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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. |
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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 |
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