Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/101592
Authors: 
König, Peter
Möller, Joachim
Year of Publication: 
1988
Series/Report no.: 
Diskussionsbeiträge: Serie II, Sonderforschungsbereich 178 "Internationalisierung der Wirtschaft", Universität Konstanz 52
Abstract: 
The present paper analyzes deviations from Uncovered Interest Parity by applying a Kalman filter procedure based on optimal initial information to the estimation of this arbitrage equilibrium for the Mark/Dollar rate and the Swiss Franc/Dollar rate. The results demonstrate that the hypothesis of a time-varying deviation from Uncovered Interest Parity in these equations cannot be rejected. Furthermore, these models are shown to out-perform the random walk in forecasting. An examination of the stochastic disturbances indicates that the shocks responsible for the deviations cover a wide range of economic and political issues.
Document Type: 
Working Paper

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