| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8795 |
| 来源ID | Working Paper 8795 |
| Uncovered Interest Rate Parity and the Term Structure | |
| Geert Bekaert; Min Wei; Yuhang Xing | |
| 发表日期 | 2002-02-21 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | This paper examines uncovered interest rate parity (UIRP) and the expectations hypotheses of the term structure (EHTS) at both short and long horizons. The statistical evidence against UIRP is mixed and is currency- not horizon-dependent. Economically, the deviations from UIRP are less pronounced than previously documented. The evidence against the EHTS is statistically more uniform, but, economically, actual spreads and theoretical spreads (spreads constructed under the null of the EHTS) do not behave very differently, especially at long horizons. Partly because of this, the deviations from the EHTS only play a minor role in explaining deviations from UIRP at long horizons. A random walk model for both exchange rates and interest rates fits the data marginally better than the UIRP-EHTS model. |
| 主题 | International Economics ; International Finance |
| URL | https://www.nber.org/papers/w8795 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566402 |
| 推荐引用方式 GB/T 7714 | Geert Bekaert,Min Wei,Yuhang Xing. Uncovered Interest Rate Parity and the Term Structure. 2002. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w8795.pdf（570KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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