Lee, Byung-Joo (2007): Uncovered Interest Parity: Cross-sectional Evidence.
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This paper proposes a different empirical approach to estimate the UIP by analyzing a large number of cross-country bilateral exchange rates using cross-section analysis. Different from conventional time-series UIP, cross-sectional UIP is examined with single equation estimation and panel regression model estimation. The exchange rates analyzed here include a broad spectrum of countries: developed, developing, low inflation and high inflation countries. Based on the empirical evidence, there does not appear to be a well-publicized UIP puzzle for cross-sectional UIP, and the slope estimates remain largely between zero and one throughout the sample periods, with a few exceptions. Evidence of UIP is more clear for low inflation countries than for high inflation countries. As interest rate maturity becomes longer, UIP relationship becomes weaker.
|Item Type:||MPRA Paper|
|Original Title:||Uncovered Interest Parity: Cross-sectional Evidence|
|Keywords:||Uncovered interest parity, Cross-sectional UIP|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy Macroeconomics
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
|Depositing User:||Byung-Joo Lee|
|Date Deposited:||09. Sep 2008 06:41|
|Last Modified:||12. Feb 2013 15:09|
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