Tests of real interest parity in international currency markets

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Parikh, A. (1994) Tests of real interest parity in international currency markets. Journal of Economics, 59 (2). pp. 167-191. ISSN 0931-8658

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Abstract

The purpose of this paper is to examine the behavior of real bilateral exchange rates for major currencies and test the hypothesis of real uncovered interest parity with risk premia, and forward looking expectations. It is plausible that the hypothesis of rational expectations cannot be rejected given the unit root nonstationarity of real exchange rates but it is not unlikely that unit root nonstationarity may be due to rational expectations in foreign exchange markets.

Item Type:	Article
Faculty \ School:	Faculty of Social Sciences > School of Social Work
Related URLs:	http://www.scopus.com/inward/record.url?...
Depositing User:	Pure Connector
Date Deposited:	22 Nov 2013 15:00
Last Modified:	24 Oct 2022 05:03
URI:	https://ueaeprints.uea.ac.uk/id/eprint/44465
DOI:	10.1007/BF01238968

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