Uncovered Interest Rate Parity Over the Past Two Centuries
Uncovered Interest Rate Parity Over the Past Two Centuries
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DOI：
10.2139/ssrn.585462
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发表时间：
2003-06
期刊：
影响因子：
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通讯作者：
J. Lothian;Liuren Wu
中科院分区：
文献类型：
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作者：
J. Lothian;Liuren Wu
未担保利率平价(UIP)是国际金融和国际货币经济学分析工作中使用的三个重要理论关系之一。然而，问题是，从经验上看，联合知识产权似乎并不站得住脚。在这篇文章中，我们认为UIP的失败是两个经验现象的重合：(1)20世纪80年代独特的样本周期和(2)小的UIP偏差引起的噪声。我们通过构建一个跨越两个世纪的超长时间序列，并根据与UIP的较大偏差运行回归来控制这些经验性人工制品。我们发现，传统回归在整个样本期间产生正的SLPE估计，只有当样本被20世纪80年代的时期主导时，传统回归才会变成负的。我们认为，本样本期间的负估计主要是由于预期未能迅速调整，以适应英国和美国货币政策的制度变化。我们还发现，较大的利差比较小的利差对货币变动的预测能力要强得多。最后，对预期和已实现的政权变动的历史记录进一步说明，预期假说在很长一段时间内是如何成立的，但由于预期对实际政权变动的调整缓慢，或由于对政权更迭或其他从未实现的重大事件的预期，预期可能会在很长一段时间内偏离。
Uncovered interest rate parity (UIP) is one of three key theoretical relations used in analytical work in both international finance and international monetary economics. The problem, however, is that UIP does not seem to hold up well empirically. In this paper, we argue that the failures of UIP that have been so widely documented are a coincidence of two empirical artifacts: (1) the unique sample period of the 1980s and (2) the noise induced by small UIP deviations. We control for these empirical artifacts by constructing an ultra long time series that spans two centuries and by running regressions conditional on large deviations from UIP. We find that traditional regressions yield positive slpe estimates over the whole sample period and become negative only when the sample is dominated by the period of the 1980s. We argue that the negative estimates during this sample period are mainly the result of a failure of expectations to adjust quickly to the regime changes in monetary policy that took place in both the United Kingdom and the United States. We also find that large interest rate differentials have significantly stronger forecasting powers for currency movements than small interest rate differentials. Finally, a historical account of expected and realized regime changes further illustrates how the expectation hypothesis holds over the very long haul but can be deviated from for a long period of time due to slow adjustment of expectations to actual regime changes or to anticipations for extended periods of regime changes or other big events that never materialize.