A new Test of Uncovered Interest Rate Parity: Evidence from Turkey

Erdemlioglu, Deniz M (2007): A new Test of Uncovered Interest Rate Parity: Evidence from Turkey.

Abstract

This paper examines if uncovered interest rate parity condition holds for Turkey. In this paper, an empirical analysis is provided for the dates between December 2001 and June 2007 by using monthly data for Turkey and the U.S. Main finding is that UIP does not hold for Turkey. In addition to this, UIP deviation goes up over time, AR (1) fits the data well, there is an ARCH effect and GARCH (1,1) specification is significant for Turkish case.

• Item Type: MPRA Paper
• Language: English
• Keywords: Uncovered Interest Rate Parity; Unit Root Test; AR Process; ARCH and GARCH Models
• Subjects: F - International Economics > F3 - International Finance > F30 - General; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy Macroeconomics

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