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

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.

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Year of publication:	2007-08
Authors:	Erdemlioglu, Deniz M

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Erdemlioglu, Deniz M (2007): A new Test of Uncovered Interest Rate Parity: Evidence from Turkey.
Classification:	F30 - International Finance. General ; C22 - Time-Series Models ; F41 - Open Economy Macroeconomics
Source:	BASE

Persistent link: https://www.econbiz.de/10015243721