Long-run UIP holds even in the short run

Fabian Ackermann; Walt Pohl; Karl Schmedders

The failure of uncovered interest rate parity to explain short-term interest rate movements is well documented. We show that short-term changes in long-term interest rates do help to explain short-term exchange rate movements. The relationship gets stronger over our sample period, as the liquidity of the exchange rate market increases. We also show that controlling for time-varying exchange rate risk also helps to improve the fit of the relationship

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Year of publication:	2013
Authors:	Ackermann, Fabian ; Pohl, Walter ; Schmedders, Karl
Publisher:	Genève : Swiss Finance Inst.
Subject:	Wechselkurs \| Exchange rate \| Zinsparität \| Interest rate parity \| Zinsstruktur \| Yield curve \| Welt \| World

Extent:	Online-Ressource (24 S.) graph. Darst.
Series:	Research paper series / Swiss Finance Institute. - Geneva, ZDB-ID 2392286-2. - Vol. 13,31 Swiss Finance Institute Research Paper ; No. 13-31
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Other identifiers:	10.2139/ssrn.2272088 [DOI]
Classification:	F31 - Foreign Exchange ; F37 - International Finance Forecasting and Simulation ; G15 - International Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10009751157