A new Test of Uncovered Interest Rate Parity: Evidence from Turkey

Deniz M Erdemlioglu

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines if uncovered interest rate parity condition holds for Turkey. In this paper, an empirical analysis is provided for the dates between December 2001 and June 2007 by using monthly data for Turkey and the U.S. Main finding is that UIP does not hold for Turkey. In addition to this, UIP deviation goes up over time, AR (1) fits the data well, there is an ARCH effect and GARCH (1,1) specification is significant for Turkish case.

Keywords: Uncovered Interest Rate Parity; Unit Root Test; AR Process; ARCH and GARCH Models (search for similar items in EconPapers)
JEL-codes: C22 F30 F41 (search for similar items in EconPapers)
Date: 2007-08
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:10787

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