Titlebook: International Parity Conditions; Theory, Econometric Imad A. Moosa,Razzaque H. Bhatti Book 1997 Imad A. Moosa and Razzaque H. Bhatti 1997

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The Covered Interest Parity Hypothesis, domestic interest rates and foreign interest rates — was originally developed by Keynes (1923). In essence, it is the earliest theory of forward exchange, stipulating that the forward exchange rate tends to be equal to its interest parity rate (that is, the spot exchange rate adjusted by a factor r

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International Parity Conditions in a Cointegration Framework,ns. It may, therefore, be appropriate to present an introduction to the cointegration literature, with particular emphasis on the techniques that have been used to test the hypotheses underlying these conditions. This chapter deals with the basics of cointegration analysis, while Chapters 7 and 8 de

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Cointegration: Representation and Testing,e ‘equilibrium model’. However, equilibrium in this sense is different from what is implied by rational expectations models. It is arguable that the cointegrating regression does not necessarily imply a long-run relationship: economic theory must support such a relationship. Table 8.1 shows some coi

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Uncovered Interest Parity and the Efficient Market Hypothesis: The Empirical Evidence, financial markets (foreign exchange and capital markets) across countries. This is considered to be a direct test because the actual relationship representing UIP is tested by using data on both interest rates and spot exchange rates. The second strand pertains to testing UIP by examining linkages

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Real Interest Parity and the Fisher Hypothesis: The Empirical Evidence,minal interest rate. Moreover, most of these studies have focused on testing the constancy of the real interest rate within the United States. Gibson (1972) tested the validity of the FH for Treasury bills of varying maturities over two periods (1952–70 and 1959–70) using the Livingston survey data