Matros, Philipp and Weber, Enzo (2010) Non-Stationary Interest Rate Differentials and the Role of Monetary Policy. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 450, Working Paper.
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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. ...
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| Item type: | Monograph (Working Paper) | ||||||||
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| Series of the University of Regensburg: | Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft | ||||||||
| Date: | 21 December 2010 | ||||||||
| Institutions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie | ||||||||
| Interdisciplinary Subject Network: | Immobilien- und Kapitalmärkte | ||||||||
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| Keywords: | Uncovered Interest Rate Parity, Monetary Policy Rules, Cointegration, Vector-Error Correction Model | ||||||||
| Dewey Decimal Classification: | 300 Social sciences > 330 Economics | ||||||||
| Status: | Published | ||||||||
| Refereed: | No, this document will not be refereed | ||||||||
| Created at the University of Regensburg: | Yes | ||||||||
| Item ID: | 18854 |
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