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Covered Interest Parity: A Forecasting Approach to Estimate the Neutral Band

Mendeley Data2026-04-09 收录

未抛补利率平价

汇率预测建模

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资源简介：

Data and codes for replicating results in "Covered Interest Parity: A Forecasting Approach to Estimate the Neutral Band". Start in the "Readme" file.

应用场景：

金融市场效率

未抛补利率平价

We suggest a new single-equation test for Uncovered Interest Parity (UIP) based on a dynamic regression approach. The method provides consistent and asymptotically efficient parameter estimates, and i

NBER2022-11-01 更新110

A Reconsideration of the Uncovered Interest Parity Relationship

未抛补利率平价

外汇市场效率

The paper first presents reasons for viewing the uncovered interest-parity (VIP) relationship as more important, in terms of economic analysis, than the unbiasedness of forward rates as predictors of

NBER1992-07-01 更新80

A Model of Stochastic Process Switching

汇率预测建模

随机过程转换

In this paper we develop a rational expectations exchange rate model which is capable of confronting explicitly agents' beliefs about a future switch in exogenous driving processes. In our set-up the

NBER1981-02-01 更新60

The New Fama Puzzle

远期溢价谜题

未抛补利率平价

We re-examine the historically common finding that ex post depreciation and the forward premium are negatively correlated, termed the forward premium puzzle. When covered interest differentials are ze

NBER2018-02-01 更新100

Uncovered Interest Parity and Monetary Policy Near and Far from the Zero Lower Bound

未抛补利率平价

零利率下限货币政策

Relying upon a standard New Keynesian DSGE, we propose an explanation for two empirical findings in the international finance literature. First, the unbiasedness hypothesis the proposition that expos

NBER2015-05-01 更新70

Covered Interest Parity: A Forecasting Approach to Estimate the Neutral Band

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