全球智库信息集成服务系统(G2TT): Long Horizon Uncovered Interest Parity Re-Assessed

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w18482
来源ID	Working 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
URL	https://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.