G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w18482
来源IDWorking Paper 18482
Long Horizon Uncovered Interest Parity Re-Assessed
Menzie D. Chinn; Saad Quayyum
发表日期2012-10-18
出版年2012
语种英语
摘要We review the evidence for both short and long horizon uncovered interest parity (UIP) and rational expectations over the period up to 2011, extending the sample examined in Chinn and Meredith (2004) by nearly a decade. We find that the joint hypothesis of UIP and rational expectations (known as the unbiasedness hypothesis) holds better at long horizons than at short, although the effect is somewhat weaker than documented in Chinn and Meredith (2004). Using the formula for the slope coefficient, we identify potential sources for the difference in slope coefficients at different horizons. We attribute our weaker findings for long horizon unbiasedness for certain currencies partly to the advent of extraordinarily low interest rates associated with the zero interest bound in Japan and Switzerland.
主题International Economics ; International Finance
URLhttps://www.nber.org/papers/w18482
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/576156
推荐引用方式
GB/T 7714
Menzie D. Chinn,Saad Quayyum. Long Horizon Uncovered Interest Parity Re-Assessed. 2012.
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
w18482.pdf(794KB)智库出版物 限制开放CC BY-NC-SA浏览
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Menzie D. Chinn]的文章
[Saad Quayyum]的文章
百度学术
百度学术中相似的文章
[Menzie D. Chinn]的文章
[Saad Quayyum]的文章
必应学术
必应学术中相似的文章
[Menzie D. Chinn]的文章
[Saad Quayyum]的文章
相关权益政策
暂无数据
收藏/分享
文件名: w18482.pdf
格式: Adobe PDF
此文件暂不支持浏览

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。