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Uncovered interest rate parity and the term structure

Author: Geert Bekaert; Min Wei; Yuhang Xing; National Bureau of Economic Research.
Publisher: Cambridge, MA. : National Bureau of Economic Research, ©2002.
Series: Working paper series (National Bureau of Economic Research), no. 8795.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
Abstract: This paper examines uncovered interest rate parity (UIRP) and the expectations hypotheses of the term structure (EHTS) at both short and long horizons. The statistical evidence against UIRP is mixed and is currency- not horizon-dependent. Economically, the deviations from UIRP are less pronounced than previously documented. The evidence against the EHTS is statistically more uniform, but, economically,  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Geert Bekaert; Min Wei; Yuhang Xing; National Bureau of Economic Research.
OCLC Number: 49752150
Notes: "February 2002."
Description: 1 online resource (31, T-9, A-16 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 8795.
Responsibility: Geert Bekaert, Min Wei, Yuhang Xing.

Abstract:

Abstract: This paper examines uncovered interest rate parity (UIRP) and the expectations hypotheses of the term structure (EHTS) at both short and long horizons. The statistical evidence against UIRP is mixed and is currency- not horizon-dependent. Economically, the deviations from UIRP are less pronounced than previously documented. The evidence against the EHTS is statistically more uniform, but, economically, actual spreads and theoretical spreads (spreads constructed under the null of the EHTS) do not behave very differently, especially at long horizons. Partly because of this, the deviations from the EHTS only play a minor role in explaining deviations from UIRP at long horizons. A random walk model for both exchange rates and interest rates fits the data marginally better than the UIRP-EHTS model.

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