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| Main Author: | |
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| Format: | Artículo científico |
| Language: | en |
| Published: |
Instituto Mexicano de Ejecutivos de Finanzas A.C.
2020
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| Subjects: | |
| Online Access: | https://www.redalyc.org/articulo.oa?id=423765207002 https://www.redalyc.org/journal/4237/423765207002/ https://www.redalyc.org/journal/4237/423765207002/html/ https://www.redalyc.org/journal/4237/423765207002/423765207002.epub https://www.redalyc.org/journal/4237/423765207002/movil |
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Table of Contents:
- Uncovered interest parity and behavior of interest differentials Jorge A. Muñoz Mendoza Sandra M. Sepúlveda Yelpo Carmen L. Veloso Ramos Carlos L. Delgado Fuentealba Economía y Finanzas differentials interest parity Exchange returns We analyze the relationship between exchange returns and interest rate differentials through Uncovered Interest Parity (UIP). We use a sample of 83 countries for 1980-2015 period, organizing the information into a panel data structure. The fixed-effects regressions show that the UIP is not fulfilled. However, we observe that the effect of interest rate differential on foreign exchange returns is non-linear. The non-linearity shape suggests that UIP have a lower bias in countries with high interest rate differentials, usually over 38 %. Even quartiles regressions show that the positive relationship between exchange rate returns and interest rate differentials would be observed when these variables experience high variations. These results are relevant for monetary and exchange policies design and for investment decisions on exchange markets. 2020 artículo científico 1665-5346 https://www.redalyc.org/articulo.oa?id=423765207002 https://www.redalyc.org/journal/4237/423765207002/ https://www.redalyc.org/journal/4237/423765207002/html/ https://www.redalyc.org/journal/4237/423765207002/423765207002.epub https://www.redalyc.org/journal/4237/423765207002/movil 10.21919/remef.v15i2.399 en http://www.redalyc.org/revista.oa?id=4237 Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance application/pdf Instituto Mexicano de Ejecutivos de Finanzas A.C. Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance (México) Num.2 Vol.15