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| Title: | Accounting for Uncovered Interest Rate Parity - The Permanent and Transitory Decomposition Approach |
| Authors: | 張惠玲 |
| Contributors: | 郭炳伸
林信助
張惠玲 |
| Keywords: | UIP
decomposition |
| Date: | 2004 |
| Issue Date: | 2009-09-18 18:56:35 (UTC+8) |
| Abstract: | In most of the empirical research about the uncovered interest rate parity (UIP), estimation of the condition at short horizons rejects this theoretical proposition and presents just opposite outcome, while estimation at long horizons reports more consistent results with the proposition. Based on the belief that permanent components may convey more information in the UIP condition, we adopt in this thesis the permanent-transitory decomposition approach introduced by Gonzalo
and Granger (1995) to estimate the common long memory components
of interest rates and that of exchange rate. We then re-evaluate the UIP condition using the decomposed permanent and transitory parts, respectively. Our results reinforce the stylized facts existing in the literature, while it remains to be answered why empirical evidence does not favor the UIP condition.
In most of the empirical research about the uncovered interest rate parity (UIP), estimation of the condition at short horizons rejects this theoretical proposition and presents just opposite outcome, while estimation at long horizons reports more consistent results with the proposition. Based on the belief that permanent components may convey more information in the UIP condition, we adopt in this thesis the permanent-transitory decomposition approach introduced by Gonzalo
and Granger (1995) to estimate the common long memory components
of interest rates and that of exchange rate. We then re-evaluate the UIP condition using the decomposed permanent and transitory parts, respectively. Our results reinforce the stylized facts existing in the literature, while it remains to be answered why empirical evidence does not favor the UIP condition. |
| Reference: | [1] Alexius, A. (2001), \\Uncovered Interest Parity Revisited," Review of In-
ternational Economics, 9(3), pp.505-517.
[2] Bekaert, G., M. Wei and Y. Xing (2002), \\Uncovered Interest Rate Parity
and the Term Structure," NBER Working Paper No.8795, February.
[3] Beveridge, S. and C. R. Nelson (1981), \\A New Approach to Decomposi-
tion of Economic Time Series into Permanent and Transitory Components
with Particular Attention to Measurement of the "Business Cycle`," Jour-
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[4] Chinn, M. D. and G. Meredith (2003), \\Monetary Policy and Long-
Horizon Uncovered Interest Parity," forthcoming, IMF Sta® Papers.
[5] Chinn, M. D. and G. Meredith (2002), \\Testing Uncovered Interest Parity
at Short and Long Horizons during the Post-Bretton Woods Era," UCSC
Center for International Economics Working Paper, June.
[6] Froot, K. A. and R. H. Thaler (1990), \\Anomalies: Foreign Exchange,"
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[7] Gonzalo, J. and C. Granger (1995), \\Estimation of Common Long-
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economic statistics, Jan., 13(1), pp.27-35.
[8] Johansen, S. (1988), \\Statistical Analysis of Cointegration Vectors," Jour-
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[9] Johansen, S. and K. Juselius (1990), \\Maximum Likelihood Estimation
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[10] MacDonald, R. and M. P. Taylor (1992), \\Exchange Rate Economics: A
survey," IMF Sta® Papers, 39(1), pp.1-57.
[11] Marey, P. S. (2004), \\Uncovered Interest Parity Tests and Exchange Rate
Expectations," Working Papers, ROA, Maastricht University.
[12] McCallum, B. T. (1994), \\A Reconsideration of the Uncovered Interest
Parity Relationship," Journal of Monetary Economics, 33, pp.105-132.
[13] Meredith, G. and Y. Ma (2002), \\The Forward Premium Puzzle Revis-
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[14] Quah, D. (1992), \\The Relative Importance of Permanent and Transitory
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[15] Popper, H. (1993), \\Long-Term Covered Interest Parity: Evidence from
Currency Swaps," Journal of International Money and Finance, 12,
pp.439-448.
[16] Stock, J. H. and M. W. Watson (1988), \\Testing for common trends,"
Journal of the American Statistical Association, 83, pp.1097-1107. |
| Description: | 碩士
國立政治大學
國際經營與貿易研究所
91351013
93 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0913510131 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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