Does Ex post uncovered interest differential reflect the degrees of capital mobility?

Donggyu Sul ()

Applied Economics Letters, 1999, vol. 6, issue 2, 97-102

Abstract: This paper examines whether ex post uncovered interest differential between the US and the UK reflects the degrees of capital mobility over the time period 1973-92 by using GMM, GARCH and Kalman filter methods. The empirical results, however, do not support the hypothesis that the magnitude of the absolute deviation from UIP or the conditional variance of the deviation becomes smaller as the degrees of capital mobility increases.

Date: 1999
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DOI: 10.1080/135048599353717

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