Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/68511 
Autor:innen: 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
Reihe Ökonomie / Economics Series No. 265
Verlag: 
Institute for Advanced Studies (IHS), Vienna
Zusammenfassung: 
The well-known uncovered interest parity puzzle arises from the empirical regularity that, among developed country pairs, the high interest rate country tends to have high expected returns on its short term assets. At the same time, another strand of the literature has documented that high real interest rate countries tend to have currencies that are strong in real terms - indeed, stronger than can be accounted for by the path of expected real interest differentials under uncovered interest parity. These two strands - one concerning short-run expected changes and the other concerning the level of the real exchange rate - have apparently contradictory implications for the relationship of the foreign exchange risk premium and interest-rate differentials. This paper documents the puzzle, and shows that existing models appear unable to account for both empirical findings. The features of a model that might reconcile the findings are discussed.
Schlagwörter: 
uncovered interest parity
foreign exchange risk premium
forward premium puzzle
JEL: 
F30
F31
F41
G12
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
554.31 kB





Publikationen in EconStor sind urheberrechtlich geschützt.