A rank approach for studying cross-currency bases and the covered interest rate parity

被引：0
|
作者：
Jose E. Gomez-Gonzalez
Santiago Gomez-Malagon
Luis F. Melo-Velandia
Daniel Ordoñez-Callamand
机构：
[1] Banco de la Republica (Central Bank of Colombia),
来源：
Empirical Economics | 2020年 / 59卷
关键词：
Covered interest rate parity; Nonparametric rank tests; Cointegration; Time series panel; Cross-currency basis; C12; C33; E43;
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学科分类号：
摘要：
We use a panel rank cointegration approach to check for the stability conditions of the cross-country money market interest rate basis. Using weekly information on short-term interest rates and spot and forward exchange rates for a set of 20 European economies between 2005 and 2017, we show that in most cases these bases are non-stationary, implying the failure of the covered interest rate parity condition. Concretely, a mean-reverting behavior is encountered in only two cases. The first includes Greece, Italy and Portugal, while the second Belgium, France and Germany.
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页码：357 / 369
页数：12
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