Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/316547 
Autor:innen: 
Erscheinungsjahr: 
2018
Quellenangabe: 
[Journal:] East Asian Economic Review (EAER) [ISSN:] 2508-1667 [Volume:] 22 [Issue:] 4 [Year:] 2018 [Pages:] 467-505
Verlag: 
Korea Institute for International Economic Policy (KIEP), Sejong-si
Zusammenfassung: 
We propose a simple identification scheme for the causes of the violations of uncovered interest parity. Our method uses the serial dependence patterns of excess returns as a criterion for judging performance of economic models. We show that a mean reverting component in excess returns, representing a violation of uncovered interest parity, mainly contributes to generating different serial dependence patterns of excess returns: rational expectations risk premium models tend to generate negative serial dependence of excess returns, while expectational errors models tend to generate positive serial dependence.
Schlagwörter: 
Violations of Uncovered Interest Parity
Expectational Errors
Rational Expectations Risk Premium
Foreign Exchange Excess Returns
Serial Dependence
JEL: 
F31
F37
G15
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.