haku: @journal_id 649 / yhteensä: 172
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| Tekijä: | Balke, N. Wohar, M. |
| Otsikko: | Nonlinear dynamics and covered interest rate parity |
| Lehti: | Empirical Economics
1998 : VOL. 23:4, p. 535-560 |
| Asiasana: | EMPIRICAL RESEARCH INTEREST RATES NON-LINEAR MODELS DYNAMIC MODELS |
| Kieli: | eng |
| Tiivistelmä: | This paper examines the dynamics of deviations from covered interest parity using daily data on the UK/US spot, forward exchange rates and interest rates over the period January 1974 to September 1993. Like other studies, the authors find a substantial number of instances during the sample in which the covered interest parity condition exceeds the transaction costs band, implying arbitrage profit opportunities. While most of these implied profit opportunities are relatively small, there is also evidence of some very large deviations from covered interest parity in the sample. |
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