The term structure of uncovered interest parity in emerging markets

Mitali Das

Applied Economics Letters, 2023, vol. 30, issue 12, 1589-1596

Abstract: This note examines uncovered interest parity (UIP) at both short and longer horizons in emerging markets. In part due to currency market intervention, the duration of risk premium shocks, and more easily verified medium term trends, the UIP term structure in these economies may differ from that in advanced economies. Analysing ten major emerging markets between 2000 and 2020, the evidence indicates that the validity of UIP increases with the investment horizon, corroborating a similar finding for advanced economies.

Date: 2023
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DOI: 10.1080/13504851.2022.2072464

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