Uncovered Interest Rate Parity and the Term Structure
Uncovered Interest Rate Parity and the Term Structure
复制标题
未揭露的利率平价和期限结构
DOI：
10.2139/ssrn.298754
复制
发表时间：
2002
期刊：
影响因子：
--
通讯作者：
Yuhang Xing
中科院分区：
文献类型：
--
作者：
G. Bekaert;Min Wei;Yuhang Xing
本文考察了短期和长期下的无担保利率平价(UIRP)和期限结构的预期假设(EHTS)。反对UIRP的统计证据喜忧参半，而且不受汇率和地平线的影响。从经济上讲，与UIRP的偏差没有以前记录的那么明显。反对EHTS的证据在统计上更加一致，但从经济上讲，实际价差和理论价差(在EHTS为零的情况下构建的价差)的表现没有太大差异，特别是在长期内。部分正因为如此，对EHTS的偏离在解释远视距时对UIRP的偏离只起到很小的作用。汇率和利率的随机游走模型比UIRP-EHTS模型对数据的拟合略好一些。
This paper examines uncovered interest rate parity (UIRP) and the expectations hypotheses of the term structure (EHTS) at both short and long horizons. The statistical evidence against UIRP is mixed and is currency- not horizon-dependent. Economically, the deviations from UIRP are less pronounced than previously documented. The evidence against the EHTS is statistically more uniform, but, economically, actual spreads and theoretical spreads (spreads constructed under the null of the EHTS) do not behave very differently, especially at long horizons. Partly because of this, the deviations from the EHTS only play a minor role in explaining deviations from UIRP at long horizons. A random walk model for both exchange rates and interest rates fits the data marginally better than the UIRP-EHTS model.