- Tytuł:
- TESTING UNCOVERED INTEREST PARITY IN THE PLN/JPY FOREIGN EXCHANGE MARKET: A MARKOV-SWITCHING APPROACH
- Autorzy:
- Czech, Katarzyna A.
- Powiązania:
- https://bibliotekanauki.pl/articles/453750.pdf
- Data publikacji:
- 2017
- Wydawca:
- Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
- Tematy:
-
foreign exchange market
uncovered interest rate parity
forward premium anomaly
Markov-switching model - Opis:
- Uncovered Interest Parity argues that a high-interest-rate currency tends to depreciate and a low-interest-rate currency to appreciate. Many researchers find opposite tendency in foreign exchange market. This puzzling feature of foreign exchange market is known as forward premium puzzle. The aim of the paper is to examine how exchange rate volatility influences the relationship between returns and interest rate differentials. Markov switching model is applied. It is shown that in regime of low volatility, in the PLN/JPY market, forward premium anomaly appears. However, during the time of high volatility the UIP holds.
- Źródło:
-
Metody Ilościowe w Badaniach Ekonomicznych; 2017, 18, 1; 18-26
2082-792X - Pojawia się w:
- Metody Ilościowe w Badaniach Ekonomicznych
- Dostawca treści:
- Biblioteka Nauki
Artykuł