The exchange rate as nominal anchor: A test for Ukraine

► Deviations from uncovered interest parity are due to currency, convertibility and liquidity risk. ► Weekly data from Ukrainian and London Libor interbank markets are used. ► Exchange-rate-anchor stabilization policy eliminated the currency risk premium. ► The policy exacerbated the convertibility and liquidity premia in Ukraine. ► Decomposition of the contribution of policy, distortions and shocks in these premia.