全球智库信息集成服务系统(G2TT): DP15872 A Reconsideration of the Failure of Uncovered Interest Parity for the U.S. Dollar

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP15872
	DP15872 A Reconsideration of the Failure of Uncovered Interest Parity for the U.S. Dollar
	Charles Engel; Ekaterina Kazakova; Mengqi Wang; Nan Xiang
发表日期	2021-03-02
出版年	2021
语种	英语
摘要	We re-examine the time-series evidence for failures of uncovered interest rate parity on short-term deposits for the U.S. dollar versus major currencies of developed countries at short-, medium- and long-horizons. The evidence that interest rate differentials predict foreign exchange risk premiums is fragile. The relationship between interest rates and excess returns is not stable over time and disappears altogether when nominal interest rates are near the zero-lower bound. However, we do find evidence that year-on-year inflation rate differentials consistently predict excess returns – when the U.S. dollar y.o.y. inflation rate has been relatively high, subsequent returns on U.S. deposits tend to be high. We interpret this evidence as being consistent with hypotheses that posit that markets do not fully react initially to predictable changes in future monetary policy. Interestingly, the predictive power of relative y.o.y. inflation only begins in the mid-1980s when central banks began to target inflation more consistently and continues in the post-ZLB period when interest rates lose their primacy as a policy instrument. We address the problems of parameter instability and small-sample bias that plague the conventional Fama (1984) test, while acknowledging these concerns might remain even in our new findings.
主题	International Macroeconomics and Finance
关键词	Interest parity Fama regression Foreign exchange risk premium
URL	https://cepr.org/publications/dp15872
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/544864
推荐引用方式 GB/T 7714	Charles Engel,Ekaterina Kazakova,Mengqi Wang,et al. DP15872 A Reconsideration of the Failure of Uncovered Interest Parity for the U.S. Dollar. 2021.