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Co-Movements in Long-Term Interest Rates and the Role of PPP-Based Exchange Rate Expectations

Co-Movements in Long-Term Interest Rates and the Role of PPP-Based Exchange Rate Expectations »

Source: Co-Movements in Long-Term Interest Rates and the Role of PPP-Based Exchange Rate Expectations

Volume/Issue: 1999/81

Series: IMF Working Papers

Author(s): Klaas Knot , and Jan Berk

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 1999

ISBN: 9781451850345

Keywords: interest parity relations, exchange rate expectations, exchange rate, bond, bond yields, exchange rates

This paper investigates international co-movement in bond yields by testing for uncovered interest parity (UIP). Existing work is supplemented by focusing on long instead of short-term interest rates and by employi...

Co-Movements in Long-Term Interest Rates and the Role of PPP-Based Exchange Rate Expectations

Co-Movements in Long-Term Interest Rates and the Role of PPP-Based Exchange Rate Expectations »

Volume/Issue: 1999/81

Series: IMF Working Papers

Author(s): Klaas Knot , and Jan Berk

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 1999

DOI: http://dx.doi.org/10.5089/9781451850345.001

ISBN: 9781451850345

Keywords: interest parity relations, exchange rate expectations, exchange rate, bond, bond yields, exchange rates

This paper investigates international co-movement in bond yields by testing for uncovered interest parity (UIP). Existing work is supplemented by focusing on long instead of short-term interest rates and by employi...

Nonlinearity in Deviations From Uncovered Interest Parity
			: An Explanation of the Forward Bias Puzzle

Nonlinearity in Deviations From Uncovered Interest Parity : An Explanation of the Forward Bias Puzzle »

Volume/Issue: 2006/136

Series: IMF Working Papers

Author(s): Giorgio Valente , Gene Leon , and Lucio Sarno

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2006

DOI: http://dx.doi.org/10.5089/9781451863963.001

ISBN: 9781451863963

Keywords: Forward bias puzzle, uncovered interest parity, exchange rate, equation, forward exchange, Foward Biaz Puzzle,

We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidenc...

Nonlinearity in Deviations From Uncovered Interest Parity

Nonlinearity in Deviations From Uncovered Interest Parity »

Source: Nonlinearity in Deviations From Uncovered Interest Parity : An Explanation of the Forward Bias Puzzle

Volume/Issue: 2006/136

Series: IMF Working Papers

Author(s): Giorgio Valente , Gene Leon , and Lucio Sarno

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2006

ISBN: 9781451863963

Keywords: Forward bias puzzle, uncovered interest parity, exchange rate, equation, forward exchange, Foward Biaz Puzzle,

We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidenc...