The Economics of Uncovered Interest Parity Condition for Emerging Markets: A Survey
C. Emre Alper,
Oya Ardic and
Salih Fendoglu ()
MPRA Paper from University Library of Munich, Germany
Abstract:
Financial account liberalizations since the second half of the 1980s paved way for the burgeoning literature that investigates foreign exchange market efficiency in emerging markets via testing for the uncovered interest parity (UIP) condition. This paper provides a broad and critical survey on this recent literature as well as a general understanding on the topic through reviewing the related literature on developed economies where recent methodological advances in time series econometrics have provided favorable results, questioning the previously documented UIP puzzle. The literature on emerging markets suggests that these countries deserve a special treatment by taking into account the existence of additional types of risk premia, high inflation episodes, financial contagion, peso problem, simultaneity problem, asymmetricity, and the determination of de facto structural breaks.
Keywords: Uncovered Interest Parity; Forward Premium Bias; Emerging Markets (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Date: 2007-05-30
New Economics Papers: this item is included in nep-cba, nep-cwa, nep-ifn and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/4079/1/MPRA_paper_4079.pdf original version (application/pdf)
Related works:
Journal Article: THE ECONOMICS OF THE UNCOVERED INTEREST PARITY CONDITION FOR EMERGING MARKETS (2009) 
Working Paper: The Economics of Uncovered Interest Parity Condition for Emerging Markets: A Survey (2007) 
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:pra:mprapa:4079
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().