We test Uncovered Interest Parity (UIP) using LIBOR interest rates for a wide range of maturities. In contrast to other … markets, LIBOR markets have minimal frictions which could lead to rejecting UIP. Using panel unit root test suggested by Palm …, Smeekes, and Urbain (2010) and cointegration techniques by Westerlund (2007), we find that UIP holds for short-term maturities …

This paper tests Uncovered Interest Rate Parity (UIP) using LIBOR rates for the major international currencies for the … period January 2001 to December 2008. We find that UIP generally holds over a short-term horizon for individual and groups of …

The uncovered interest rate parity does not hold in the foreign exchange market (UIP puzzle). I use the cross … Shaliastovich (2010), I provide a risk-based explanation for the violation of UIP. The empirical results, based on the monthly data …

According to the Uncovered Interest Parity (UIP) condition, interest rate differentials compensate for expected …. In the previous literature, there are many tests of UIP for industrialized countries, and, more recently, some tests for … tests UIP in a partially dollarized economy, Bolivia, where bank accounts only differ in terms of currency denomination (U …

This paper investigates the PPP and UIP conditions by taking into account possible nonlinearities as well as the role … follows. First, the nonlinear specification provides much stronger evidence for the PPP and UIP conditions, the estimated … exchange rate from the PPP- and UIP-implied equilibrium. …

This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal … that the nonlinear framework is more appropriate to capture the adjustment towards the UIP equilibrium, since the estimated …, UIP holds better in inflation targeting countries, where monetary authorities appear to achieve a higher degree of …

According to the Uncovered Interest Parity (UIP) condition, interest rate differentials compensate for expected …. In the previous literature, there are many tests of UIP for industrialized countries, and, more recently, some tests for … tests UIP in a partially dollarized economy, Bolivia, where bank accounts only differ in terms of currency denomination (U …