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 ...

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 ...

A taxa de câmbio é um assunto sempre presente nas discussões sobre política econômica brasileira, sendo a flutuação do câmbio um fator relevante aos agentes de mercado que recorrem aos contratos futuros de câmbio (forward) ...

The concept of covered interest parity imply that, in the absence of arbitrage barriers between two markets, the interest differential among two assets, identical in all relevant aspects, excepted by the reference currency, ...

Abstract Data from the USA and the UK markets is used to re-estimate the capability of the Federal Reserve and Bank of England to affect the interest rates. The evidence shows that these reactions are smaller than the ...

The uncovered interest parity postulates the relationship between two currencies over time should be given by the nominal interest rate differential. However, for over four decades, the forward exchange rate fails as a ...