Uncovered Interest Rate Parity and the Term Structure

By Geert Bekaert, Min Wei, Yuhang Xing. 2002

189 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1626f261cd23a5078f75727b8f8dedc362557fe7

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Citations in the corpus

The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields (2007, methodology): “Specifically, we calculate tbese ratios for each of 25,000 replications of data generated using the bias-corrected, constrained VAR. Three features of these results are noteworthy.^ First, consistent with the results of Campbell and Shiller (1991), these ratios are always less tban unity, suggesting”
What Does the Yield Curve Tell Us about Exchange Rate Predictability? (2013, unknown): “12 Bekaert, Wei, and Xing (2007) and Wu (2007) are recent examples that attempt to jointly analyze the uncovered interest parity and the expectation hypothesis of the term structure of interest rates.”
Monetary Policy and Long-Horizon Uncovered Interest Parity (2004, background): “13 Indeed, only by restricting our sample to approximately correspond to Bekaert et al.’s sample (equivalent to, 1977Q1-1996Q3 at a quarterly frequency), thereby dropping the latest observations, can we obtain rejections of the unit slope coefficient. Note that this earlier period (with 5 year inter”
Testing Uncovered Interest Parity at Short and Long Horizons During the Post-Bretton Woods Era (2002, unknown): “Bekaert et al. (2002) have argued that the findings of long horizon UIP is specific to the post-1980's sample, on the basis of their estimates.”
Affine Term Structure Models (2010, unknown): “In particular, it holds for stochastic mean models (30) and stochastic volatility models (31) alike.”