Interest differentials and extreme support for uncovered interest rate parity

This paper addresses two findings from the empirical literature testing uncovered interest parity (UIP): (i) more favorable results when interest differentials (IDs) are large and (ii) instability across samples. Simulations demonstrate that explanations of the results using large IDs based on the h...

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Veröffentlicht in:	International review of economics & finance 2010-10, Vol.19 (4), p.723-732
Hauptverfasser:	Craighead, William D., Davis, George K., Miller, Norman C.
Format:	Artikel
Sprache:	eng
Schlagworte:	Estimating techniques Fama regression Forward premium Interest differentials Interest rate parity theorem Simulation Studies Uncovered interest parity Uncovered interest parity Forward premium Fama regression Interest differentials
Online-Zugang:	Volltext
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