English, Article edition: DYNAMIC MODEL OF UNCOVERED INTEREST RATE PARITY (theory and empirical verification in the transitive economies) Jaroslava DURČÁKOVÁ; Martin MANDEL; Vladimír TOMŠÍK

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Bookmark: http://trove.nla.gov.au/version/197920
Physical Description
  • article
Language
  • English

Edition details

Title
  • DYNAMIC MODEL OF UNCOVERED INTEREST RATE PARITY (theory and empirical verification in the transitive economies)
Author
  • Jaroslava DURČÁKOVÁ
  • Martin MANDEL
  • Vladimír TOMŠÍK
Physical Description
  • article
Notes
  • 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.
  • transitive countries, portfolio theory, monetary policy, interest rate parity, exchange rate
  • RePEc:prg:jnlpol:v:2005:y:2005:i:3:id:506:p:291-304
Language
  • English
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