Uncovered Interest Parity Revisited

By Annika Alexius. 2001

177 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/79f6987abbda708d5ac0a8a0c88e984476735220

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Citations in the corpus

The (partial) rehabilitation of interest rate parity in the floating rate era: Longer horizons, alternative expectations, and emerging markets (2006, background): “A finding consistent with this approach is provided by Alexius and Sellin (2001). They show that short-horizon holding period returns on long-term bonds do not exhibit bias in predicting short-horizon exchange rate changes.”
Fin de Siecle Real Interest Parity (2001, unknown): “causes. First, as the recent studies by Meredith and Chinn (1998) and Alexius (1998) report, UIP holds better at long than short horizons.”
A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets (2012, unknown): “Hence, the model matches the evidence on the violation of uncovered interest parity rate condition at the short end and a gradual reduction in the violations at the long end documented in the literature (see Alexius (2001), and Chinn and Meredith (2004)).”
Testing Uncovered Interest Parity at Short and Long Horizons During the Post-Bretton Woods Era (2002, unknown): “Alexius and Sellin (2001) argues that UIP holds for holding period returns on long term bonds, suggesting that it is the asset type, rather than horizon, that matters.”
Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive? (2004, unknown): “The interest rate parity is included in the forecast comparison exercise mainly because it has recently gathered empirical support at long horizons (Alexius, 2001; Chinn and Meredith, 2004), in contrast to the disappointing results at the shorter horizons .”