UIRP

(redirected from Uncovered Interest Rate Parity)
AcronymDefinition
UIRPUncovered Interest Rate Parity
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References in periodicals archive ?
An analysis of the recent appreciation of sterling shows that almost the entire 14.5 per cent appreciation experienced between March 2013 and July 2014 can be explained by applying the changes in market expectations of the future path of monetary policy in the UK and its biggest trading partners to a simple uncovered interest rate parity condition within our structural model.
[15.] Ilut, Cosmin (2009), Ambiguity aversion: implications for the uncovered interest rate parity puzzle, [http://www.stanford.edu/group/SITE/archive/SITE_2009/segment_3/ segment_3_papers/ilut.pdf], accessed 19 March 2013
Empirically, uncovered interest rate parity between countries can be tested in the following form:
At last, I consider shocks to the uncovered interest rate parity. Those shocks play an important role for two reasons.
(3) The implication is that the purchasing power parity condition is likely to be strongly related to the uncovered interest rate parity. There is a large empirical literature that points to the adequacy of testing both parities jointly (Johansen and Juselius 1992; Juselius 1995; Camarero and Tamarit 1996; Juselius and MacDonald 2004).
In analyzing exchange rate movements, one important concept is uncovered interest rate parity (UIP), by which the movement in the exchange rate expected by the market must equal the interest rate differential between the two countries.
Cointegration tests applied to simple (bivariate) versions of the model did not provide support for the uncovered interest rate parity (UIP) or purchasing power parity (PPP) conditions in almost all the countries of the sample.
According to the uncovered interest rate parity condition (UIP) the two factors should cancel each other out as depicted by eq.
A simple way to assess an exchange rate band's credibility is based on uncovered interest rate parity.(22) Uncovered interest rate parity states that under perfect international capital mobility and risk-neutral speculation, the differential between nominal domestic and foreign interest rates is equal to the anticipated rate of depreciation of the domestic currency.
On the empirical verification of the purchasing power parity and the uncovered interest rate parity. Nationalokonomisk Tidskrift, 130, 57-66.