Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/57812 
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dc.contributor.authorMatros, Philippen
dc.contributor.authorWeber, Enzoen
dc.date.accessioned2012-03-21-
dc.date.accessioned2012-05-09T10:02:52Z-
dc.date.available2012-05-09T10:02:52Z-
dc.date.issued2011-
dc.identifier.isbn978-3-938980-43-9en
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
dc.language.isoengen
dc.publisher|aOsteuropa-Institut Regensburg |cRegensburgen
dc.relation.ispartofseries|aArbeiten aus dem Osteuropa-Institut Regensburg |x293en
dc.subject.jelE44en
dc.subject.jelF31en
dc.subject.jelC32en
dc.subject.ddc330en
dc.subject.keywordUncovered Interest Rate Parityen
dc.subject.keywordMonetary Policy Rulesen
dc.subject.keywordCointegrationen
dc.subject.keywordVector-Error Correction Modelen
dc.subject.stwZinsparitäten
dc.subject.stwKointegrationen
dc.subject.stwFehlerkorrekturmodellen
dc.subject.stwWechselkursen
dc.subject.stwGeldpolitiken
dc.subject.stwReaktionsfunktionen
dc.subject.stwTheorieen
dc.subject.stwTürkeien
dc.subject.stwEurozoneen
dc.titleNon-stationary interest rate differentials and the role of monetary policy-
dc.typeWorking Paperen
dc.identifier.ppn688273343en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:ost:wpaper:293en

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