EconPapers    
Economics at your fingertips  
 

Testing uncovered interest rate parity using LIBOR

Muhammad Omer (), Jakob de Haan () and Bert Scholtens ()

Applied Economics, 2014, vol. 46, issue 30, 3708-3723

Abstract: We test uncovered interest rate parity (UIP) using London InterBank Offered Rate (LIBOR) interest rates for a wide range of maturities. In contrast to other markets, LIBOR markets have minimal frictions. Whereas most previous studies reject UIP, we find that UIP holds for several short-term LIBOR maturities using block bootstrap panel unit root tests suggested by Palm et al . (2011) and cointegration techniques by Westerlund (2007). Furthermore, the estimation results suggest that the speed of adjustment to the long-run equilibrium marginally differs across the maturity of the underlying instrument, thus supporting the efficient market hypothesis.

Date: 2014
References: View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2014.939375 (text/html)
Access to full text is restricted to subscribers.

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:taf:applec:v:46:y:2014:i:30:p:3708-3723

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2019-11-18
Handle: RePEc:taf:applec:v:46:y:2014:i:30:p:3708-3723