Uncovered interest parity puzzle: does it really exist? (Journal article)

Mylonidis, N./ Semertzidou, M.

Most studies indicate the violation of the Uncovered Interest Parity (UIP) restrictions, and indeed, there are many who find a statistically significant and negative interest rate differential slope. This finding has now become known in international economics as the UIP puzzle. Using recent data on four major currencies vis-a-vis the US dollar and employing the Generalized Method of Moments (GMM) technique, our estimation results indicate the absence of any relationship between the interest rate differential and the expected change in the exchange rate, rather than the presence of the UIP puzzle.
Institution and School/Department of submitter: Πανεπιστήμιο Ιωαννίνων. Σχολή Οικονομικών και Κοινωνικών Επιστημών. Τμήμα Οικονομικών Επιστημών
Keywords: exchange,premium
URI: http://olympias.lib.uoi.gr/jspui/handle/123456789/11163
ISSN: 1350-4851
Link: <Go to ISI>://000279633400019
Appears in Collections:Άρθρα σε επιστημονικά περιοδικά ( Ανοικτά)

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