Uncovered interest parity: it works, but not for long

By A. Chaboud, Jonathan H. Wright. 2003

180 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/0d87695626da78e9dacfc34807ea3ffafa442806

Citations in the corpus

• The large scale asset purchases had large international effects (2010, unknown): “11 performs much better for target zone exchange rates where expectations are tied down; Chaboud and Wright (2005) have shown that UIP holds over very short horizons; and—most relevant for the present study—Chinn and Meredith (2004) and Chinn (2006) have shown that UIP holds over very long horizons.”
• Testing Uncovered Interest Parity at Short and Long Horizons During the Post-Bretton Woods Era (2002, unknown): “Interestingly, Chaboud and Wright (2003) find that UIP holds for major currencies at extremely high frequencies, such as intraday.”
• A Habit-Based Explanation of the Exchange Rate Risk Premium (2010, unknown): “Chaboud & Wright (2005) show that U.I.P is valid at very short horizons but is rejected for horizons above a few hours.”