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

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Year of publication:	[2023]
Authors:	Korkos, Ioannis ; Anderl, Christina
Publisher:	[S.l.] : SSRN
Subject:	Zinsparität \| Interest rate parity \| Kausalanalyse \| Causality analysis \| Schätzung \| Estimation

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Extent:	1 Online-Ressource (10 p)
Type of publication:	Book / Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.4540453 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014345499