Use of (Time-Domain) Vector Autoregressions to Test Uncovered Interest Parity
收藏NBER1984-11-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w1493
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资源简介：
In this paper, a vector autoregression model (VAR) is proposed in order to test uncovered interest parity (UIP) in the foreign exchange market. Consider a VAR system of the spot exchange rate (yen/dollar), the domestic (US) interest rate and the foreign (Japanese) interest rate, describing the
提供机构：
美国国家经济研究局
创建时间：
1984-11-01
