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Deviations from uncovered interest parity : a Kalman filter approach to the Mark/Dollar rate and the Swiss Franc/Dollar rate
König, Peter; Möller, Joachim - 1988
optimal initial information to the estimation of this arbitrage equilibrium for the Mark/Dollar rate and the Swiss Franc …
Persistent link: https://www.econbiz.de/10009576229
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An investigation of the causal relations between exchange rates and interest rate differentials using wavelets
Hacker, R. Scott; Karlsson, Hyunjoo Kim; Månsson, Kristofer - In: International review of economics & finance : IREF 29 (2014), pp. 321-329
Persistent link: https://www.econbiz.de/10010432350
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Co-movement and causality between nominal exchange rates and interest rate differentials in BRICS countries : a wavelet analysis
Si, Dengkui; Li, Xiao-Lin; Chang, Tsangyao; Bai, Lu - In: Romanian journal of economic forecasting 21 (2018) 1, pp. 5-19
Persistent link: https://www.econbiz.de/10012019810
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Simple vs generalized interest rate and purchasing power parity models of exchange rates
Zhou, Su - In: The quarterly review of economics and finance : journal … 36 (1996) 2, pp. 197-218
Persistent link: https://www.econbiz.de/10001209283
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Empirische Tests der Erwartungs- und der Unverzerrtheitshypothese und die Politik der Zentralbank
Kugler, Peter - In: Spekulation, Preisbildung und Volatilität auf Finanz- …, (pp. 153-163). 1998
Persistent link: https://www.econbiz.de/10001322896
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Margin and funding liquidity : an empirical analysis on the covered interest parity in Korea
Jeong, Daehee - 2010
Persistent link: https://www.econbiz.de/10009570807
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Macroeconomic fundamentals and the exchange rate dynamics : a no-arbitrage macro-finance approach
Ying, Weiwei; Li, Junye - In: Journal of international money and finance 41 (2014), pp. 46-64
Persistent link: https://www.econbiz.de/10010338744
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On the link between the exchange rates and interest rate differentials in China : evidence from an asymmetric wavelet analysis
Si, Dengkui; Li, Xiao-Lin; Ge, Xinyu - In: Empirical economics : a journal of the Institute for … 59 (2020) 6, pp. 2925-2946
Persistent link: https://www.econbiz.de/10012500877
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Carry trades, agent heterogeneity and the exchange rate
Li, Xiao-Ping; Zhou, Chun-Yang; Tong, Bin - In: International review of economics & finance : IREF 64 (2019), pp. 343-358
Persistent link: https://www.econbiz.de/10012372800
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Margin and funding liquidity : an empirical analysis on the covered interest parity in Korea
Jeong, Daehee - 2010
During the global financial turmoil in 2007-2008, deviation from the covered interest parity (CIP) between the Korean won and US dollar through the foreign exchange swap has escalated in its magnitude beyond 1,000bp in November 2008, and it still persists around 100bp level. In this paper, we...
Persistent link: https://www.econbiz.de/10012123612