| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28420 |
| 来源ID | Working Paper 28420 |
| 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 | 2021-02-01 |
| 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. However, we caution not to rule out the possibility that excess returns are not predictable at all. |
| 主题 | International Economics ; International Finance ; International Macroeconomics |
| URL | https://www.nber.org/papers/w28420 |
| 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/586092 |
| 推荐引用方式 GB/T 7714 | Charles Engel,Ekaterina Kazakova,Mengqi Wang,et al. A Reconsideration of the Failure of Uncovered Interest Parity for the U.S. Dollar. 2021. |
| 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 | ||
| w28420.pdf（12131KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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