AN ALTERNATIVE APPROACH TO TESTING UNCOVERED INTEREST PARITY

Authors
BHATTI RH MOOSA IA
Citation
Rh. Bhatti et Ia. Moosa, AN ALTERNATIVE APPROACH TO TESTING UNCOVERED INTEREST PARITY, Applied economics letters, 2(12), 1995, pp. 478-481
Citations number
20
Categorie Soggetti
Economics
Journal title
Applied economics letters → ACNP
ISSN journal
13504851
Volume
2
Issue
12
Year of publication
1995
Pages
478 - 481
Database
ISI
SICI code
1350-4851(1995)2:12<478:AAATTU>2.0.ZU;2-U
Abstract
This paper presents some evidence on the uncovered interest parity (UI P) hypothesis using an alternative model specification and quarterly d ata on three-month treasury bill rates denominated in eleven currencie s vis-a-vis the dollar. Results of cointegration and coefficient restr iction tests are strongly supportive of UIP in all cases. These result s suggest that capital and foreign exchange markets have become highly integrated.