Uncovered interest rate parity: A gravity-panel approach

This paper investigates the validity of uncovered interest rate parity (UIRP) which establishes a proportional relationship between interest rate and expected nominal exchange rate differentials. This paper takes a different perspective by using a gravity panel as the methodological approach and mod...

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Autores principales:	Vanessa Orellana, Gabriel Pino
Formato:	article
Lenguaje:	EN
Publicado:	Elsevier 2021
Materias:	UIRP Gravity panel Long-term interest rate Nominal exchange rate Science (General) Q1-390 Social sciences (General) H1-99
Acceso en línea:	https://doaj.org/article/af16d5cb7da4412085fe832fb6699142
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spelling	oai:doaj.org-article:af16d5cb7da4412085fe832fb66991422021-12-02T05:02:47ZUncovered interest rate parity: A gravity-panel approach2405-844010.1016/j.heliyon.2021.e08350https://doaj.org/article/af16d5cb7da4412085fe832fb66991422021-11-01T00:00:00Zhttp://www.sciencedirect.com/science/article/pii/S2405844021024531https://doaj.org/toc/2405-8440This paper investigates the validity of uncovered interest rate parity (UIRP) which establishes a proportional relationship between interest rate and expected nominal exchange rate differentials. This paper takes a different perspective by using a gravity panel as the methodological approach and modeling the interest rate differential as a function of the expected nominal exchange rate change. Thus, we use all possible nominal exchange rates in our sample to study the validity of the UIRP. We provide evidence in favor of UIRP which holds for a sample of high-income economies; however, this hypothesis is rejected for medium-income countries.Vanessa OrellanaGabriel PinoElsevierarticleUIRPGravity panelLong-term interest rateNominal exchange rateScience (General)Q1-390Social sciences (General)H1-99ENHeliyon, Vol 7, Iss 11, Pp e08350- (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	UIRP Gravity panel Long-term interest rate Nominal exchange rate Science (General) Q1-390 Social sciences (General) H1-99
spellingShingle	UIRP Gravity panel Long-term interest rate Nominal exchange rate Science (General) Q1-390 Social sciences (General) H1-99 Vanessa Orellana Gabriel Pino Uncovered interest rate parity: A gravity-panel approach
description	This paper investigates the validity of uncovered interest rate parity (UIRP) which establishes a proportional relationship between interest rate and expected nominal exchange rate differentials. This paper takes a different perspective by using a gravity panel as the methodological approach and modeling the interest rate differential as a function of the expected nominal exchange rate change. Thus, we use all possible nominal exchange rates in our sample to study the validity of the UIRP. We provide evidence in favor of UIRP which holds for a sample of high-income economies; however, this hypothesis is rejected for medium-income countries.
format	article
author	Vanessa Orellana Gabriel Pino
author_facet	Vanessa Orellana Gabriel Pino
author_sort	Vanessa Orellana
title	Uncovered interest rate parity: A gravity-panel approach
title_short	Uncovered interest rate parity: A gravity-panel approach
title_full	Uncovered interest rate parity: A gravity-panel approach
title_fullStr	Uncovered interest rate parity: A gravity-panel approach
title_full_unstemmed	Uncovered interest rate parity: A gravity-panel approach
title_sort	uncovered interest rate parity: a gravity-panel approach
publisher	Elsevier
publishDate	2021
url	https://doaj.org/article/af16d5cb7da4412085fe832fb6699142
work_keys_str_mv	AT vanessaorellana uncoveredinterestrateparityagravitypanelapproach AT gabrielpino uncoveredinterestrateparityagravitypanelapproach
_version_	1718400731244920832

Uncovered interest rate parity: A gravity-panel approach

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