Testing Uncovered Interest Parity at Short and Long Horizons During the Post-Bretton Woods Era
Testing Uncovered Interest Parity at Short and Long Horizons During the Post-Bretton Woods Era
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在后布雷顿森林时代测试短期和长期的未发现的利率平价
DOI：
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发表时间：
2002
期刊：
影响因子：
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通讯作者：
G. Meredith
中科院分区：
文献类型：
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作者：
M. Chinn;G. Meredith
利率差异是未来汇率走势的无偏见预测指标的假设，在实证研究中几乎被普遍拒绝。与之前使用短期数据的研究不同，我们使用美国、德国、日本和加拿大较长期债券的利率来检验这一假设。这些长期回归的结果要积极得多--利差系数具有正确的符号，而且大多数更接近预测的单位值而不是零。这些结果对于使用不同的数据频率、样本期、收益率定义和基础货币是稳健的。我们呼吁对结果进行计量经济学解释，重点是协整框架中存在的同时性。
The hypothesis that interest rate differentials are unbiased predictors of future exchange rate movements has been almost universally rejected in empirical studies. In contrast to previous studies, which have used short-horizon data, we test this hypothesis using interest rates on longer-maturity bonds for the U.S., Germany, Japan and Canada. The results of these long-horizon regressions are much more positive -- the coefficients on interest differentials are of the correct sign, and most are closer to the predicted value of unity than to zero. These results are robust to the use of different data frequencies, sample periods, yield definitions, and base currencies. We appeal to an econometric interpretation of the results, which focuses on the presence of simultaneity in a cointegration framework.