Go to content
UR Home

Non-Stationary Interest Rate Differentials and the Role of Monetary Policy

URN to cite this document:
urn:nbn:de:bvb:355-epub-188543
DOI to cite this document:
10.5283/epub.18854
Matros, Philipp ; Weber, Enzo
[img]
Preview
PDF
(339kB)
Date of publication of this fulltext: 22 Dec 2010 06:42


Abstract

The present work deals with a frequently detected failure of the uncovered interest rate parity (UIP) - the absence of bivariate cointegration between domestic and foreign interest rates. We explain non-stationarity of the interest differential via central bank reactions to exchange rate variations. Thereby, the exchange rate in levels introduces an additional stochastic trend into the system. ...

plus


Owner only: item control page
  1. Homepage UR

University Library

Publication Server

Contact:

Publishing: oa@ur.de
0941 943 -4239 or -69394

Dissertations: dissertationen@ur.de
0941 943 -3904

Research data: datahub@ur.de
0941 943 -5707

Contact persons