THE UNCOVERD INTEREST PARITY PUZZLE (UIP): EVIDENCE FROM MAJOR CURRENCIES

Athanasios Petsas (apetsa@tee.gr) and Theodore Pelagidis
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Athanasios Petsas: MSc. Hellenic Open University

Regional Science Inquiry, 2017, vol. IX, issue 1, 127-134

Abstract: This paper investigates empirically the Uncovered Interest Parity puzzle, highlighting the weak relationship between exchange rates and interest rates in particular, using data for the exchange and interest rates from four countries, in different time horizons, running from 3 to 60 months. The analysis in particular focuses on the deviations from rational expectations as a possible explanation of the UIP puzzle.

Keywords: UIP; PPP; Exchange rates (search for similar items in EconPapers)
JEL-codes: F41 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:hrs:journl:v:ix:y:2017:i:1:p:127-134

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