We characterize the relationship between ex post exchange rate depreciation and the interest differential for a set of countries that spans both developed and emerging market economies. Measured ex post uncovered interest differentials are then related to measures of trade and financial...

This paper examines the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of real-time macro variables that are not subject to revisions, wefind that global macro factors have predictive power for bond returns unspanned by yield factors.Furthermore, we...

The Interest Rate Parity (IRP) relationship is one of the most relied upon indicators of financial globalization. IRP plays such a key role in global macroeconomic models that it is taken as a benchmark for perfect capital mobility between markets. In this paper, we review the theoretical basis...