Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/57812
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dc.contributor.authorMatros, Philippen_US
dc.contributor.authorWeber, Enzoen_US
dc.date.accessioned2012-03-21en_US
dc.date.accessioned2012-05-09T10:02:52Z-
dc.date.available2012-05-09T10:02:52Z-
dc.date.issued2011en_US
dc.identifier.isbn978-3-938980-43-9en_US
dc.identifier.urihttp://hdl.handle.net/10419/57812-
dc.description.abstractThe present work deals with a frequently detected failure of the uncovered interest rate parity (UIP) - the absence of bivariate cointegration between domestic and foreign interest rates. We explain non-stationarity of the interest differential via central bank reactions to exchange rate variations. Thereby, the exchange rate in levels introduces an additional stochastic trend into the system. Trivariate cointegration between the interest rates and the exchange rate accounts for the missing stationarity property of the interest differential. We apply the concept to the case of Turkey and Europe, where we can validate the theoretical considerations by multivariate time series techniques.en_US
dc.language.isoengen_US
dc.publisher|aOsteuropa-Inst. |cRegensburgen_US
dc.relation.ispartofseries|aArbeiten aus dem Osteuropa-Institut Regensburg, Arbeitsbereich Wirtschaft, Migration und Integration |x293en_US
dc.subject.jelE44en_US
dc.subject.jelF31en_US
dc.subject.jelC32en_US
dc.subject.ddc330en_US
dc.subject.keywordUncovered Interest Rate Parityen_US
dc.subject.keywordMonetary Policy Rulesen_US
dc.subject.keywordCointegrationen_US
dc.subject.keywordVector-Error Correction Modelen_US
dc.subject.stwZinsparitäten_US
dc.subject.stwKointegrationen_US
dc.subject.stwFehlerkorrekturmodellen_US
dc.subject.stwWechselkursen_US
dc.subject.stwGeldpolitiken_US
dc.subject.stwReaktionsfunktionen_US
dc.subject.stwTheorieen_US
dc.subject.stwTürkeien_US
dc.subject.stwEurozoneen_US
dc.titleNon-stationary interest rate differentials and the role of monetary policyen_US
dc.typeWorking Paperen_US
dc.identifier.ppn688273343en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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