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| Type | Working Paper |
| Scope | Discipline-based scholarship |
| Title | Long-run UIP holds even in the short run |
| Organization Unit | |
| Authors |
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| Language |
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| Institution | University of Zurich |
| Series Name | Swiss Finance Institute Research Paper |
| Number | 13-31 |
| Number of Pages | 27 |
| Date | 2013 |
| Abstract Text | The failure of uncovered interest rate parity to explain short-term interest rate movements is well documented. We show that short-term changes in long-term interest rates do help to explain short-term exchange rate movements. The relationship gets stronger over our sample period, as the liquidity of the exchange rate market increases. We also show that controlling for time-varying exchange rate risk also helps to improve the fit of the relationship. |
| Official URL | http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2272088 |
| Other Identification Number | merlin-id:8291 |
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