Uncovered Interest Parity in Crisis: The Interest Rate Defence in the 1990s

By Robert P. Flood, Andrew K. Rose. 2001

155 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/8052ba0f56c5760de3170aa0d46bd750264f0a55

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Citations in the corpus

Uncovered Interest Rate Parity Over the Past Two Centuries (2011, background): “Interestingly, the slope estimate becomes positive again when the regression focuses on the 1990s, a finding also documented in Flood and Rose (2001). Indeed, most of the traditional evidence on negative regression slopes is based on samples dominated by late 1970s and early 1980s, with the US dolla”
Uncovered Interest Rate Parity and the Term Structure (2002, background): “6 There appears to be some evidence that UIRP holds up better in developing countries (Bansal and Dahlquist, 2000) and in the 1990s (Flood and Rose, 2002).”
Concepts of equilibrium exchange rates (2005, background): “Flood and Rose (2001) for example find that the interest rate differential is correctly signed over the 1990s, although the coefficients are often small and occasionally insignificant. final point worth noting is that, in empirical terms, UIP by itself has not been very successful at predicting…”
Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly (2006, background): “This finding may explain why conventional UIP regressions tend to reject the UIP hypothesis less severely, when data from the 1990s are used to test it; see the discussions in Baillie and Bollerslev (2000) and Flood and Rose (2002) .”
Order Flow and Exchange Rate Dynamics in Brazil (2004, background): “This conclusion is connected to the so-called “forward premium puzzle”, referring to the fact that the empirical studies show that the future exchange rate does not reflect correctly the expected future exchange rate (Lewis, 1995; Bansal and Dahquist, 2000; Flood and Rose, 2002 ).”