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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
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