Does Uncovered Interest Rate Parity Hold After All?

dc.contributor.author	Muhammad Omer
dc.contributor.author	Jakob de Haan
dc.contributor.author	Bert Scholtens
dc.date.accessioned	2020-11-06T05:55:47Z
dc.date.available	2020-11-06T05:55:47Z
dc.date.issued	2019
dc.identifier.uri	http://hdl.handle.net/123456789/16927
dc.description	PP. 49–72; ill	en_US
dc.description.abstract	This paper tests Uncovered Interest Rate Parity (UIP) using LIBOR rates for six major international currencies for the period January 2001 to December 2008. We find that UIP generally holds over a short-term (above 5-months) horizon for individual as well as groups of currencies. Our results suggest that it is important to consider the cross-correlation between currencies. We also find that “state dependence” plays an important role for currencies with a negative interest rate differential vis-à-vis the US dollar. This state dependence could also be instrumental in explaining exchange rate overshooting.	en_US
dc.language.iso	en	en_US
dc.publisher	© Lahore School of Economics, Volume 24;No.2	en_US
dc.relation.ispartofseries	Volume 24;No.2
dc.subject	UIP, LIBOR, system SUR, system DGLS, system DOLS	en_US
dc.title	Does Uncovered Interest Rate Parity Hold After All?	en_US
dc.type	Article	en_US