Testing uncovered interest parity: A continuous-time approach

Arbeitspapier

Nowadays researchers can choose the sampling frequency of exchange rates and interest rates. If the number of observations per contract period is large relative to the sample size, standard GMM asymptotic theory provides unreliable inferences in UIP regression tests. We specify a bivariate continuous-time model for exchange rates and forward premia robust to temporal aggregation, unlike the discrete time models in the literature. We obtain the UIP restrictions on the continuoustime model parameters, which we estimate efficiently, and propose a novel specification test that compares estimators at different frequencies. Our empirical results based on correctly specified models reject UIP.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Bank of Canada Working Paper ; No. 2007-53

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Foreign Exchange ; International Financial Markets
• Thema: Exchange rates ; Econometric and statistical methods ; Devisentermingeschäft ; Zinsparität ; Theorie

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Diez de los Rios, Antonio ; Sentana, Enrique
• Ereignis: Veröffentlichung
• (wer): Bank of Canada
• (wo): Ottawa
• (wann): 2007

Weitere Informationen

• DOI: doi:10.34989/swp-2007-53
• Handle: http://hdl.handle.net/10419/53835
• Letzte Aktualisierung: 20.09.2024, 08:22 MESZ