The term structure of uncovered interest parity in emerging markets

被引：0

作者：

Das, Mitali ^{[1
]}

机构：

[1] Int Monetary Fund, Res Dept, Washington, DC 20431 USA

来源：

APPLIED ECONOMICS LETTERS | 2023年 / 30卷 / 12期

关键词：

Term structure; uncovered interest parity; risk-premium shocks; investment horizon;

D O I：

10.1080/13504851.2022.2072464

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This note examines uncovered interest parity (UIP) at both short and longer horizons in emerging markets. In part due to currency market intervention, the duration of risk premium shocks, and more easily verified medium term trends, the UIP term structure in these economies may differ from that in advanced economies. Analysing ten major emerging markets between 2000 and 2020, the evidence indicates that the validity of UIP increases with the investment horizon, corroborating a similar finding for advanced economies.

引用

页码：1589 / 1596

页数：8

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