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

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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Date of publication of this fulltext: 22 Dec 2010 06:42

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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)
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
Identification Number:
ValueType
RePEc:bay:rdwiwi:18854RePEc Handle
Classification:
NotationType
E44Journal of Economics Literature Classification
F31Journal of Economics Literature Classification
C32Journal of Economics Literature Classification
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
Owner only: item control page

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