Dynamický model nekryté úrokové parity (teorie a empirická verifikace v tranzitivních ekonomikách)

Dynamic model of uncovered interest rate parity (theory and empirical verification in the transitive economies)

Jaroslava Durčáková, Martin Mandel and Vladimír Tomšík

Politická ekonomie, 2005, vol. 2005, issue 3, 291-303

Abstract: The paper presents a dynamic approach to the theory of uncovered interest rate parity. It is examined the dynamic relation between the actual change in spot exchange rate and interest rate differential. Authors show the hypothesis of uncovered interest rate parity is based on an ex ante view and that is the reason that the expected change in spot exchange rate cannot be replaced by an ex post approach. The dynamic approach developed in the paper is empirically tested for five transitive countries of Central and Eastern Europe. The model is estimated using both VAR and cointegration analyses. The model of error correction is also included in the empirical verification of the model.

Keywords: monetary policy; exchange rate; portfolio theory; interest rate parity; transitive countries (search for similar items in EconPapers)
JEL-codes: E40 E44 F31 G10 (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (1)

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DOI: 10.18267/j.polek.506

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