Testing for UIP-type relationships: nonlinearities, monetary announcements and interest rate expectations

DOI10.1007/s11079-021-09640-8OpenAlexW4213083501MaRDI QIDQ2685474

Guglielmo Maria Caporale, Christina Anderl

Publication date: 22 February 2023

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

Full work available at URL: https://doi.org/10.1007/s11079-021-09640-8

zbMATH Keywords

nonlinearitiesexchange rateasymmetric adjustmentUIPCVaR (Cointegrated VAR)interest rate announcementsinterest rate expectationsSTCVAR (Smooth Transition Cointegrated VAR)

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items

Monetary policy announcements, information shocks, and exchange rate dynamics

Cites Work

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• TESTS OF SIGNIFICANCE IN MULTIVARIATE ANALYSIS
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models