Uncovered interest parity puzzle: Asymmetric responses

► We investigate asymmetric UIP using a large number of bilateral exchange rates. ► Bilateral UIP holds well in short-term, and it becomes weaker in longer maturities. ► Bilateral UIP slope estimates are less negative than those of US dollar UIP slope. ► Key currency Bias: UIP slope estimates are more negative for key currencies. ► UIP is asymmetric among key currencies depending on the state of forward premium.