A panel data analysis of uncovered interest parity and time-varying risk premium

DOI10.1007/s11079-020-09605-3zbMath1470.91171OpenAlexW3108308148MaRDI QIDQ2047027

Michael Frömmel, Dinçer Afat

Publication date: 19 August 2021

Published in: Open Economies Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11079-020-09605-3

zbMATH Keywords

panel datafinancial marketsexchange ratecross-section dependenceuncovered interest paritypanel ARDL

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Monetary policy announcements, information shocks, and exchange rate dynamics

Cites Work

• Unnamed Item
• Testing for unit roots in heterogeneous panels.
• Unit root tests in panel data: asymptotic and finite-sample properties
• Addressing international empirical puzzles: the liquidity of bonds
• Uncovered interest parity and monetary policy near and far from the zero lower bound
• The present-value model of the exchange rate with a persistently time-varying risk premium: evidence from the dollar-yen rate
• Testing for stationarity in heterogeneous panel data
• Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle
• A bias-adjusted LM test of error cross-section independence
• Pooled Mean Group Estimation of Dynamic Heterogeneous Panels

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