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Testing for Uncovered Interest Parity Conditions in a Small Open Economy : A State Space Modelling Approach

Bhatta, Guna Raj; Nepal, Rabindra; Harvie, Charles; … - 2021

This is the first study to apply the Kalman filter analysis based on state space modelling to test for the existence of the uncovered interest parity (UIP) condition and simulate the risk premium between the pegged currencies of Nepal and India. We find significant evidence that the UIP...

Persistent link: https://www.econbiz.de/10013220180