Template-Type: ReDIF-Paper 1.0
Author-Name: Huisman, R.
Author-Name-Last: Huisman
Author-Name-First: Ronald
Author-Name: Mahieu, R.J.
Author-Name-Last: Mahieu
Author-Name-First: Ronald
Author-Person: pma286
Author-Name: Mulder, A.
Author-Name-Last: Mulder
Author-Name-First: Arjen
Title: Do Exchange Rates Move in Line With Uncovered Interest Parity?
Abstract: 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.
Creation-Date: 2007-02-19
File-URL: https://repub.eur.nl/pub/8993/ERS-2007-012-F&A.pdf
File-Format: application/pdf
Series: RePEc:ems:eureri
Number: ERS-2007-012-F&A
Classification-JEL: E43, G3, M
Keywords: Exchange rates, Logit models, Uncovered interest rate parity
Handle: RePEc:ems:eureri:8993