An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets

Burton Hollifield () and Raman Uppal

Journal of Finance, 1997, vol. 52, issue 5, 2145-70

Abstract: The authors examine the effect of segmented commodity markets on the relation between forward future spot exchange rates in a dynamic economy. They calculate the slope coefficient in their theoretical economy from regressing exchange rate changes on forward premia. With reasonable parameter values, the slope coefficient is less than unity. However, even for extreme parameters the slope is not less than zero, as found in the data. A negative slope coefficient in a nominal version of the model requires the covariance between monetary shocks and relative output shocks to be significantly negative, in contrast to the covariance in the data. Copyright 1997 by American Finance Association.

Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (34)

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819971 ... O%3B2-8&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

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:bla:jfinan:v:52:y:1997:i:5:p:2145-70

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().