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Testing uncovered interest parity at short and long horizons during the post-Bretton Woods era

Author: Menzie David Chinn; Guy Meredith; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, ©2005.
Series: Working paper series (National Bureau of Economic Research), no. 11077.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
"The hypothesis that interest rate differentials are unbiased predictors of future exchange rate movements has been almost universally rejected in empirical studies. In contrast to previous studies, which have used short-horizon data, we test this hypothesis using interest rates on longer-maturity bonds for the U.S., Germany, Japan and Canada. The results of these long-horizon regressions are much more positive--the  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Menzie David Chinn; Guy Meredith; National Bureau of Economic Research.
OCLC Number: 58564380
Notes: "January 2005."
Description: 1 online resource (28 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 11077.
Responsibility: Menzie D. Chinn, Guy Meredith.

Abstract:

"The hypothesis that interest rate differentials are unbiased predictors of future exchange rate movements has been almost universally rejected in empirical studies. In contrast to previous studies, which have used short-horizon data, we test this hypothesis using interest rates on longer-maturity bonds for the U.S., Germany, Japan and Canada. The results of these long-horizon regressions are much more positive--the coefficients on interest differentials are of the correct sign, and most are closer to the predicted value of unity than to zero. These results are robust to the use of different data frequencies, sample periods, yield definitions, and base currencies. We appeal to an econometric interpretation of the results, which focuses on the presence of simultaneity in a cointegration framework"--National Bureau of Economic Research web site.

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