کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
972648 1479793 2012 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Uncovering uncovered interest parity during the classical gold standard era, 1888–1905
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Uncovering uncovered interest parity during the classical gold standard era, 1888–1905
چکیده انگلیسی

This paper examines the uncovered interest parity hypothesis using the dollar-sterling exchange rate during the gold standard era. This period is interesting because the exchange rate was seasonal, because transactions costs were high, and because occasions when uncovered interest rate speculation did not occur can be identified. The paper shows UIP speculation frequently did not occur, that speculation was most active in response to expected exchange rate changes not interest differentials when it did occur, and that profitability varied systematically with interest rate differentials. The estimated UIP equations are substantially improved by distinguishing occasions when sterling was borrowed not lent.


► Uncovered dollar-sterling interest speculation was profitable during the gold standard era.
► After correcting biases, the coefficient in the 60-day dollar-sterling UIP regression is 0.5.
► An uncovered interest parity model is improved when transactions costs are included.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The North American Journal of Economics and Finance - Volume 23, Issue 1, January 2012, Pages 20–37
نویسندگان
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