Verfügbarkeit: Nonlinearity in Deviations From Uncovered Interest Parity

Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle

We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less indicative o...

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1. Verfasser:	Valente, Giorgio (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Washington, D.C International Monetary Fund 2006
Schriftenreihe:	IMF Working Papers Working Paper No. 06/136
Online-Zugang:	UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext
Zusammenfassung:	We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less indicative of major market inefficiencies than previously thought. Monte Carlo experiments allow us to reconcile these results with the large empirical literature on the forward bias puzzle since we show that, if the true process of UIP deviations were of the nonlinear form we consider, estimation of conventional spot-forward regressions would generate the anomalies documented in previous research
Beschreibung:	1 Online-Ressource (44 p)
ISBN:	1451863969 9781451863963

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spelling	Valente, Giorgio Verfasser aut Nonlinearity in Deviations From Uncovered Interest Parity An Explanation of the Forward Bias Puzzle Valente, Giorgio Washington, D.C International Monetary Fund 2006 1 Online-Ressource (44 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 06/136 We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less indicative of major market inefficiencies than previously thought. Monte Carlo experiments allow us to reconcile these results with the large empirical literature on the forward bias puzzle since we show that, if the true process of UIP deviations were of the nonlinear form we consider, estimation of conventional spot-forward regressions would generate the anomalies documented in previous research Online-Ausg Leon, H. L. Sonstige oth Sarno, Lucio Sonstige oth http://elibrary.imf.org/view/IMF001/04967-9781451863963/04967-9781451863963/04967-9781451863963.xml Verlag URL des Erstveröffentlichers Volltext
spellingShingle	Valente, Giorgio Nonlinearity in Deviations From Uncovered Interest Parity An Explanation of the Forward Bias Puzzle
title	Nonlinearity in Deviations From Uncovered Interest Parity An Explanation of the Forward Bias Puzzle
title_auth	Nonlinearity in Deviations From Uncovered Interest Parity An Explanation of the Forward Bias Puzzle
title_exact_search	Nonlinearity in Deviations From Uncovered Interest Parity An Explanation of the Forward Bias Puzzle
title_exact_search_txtP	Nonlinearity in Deviations From Uncovered Interest Parity An Explanation of the Forward Bias Puzzle
title_full	Nonlinearity in Deviations From Uncovered Interest Parity An Explanation of the Forward Bias Puzzle Valente, Giorgio
title_fullStr	Nonlinearity in Deviations From Uncovered Interest Parity An Explanation of the Forward Bias Puzzle Valente, Giorgio
title_full_unstemmed	Nonlinearity in Deviations From Uncovered Interest Parity An Explanation of the Forward Bias Puzzle Valente, Giorgio
title_short	Nonlinearity in Deviations From Uncovered Interest Parity
title_sort	nonlinearity in deviations from uncovered interest parity an explanation of the forward bias puzzle
title_sub	An Explanation of the Forward Bias Puzzle
url	http://elibrary.imf.org/view/IMF001/04967-9781451863963/04967-9781451863963/04967-9781451863963.xml
work_keys_str_mv	AT valentegiorgio nonlinearityindeviationsfromuncoveredinterestparityanexplanationoftheforwardbiaspuzzle AT leonhl nonlinearityindeviationsfromuncoveredinterestparityanexplanationoftheforwardbiaspuzzle AT sarnolucio nonlinearityindeviationsfromuncoveredinterestparityanexplanationoftheforwardbiaspuzzle

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