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THE ECONOMICS OF THE UNCOVERED INTEREST PARITY CONDITION FOR EMERGING MARKETS

✍ Scribed by C. Emre Alper; Oya Pinar Ardic; Salih Fendoglu


Book ID
110940553
Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
139 KB
Volume
23
Category
Article
ISSN
0950-0804

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In this paper, we find that the traditional approach to testing UIP is misleading because of the significant difference in volatility between the change in the log of the exchange rates and the forward premium, and also because of the presence of conditional heteroskedasticity in the data. This diff