کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7388592 | 1480985 | 2017 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Testing and interpreting uncovered interest parity in Russia
ترجمه فارسی عنوان
تست و تفسیر تقارن منافع کشف شده در روسیه
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
The failure of uncovered interest rate parity (UIP) is a well-known phenomenon of the last thirty years. UIP failure is more prominent in advanced economies than in emerging market economies. Typically, UIP estimation for an advanced economy generates a negative coefficient, meaning that a higher interest rate in advanced economy A will result in the appreciation of economy A's exchange rate. For emerging market economies, higher interest rates usually correspond to future depreciation, although this depreciation is not sufficient for UIP to hold. This paper shows that UIP holds in Russia better than in other emerging market economies when the UIP equation accounts for a constant risk premium. Consequently, there is no forward premium puzzle for Russian data for 2001-2014. To determine the results for Russia and to compare them with the results for other countries, we estimate UIP first for Russia and then for advanced and emerging market economies using seemingly unrelated regressions and panel data analysis. By comparing the profitability of static and dynamic carry trade strategies, we also confirm that in emerging market economies, risk premiums are often constant, whereas in advanced economies, risk premiums are almost always volatile. This may explain why UIP holds better in emerging market economies. It also enables us to formulate a hypothesis that macroeconomic policies of emerging market economies (e.g., the accumulation of large foreign exchange reserves) stabilize risk premiums.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Russian Journal of Economics - Volume 3, Issue 2, June 2017, Pages 158-173
Journal: Russian Journal of Economics - Volume 3, Issue 2, June 2017, Pages 158-173
نویسندگان
Dmitry Vasilyev, Vladimir Busygin, Sergey Busygin,