Persistent deviations from Uncovered Interest Rate Parity (UIRP) represent a central puzzle in international finance … (VAR) framework to capture the endogenous interactions between change in the interest rate differentials, foreign exchange … returns consistent with the Uncovered Equity Parity (UEP) hypothesis. The results reveal that traditional interest rate …

This paper models the month-over-month change in euro-denominated (EUR) long-term interest rate swap yields. It shows … that the change in the short-term interest rate has an economically and statistically significant effect on the change in … long-term government bond yields and long-term market interest rates, primarily through their effects on the current short …

This paper examines the role of long-run and cyclical components of interest rate differentials in explaining the …

stochastic evolution of an entire yield curve by explaining the interest rate dynamics in continuous time under no …. Additionally, in contrast to widely studied US treasuries, negative interest rates are observed for AAA Euro Bonds during the …