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A nonparametric general equilibrium estimation of covered interest rate arbitrage for western European countries during the pre-euro period: a behavioural perspective

Lin, Hsiou-Wei; Tai, Yun Chiang - In: Applied financial economics 19 (2009) 15, pp. 1223-1238

Persistent link: https://www.econbiz.de/10008268724

A nonparametric general equilibrium estimation of covered interest rate arbitrage for western European countries during the pre-euro period: a behavioural perspective

Lin, Hsiou-Wei; Tai, Yun Chiang - In: Applied financial economics 19 (2009) 13-15, pp. 1223-1238

Persistent link: https://www.econbiz.de/10008284580

A nonparametric general equilibrium estimation of covered interest rate arbitrage for western European countries during the pre-euro period : a behavioural perspective

Lin, Hsiou-Wei; Tai, Yun Chiang - In: Applied financial economics 19 (2009) 13/15, pp. 1223-1237

In this article, the nonparametric threshold autoregressive model for the Covered Interest Rate Parity (CIP) deviation is proposed. We provide a threshold estimation under the general equilibrium framework. The Keynes-Einzig conjecture based on market observation is verified. Within thresholds,...

Persistent link: https://www.econbiz.de/10003886033