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Explaining US–UK Interest Rate Differentials: A Reassessment of the Uncovered Interest Rate Parity in a Bayesian Framework

✍ Scribed by Andrea Carriero

Book ID
111046920
Publisher
John Wiley and Sons
Year
2006
Tongue
English
Weight
666 KB
Volume
68
Category
Article
ISSN
0140-5543

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## Abstract According to one strand of the international finance literature, market efficiency implies that the real exchange rate follows a martingale process, in direct conflict with the long‐run absolute purchasing power parity hypothesis, which requires a stationary real exchange rate process.