in the spot foreign exchange market. We find results that are supportive of the uncovered interest parity hypothesis over very short windows of data that span the time of the discrete interest payment. However, adding even a few hours to the span of the window destroys the positive uncovered interest parity results.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Economics - Volume 66, Issue 2, July 2005, Pages 349-362
نویسندگان
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