Testing uncovered interest parity at short and long horizons during the post-Bretton Woods era:
"The hypothesis that interest rate differentials are unbiased predictors of future exchange rate movements has been almost universally rejected in empirical studies. In contrast to previous studies, which have used short-horizon data, we test this hypothesis using interest rates on longer-matur...
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
National Bureau of Economic Research
2005
|
| Series: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11077 |
| Subjects: | |
| Online Access: | Volltext |
| Summary: | "The hypothesis that interest rate differentials are unbiased predictors of future exchange rate movements has been almost universally rejected in empirical studies. In contrast to previous studies, which have used short-horizon data, we test this hypothesis using interest rates on longer-maturity bonds for the U.S., Germany, Japan and Canada. The results of these long-horizon regressions are much more positive--the coefficients on interest differentials are of the correct sign, and most are closer to the predicted value of unity than to zero. These results are robust to the use of different data frequencies, sample periods, yield definitions, and base currencies. We appeal to an econometric interpretation of the results, which focuses on the presence of simultaneity in a cointegration framework"--National Bureau of Economic Research web site. |
| Physical Description: | 28 S. graph. Darst. |
Staff View
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| id | DE-604.BV019889645 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T20:08:29Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-013213672 |
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| physical | 28 S. graph. Darst. |
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| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Chinn, Menzie David Verfasser (DE-588)124080545 aut Testing uncovered interest parity at short and long horizons during the post-Bretton Woods era Menzie D. Chinn ; Guy Meredith Cambridge, Mass. National Bureau of Economic Research 2005 28 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11077 "The hypothesis that interest rate differentials are unbiased predictors of future exchange rate movements has been almost universally rejected in empirical studies. In contrast to previous studies, which have used short-horizon data, we test this hypothesis using interest rates on longer-maturity bonds for the U.S., Germany, Japan and Canada. The results of these long-horizon regressions are much more positive--the coefficients on interest differentials are of the correct sign, and most are closer to the predicted value of unity than to zero. These results are robust to the use of different data frequencies, sample periods, yield definitions, and base currencies. We appeal to an econometric interpretation of the results, which focuses on the presence of simultaneity in a cointegration framework"--National Bureau of Economic Research web site. Ökonometrisches Modell Foreign exchange Econometric models Interest rates Econometric models International finance Econometric models Meredith, Guy Verfasser aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11077 (DE-604)BV002801238 11077 http://papers.nber.org/papers/w11077.pdf kostenfrei Volltext |
| spellingShingle | Chinn, Menzie David Meredith, Guy Testing uncovered interest parity at short and long horizons during the post-Bretton Woods era National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Foreign exchange Econometric models Interest rates Econometric models International finance Econometric models |
| title | Testing uncovered interest parity at short and long horizons during the post-Bretton Woods era |
| title_auth | Testing uncovered interest parity at short and long horizons during the post-Bretton Woods era |
| title_exact_search | Testing uncovered interest parity at short and long horizons during the post-Bretton Woods era |
| title_full | Testing uncovered interest parity at short and long horizons during the post-Bretton Woods era Menzie D. Chinn ; Guy Meredith |
| title_fullStr | Testing uncovered interest parity at short and long horizons during the post-Bretton Woods era Menzie D. Chinn ; Guy Meredith |
| title_full_unstemmed | Testing uncovered interest parity at short and long horizons during the post-Bretton Woods era Menzie D. Chinn ; Guy Meredith |
| title_short | Testing uncovered interest parity at short and long horizons during the post-Bretton Woods era |
| title_sort | testing uncovered interest parity at short and long horizons during the post bretton woods era |
| topic | Ökonometrisches Modell Foreign exchange Econometric models Interest rates Econometric models International finance Econometric models |
| topic_facet | Ökonometrisches Modell Foreign exchange Econometric models Interest rates Econometric models International finance Econometric models |
| url | http://papers.nber.org/papers/w11077.pdf |
| volume_link | (DE-604)BV002801238 |
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