Uncovered interest parity and the efficiency of the foreign exchange market: a re-examination of the evidence
In this paper, we find that the traditional approach to testing UIP is misleading because of the significant difference in volatility between the change in the log of the exchange rates and the forward premium, and also because of the presence of conditional heteroskedasticity in the data. This diff...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
2011-04.
|
| Subjects: | |
| Online Access: | Get fulltext |