Do foreign exchange forecasters believe in Uncovered Interest Parity?

Juan Cuestas, Fabio Filipozzi and Karsten Staehr ()

Economics Letters, 2015, vol. 133, issue C, 92-95

Abstract: Uncovered Interest Parity (UIP) is typically rejected in empirical studies, but this letter finds nevertheless that Consensus Forecasts of the exchange rate for Central and Eastern European countries are based on UIP. When structural breaks are included, the forecasts are found to deviate from UIP in 2008–09 when financial markets were under severe stress.

Keywords: Forecasting; Exchange rates; UIP; Eastern Europe; Structural breaks (search for similar items in EconPapers)
JEL-codes: C2 H3 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176515002244
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:133:y:2015:i:c:p:92-95

DOI: 10.1016/j.econlet.2015.05.029

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().