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Survey of Literature on Covered and Uncovered Interest Parities
Pasricha, Gurnain Kaur - Volkswirtschaftliche Fakultät, … - 2006
This paper explains the concepts of covered and uncovered interest parities and surveys related literature.
Persistent link: https://www.econbiz.de/10008595906
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Indian Capital Control Liberalization: Evidence from NDF Markets
Hutchison, Michael; Kendall, Jake; Pasricha, Gurnain; … - Volkswirtschaftliche Fakultät, … - 2010
forward (NDF) market. Then, using the self-exciting threshold autoregression methodology, we estimate a no-arbitrage band … deviations from CIP follow a random walk process. Outside the bands, profitable arbitrage opportunities exist and we estimate an … effectively restricting inflows; (3) arbitrage activity closes deviations from CIP when the threshold boundaries are exceeded in …
Persistent link: https://www.econbiz.de/10008565112
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Exploiting of fundamental interest rates inefficiency
Ivanov, Sergei - Volkswirtschaftliche Fakultät, … - 2014
cases they allow creation arbitrage strategies. However, it is possible to create such cases artificially. …
Persistent link: https://www.econbiz.de/10011110254
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Financial integration in emerging market economies
Pasricha, Gurnain - Volkswirtschaftliche Fakultät, … - 2008
This paper analyzes de-facto integration in some Emerging Market Economies based on behavior of deviations from Covered Interest Parity in the last 10 years. A price-based measure of de-facto integration provides crucial information for answering policy questions related to impact of capital...
Persistent link: https://www.econbiz.de/10011107674
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Financial integration in emerging market economies
Pasricha, Gurnain - Volkswirtschaftliche Fakultät, … - 2008
This paper analyzes de-facto integration in some Emerging Market Economies based on behavior of deviations from Covered Interest Parity in the last 10 years. A price-based measure of de-facto integration provides crucial information for answering policy questions related to impact of capital...
Persistent link: https://www.econbiz.de/10005617002
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Financial Integration in Emerging Market Economies
Pasricha, Gurnain - Volkswirtschaftliche Fakultät, … - 2007
This paper analyzes the de-facto integration in some Emerging Market Economies based on behavior of deviations from Covered Interest Parities in the last 10 years. It tests for modified market efficiency conditions in the presence of real world frictions and arrives at a single measure of...
Persistent link: https://www.econbiz.de/10005787008
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Investor Overconfidence and the Forward Discount Puzzle
Han, Bing; Hirshleifer, David; Wang, Tracy - Volkswirtschaftliche Fakultät, … - 2005
This paper offers an explanation for the forward discount puzzle in foreign exchange markets based upon investor overconfidence. In our model, overconfident individuals overreact to their information about future inflation differential. The spot and the forward exchange rates differentially...
Persistent link: https://www.econbiz.de/10005619814
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The Economics of Uncovered Interest Parity Condition for Emerging Markets: A Survey
Alper, C. Emre; Ardic, Oya Pinar; Fendoglu, Salih - Volkswirtschaftliche Fakultät, … - 2007
Financial account liberalizations since the second half of the 1980s paved way for the burgeoning literature that investigates foreign exchange market efficiency in emerging markets via testing for the uncovered interest parity (UIP) condition. This paper provides a broad and critical survey on...
Persistent link: https://www.econbiz.de/10005622190
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Uncovered Interest Parity: Cross-sectional Evidence
Lee, Byung-Joo - Volkswirtschaftliche Fakultät, … - 2007
This paper proposes a different empirical approach to estimate the UIP by analyzing a large number of cross-country bilateral exchange rates using cross-section analysis. Different from conventional time-series UIP, cross-sectional UIP is examined with single equation estimation and panel...
Persistent link: https://www.econbiz.de/10005789574
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Does the interest differential explain future exchange rate return? a re-examination of the UIP hypothesis for the Turkish economy
Levent, Korap - Volkswirtschaftliche Fakultät, … - 2007
/6, 51-71. Aslan, O. and Korap L. (2007). Structural VAR identification of the Turkish business cycles, International …
Persistent link: https://www.econbiz.de/10008497693