Alper, C. Emre and Ardic, Oya Pinar and Fendoglu, Salih (2007): The Economics of Uncovered Interest Parity Condition for Emerging Markets: A Survey.
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Financial account liberalizations since the second half of the 1980s paved way for the burgeoning literature that investigates foreign exchange market efficiency in emerging markets via testing for the uncovered interest parity (UIP) condition. This paper provides a broad and critical survey on this recent literature as well as a general understanding on the topic through reviewing the related literature on developed economies where recent methodological advances in time series econometrics have provided favorable results, questioning the previously documented UIP puzzle. The literature on emerging markets suggests that these countries deserve a special treatment by taking into account the existence of additional types of risk premia, high inflation episodes, financial contagion, peso problem, simultaneity problem, asymmetricity, and the determination of de facto structural breaks.
|Item Type:||MPRA Paper|
|Original Title:||The Economics of Uncovered Interest Parity Condition for Emerging Markets: A Survey|
|Keywords:||Uncovered Interest Parity; Forward Premium Bias; Emerging Markets|
|Subjects:||F - International Economics > F3 - International Finance > F31 - Foreign Exchange|
|Depositing User:||Oya Pinar Ardic|
|Date Deposited:||15. Jul 2007|
|Last Modified:||12. Feb 2013 11:50|
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