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Deviations from covered interest parity: the role played by fundamentals, financial and political turmoils and market frictions
(2019-05)
Recent works for mature markets on covered interest parity suggest that deviations are mean reverting but persistent particularly after 2008 crisis (Du et al., 2018). Our study aims to contribute to the literature by ...
Real interest rate parity
(El Colegio de México, Centro de Estudios Económicos, 2012)
Deviations from the covered interest parity: The role of fundamentals, financial and political turmoil, and market frictions
(Lociedade Brasileira de Finanças, 2021)
IS IT RISK?: AN AUTOMATED APPROACH TO EXPLAIN THE EX ANTE UIP DEVIATIONS OF BRAZIL
(Instituto de Economía, Pontificia Universidad Católica de Chile, 2009)
ARGENTINEAN REAL EXCHANGE RATE 1900-2006: TESTING PURCHASING POWER PARITY THEORY
(Universidad de Chile. Departamento de Economía, 2008)
Argentinean Real Exchange Rate 1900-2006: Testing Purchasing Power Parity Theory
(Universidad de Chile. Facultad de Economía y Negocios, 2008-06)
This paper tests the Purchasing Power Parity Theory of Exchange Rates dealing
with Argentinean data for the period 1900-2006. This is equivalent to testing if
the Real Exchange Rate is a stationary variable or if its ...
On uncovered interest parity puzzles: excess return, asymmetry and crash risk
(Universidade Federal de Minas GeraisUFMG, 2017-01-19)
This dissertation evaluates implications of the uncovered interest parity (UIP) equation for the pound/dollar nominal exchange rate variation and for the return of the carry trade investment strategy. Conditioned on interest ...
Estudo das relações de paridade de juros para a economia brasileira no período recente
(2002-09-16)
The aim of this paper is to test whether the correction of the interest parity conditions by market expectancy (uncovered parity) and by risk premium (covered and uncovered parity) results in a (close) econometric validation ...