کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
963899 1479178 2013 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
I discovered the peso problem: Irving Fisher and the UIP puzzle
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
I discovered the peso problem: Irving Fisher and the UIP puzzle
چکیده انگلیسی

Irving Fisher was the first economist to posit what has come to be known as uncovered interest parity relation. He was also the first to offer a peso-problem type explanation for important episodes in which it was violated. After reviewing his theoretical and empirical work on this subject, we go on to reexamine both his data and several other bodies – two consisting of multi-country panel data and a third consisting of a two-century long time series for the United States and the United Kingdom. We find evidence in these data of the important role played by episodic phenomena in disturbing the UIP relation. Like Fisher, we find that the influence of such phenomena dissipates over time. Over the long term these errors prove to be less important and UIP receives empirical support.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 38, November 2013, Pages 5–17
نویسندگان
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