147
Views
0
CrossRef citations to date
0
Altmetric
Research Article

The term structure of uncovered interest parity in emerging markets

References

  • Bansal, R., and M. Dahlquist. 2000. “The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies.” Journal of International Economics 511: 115–144. doi:10.1016/S0022-1996(99)00039-2.
  • Bekaert, G., M. Wei, and Y. Xing. 2007. “Uncovered Interest Rate Parity and the Term Structure.” Journal of International Money and Finance 26: 1038–1069.
  • Berk, J., and K. Knot. 2001. “The Term Structure of UIP: Evidence from Survey Data.” Applied Economics Letters 87: 459–462. doi:10.1080/13504850010004036.
  • Bollerslev, T., and J. M. Wooldridge. 1992. “Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time-Varying Covariances.” Econometric Reviews 11: 143–172. doi:10.1080/07474939208800229.
  • Brunnermeier, M., S. Nagel, and L. Pedersen. 2009. “Carry Trades and Currency Crashes.” In NBER Macroeconomics Annual 2008, edited by D. Acemoglu, K. Rogoff, and M. Woodford, 313–347. University of Chicago Press.
  • Chinn, M. D., and S. Quayyum. 2013. Long Horizon Uncovered Interest Parity Re-Assessed. National Bureau of Economic Research: Working Paper Number 18482. https://www.nber.org/papers/w18482
  • Coulibaly, D., and H. Kempf. 2019. “Inflation Targeting and the Forward Bias Puzzle in Emerging Countries.” Journal of International Money and Finance 90: 19–33. doi:10.1016/j.jimonfin.2018.09.003.
  • Das, M., G. Gopinath, and S. Kalemli-Ozcan. 2020. “Risk-off Shocks and Preemptive Policies.” NBER Working Paper 29615, Cambridge, MA.
  • De Marco, F., M. Macchiavelli, and R. Valchev. 2021. “Beyond Home Bias: International Portfolio Holdings and Information Heterogeneity.” Review of Financial Studies, forthcoming.
  • Engle, R., and C. W. Granger. 1987. “Cointegration and Error Correction: Representation.” Estimation, and Testing, Econometrica 55: 251–276.
  • Engle, R., D. Lilien, and R. Robins. 1987. “Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model.” Econometrica 55: 391–407. doi:10.2307/1913242.
  • Engle, R. F., and B. S. Yoo. 1987. “Forecasting and Testing Cointegrated Systems.” Journal of Econometrics 35: 143–159. doi:10.1016/0304-4076(87)90085-6.
  • Farhi, E., and X. Gabaix. 2016. “Rare Disasters and Exchange Rates.” Quarterly Journal of Economics 131 (1): 1–52. doi:10.1093/qje/qjv040.
  • Ferreira, A. L., and M. A. León-Ledesma. 2007. “Does the Real Interest Parity Hypothesis Hold? Evidence for Developed and Emerging Markets.” Journal of International Money and Finance 263: 364–382. doi:10.1016/j.jimonfin.2006.11.003.
  • Francis, B. B., I. Hasan, and D. M. Hunter. 2002. “Emerging Market Liberalization and the Impact on Uncovered Interest Rate Parity.” Journal of International Money and Finance 216: 931–956. doi:10.1016/S0261-5606(02)00029-3.
  • Frankel, J., and J. Poonawala. 2010. “The Forward Market in Emerging Currencies: Less Biased than in Major Currencies.” Journal of International Money and Finance 293: 585–598. doi:10.1016/j.jimonfin.2009.11.004.
  • Froot, K., and R. Thaler. 1990. “Foreign Exchange.” Journal of Economic Perspectives 4: 179–192. doi:10.1257/jep.4.3.179.
  • Ilzetzki, E., C. Reinhart, and K. Rogoff. 2019. “Exchange Arrangements Entering the Twenty-First Century: Which Anchor Will Hold.” Quarterly Journal of Economics 134: 599–646. doi:10.1093/qje/qjy033.
  • Kalemli-Ozcan, S., and L. Varela. 2020. “Five Facts about the Uncovered Interest Parity.” NBER Working Paper W28923.
  • Loring, G., and B. Lucey. 2013. “An Analysis of Forward Exchange Rate Biasedness across Developed and Developing Country Currencies: Do Observed Patterns Persist Out of Sample?” Emerging Markets Review 17: 14–28. doi:10.1016/j.ememar.2013.07.001.
  • Mark, N., and Y. Moh. 2007. “Official Interventions and Occasional Violations of Uncovered Interest Parity in the Dollar-DM Market.” Journal of Empirical Finance 14: 499–522. doi:10.1016/j.jempfin.2006.10.002.
  • McCallum, B. T. 1994. “A Reconsideration of the Uncovered Interest Parity Relationship.” Journal of Monetary Economics 33: 105–132. doi:10.1016/0304-3932(94)90016-7.
  • Meredith, G., and M. D. Chinn. 2004. “Monetary Policy and Long Horizon Uncovered Interest Parity.” IMF Staff Papers 51: 409–430.
  • Poghosyan, T., E. Kocenda, and P. Zemcik. 2008. “Modeling Foreign Exchange Risk Premium in Armenia.” Emerging Markets Finance and Trade 44: 41–61. doi:10.2753/REE1540-496X440103.
  • Razzak, W. A. 2002. “The Forward Rate Unbiasedness Hypothesis Revisited.” International Journal of Financial Economics 7: 293–308. doi:10.1002/ijfe.193.
  • Singleton, K. 2014. “Investor Flows and the 2008 Boom/bust in Oil Prices.” Management Science 60: 300–318. doi:10.1287/mnsc.2013.1756.
  • Stavrakeva, V., and J. Tang. 2020. “Deviations from FIRE and Exchange Rates: A GE Theory of Supply and Demand.” working paper, London Business School and Federal Reserve Bank, Boston.
  • Verdelhan, A. 2010. “A Habit-based Explanation of the Exchange Rate Risk Premium.” Journal of Finance, LXV 1: 123–146. doi:10.1111/j.1540-6261.2009.01525.x.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.