Uncovering uncovered interest parity: exchange rates, yield curves and business cycles
BankUnderground
JULY 13, 2020
While UIP appears to hold at longer horizons (around 5-10 years), it is regularly rejected at shorter ones (0-4 years). On the other hand, a body of evidence has failed to reject the hypothesis at longer horizons, out to around 10 years. Uncovered interest parity. A role for the yield curve?
Let's personalize your content