Testing for UIP-type relationships : nonlinearities, monetary announcements and interest rate expectations
Year of publication: |
2022
|
---|---|
Authors: | Anderl, Christina ; Caporale, Guglielmo Maria |
Published in: |
Open economies review. - Dordrecht [u.a.] : Springer Science + Business Media B.V, ISSN 1573-708X, ZDB-ID 1478937-1. - Vol. 33.2022, 4, p. 705-749
|
Subject: | Asymmetric adjustment | CVAR (Cointegrated VAR) | Exchange rate | Interest rate announcements | Interest rate expectations | Nonlinearities | STCVAR (Smooth Transition Cointegrated VAR) | UIP | Zins | Interest rate | Kointegration | Cointegration | VAR-Modell | VAR model | Wechselkurs | Zeitreihenanalyse | Time series analysis | Nichtlineare Regression | Nonlinear regression | Schätzung | Estimation | Großbritannien | United Kingdom | Zinsparität | Interest rate parity | Ankündigungseffekt | Announcement effect | Geldmenge | Money supply | Erwartungsbildung | Expectation formation |
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