Uncovered Interest Rate Parity Around Macroeconomic and (Geo)Political Events : Evidence from Time-Varying Granger Causality Tests
This paper applies novel time-varying Granger causality tests to the Uncovered Interest Rate Parity (UIP) relation for G10 currencies. In line with UIP, our findings indicate that long term interest rates Granger-cause exchange rates around periods of major macroeconomic and (geo)political events