Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/316547 
Authors: 
Year of Publication: 
2018
Citation: 
[Journal:] East Asian Economic Review (EAER) [ISSN:] 2508-1667 [Volume:] 22 [Issue:] 4 [Year:] 2018 [Pages:] 467-505
Publisher: 
Korea Institute for International Economic Policy (KIEP), Sejong-si
Abstract: 
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.
Subjects: 
Violations of Uncovered Interest Parity
Expectational Errors
Rational Expectations Risk Premium
Foreign Exchange Excess Returns
Serial Dependence
JEL: 
F31
F37
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article

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