DYNAMIC MODEL OF UNCOVERED INTEREST RATE PARITY (theory and empirical verification in the transitive economies)
The paper presents a dynamic approach to the theory of uncovered interest rate parity. It is examined the dynamic relation between the actual change in spot exchange rate and interest rate differential. Authors show the hypothesis of uncovered interest rate parity is based on an ex ante view and that is the reason that the expected change in spot exchange rate cannot be replaced by an ex post approach. The dynamic approach developed in the paper is empirically tested for five transitive countries of Central and Eastern Europe. The model is estimated using both VAR and cointegration analyses. The model of error correction is also included in the empirical verification of the model.
In order to set up a list of libraries that you have access to,
you must first login
or sign up.
Then set up a personal list of libraries from your profile page by
clicking on your user name at the top right of any screen.