Do Exchange Rates Move in Line With Uncovered Interest Parity?
2007-02-19
Research Paper
This publication is part of collection
Published by
Rotterdam School of Management (RSM) Erasmus University, Erasmus Research Institute of Management (ERIM)
| Related Files |
|---|
View PDF Version
(ERS-2007-012-F&A.pdf, 0.1MB) |
According to uncovered interest rate Parity (UIP), the expected relative change in an exchange rate is equal to the difference between interest rates between the two currencies. Empirically, UIP is frequently rejected. In this paper, we examine whether exchange rates have at least any tendency to move in the direction predicted by UIP and whether exchange rates tend to move more in line with UIP in periods with large interest rate differentials.
Keywords
Classifications using
Journal of Economic Literature (JEL) Classification System
- G3 : Corporate Finance and Governance
- E43 : Determination of Interest Rates; Term Structure of Interest Rates
- M : Business Administration and Business Economics; Marketing; Accounting
Automatically Extracted Terms
- interest
- exchange
- exchange rates
- interest rate parity
- exchange rate
- model
- interest parity
- parity
- interest rate differentials
- interest differentials
- estimate
- ronald
- differential
- period
- interest rate
- exchange rates move
- huisman
- series
- research
- paper
