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| Author: | Goldberg, M. |
| Title: | On empirical exchange rate models: what does a rejection of the symmetry restriction on short-run interest rates mean? |
| Journal: | Journal of International Money and Finance
2000 : OCT, VOL. 19:5, p. 673-688 |
| Index terms: | EXCHANGE RATES MODELS RATIONAL EXPECTATIONS |
| Language: | eng |
| Abstract: | The purpose of this paper is to interpret the well- documented rejection of reduced-form symmetry restrictions on short-run interest rates and to show that such a rejection implies a rejection of rational expectations (RE) and/or uncovered interest rate parity (UIP). The paper also shows that if this rejection is due to failure of UIP, it cannot be explained by the presence of a standard risk premium. |
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