An alternative approach to testing uncovered interest parity

被引：10
|
作者：
Bhatti, RH [1 ]
Moosa, IA [1 ]
机构：
[1] LA TROBE UNIV,SCH ECON,BUNDOORA,VIC 3083,AUSTRALIA
来源：
APPLIED ECONOMICS LETTERS | 1995年 / 2卷 / 12期
关键词：
D O I：
10.1080/135048595356916
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper presents some evidence on the uncovered interest parity (UIP) hypothesis using an alternative model specification and quarterly data on three-month treasury bill rates denominated in eleven currencies vis-a-vis the dollar. Results of cointegration and coefficient restriction tests are strongly supportive of UIP in all cases. These results suggest that capital and foreign exchange markets have become highly integrated.
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页码：478 / 481
页数：4
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