Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F20%3A00522061" target="_blank" >RIV/67985556:_____/20:00522061 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.sciencedirect.com/science/article/pii/S0378437120300698" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0378437120300698</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.physa.2020.124257" target="_blank" >10.1016/j.physa.2020.124257</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union

Popis výsledku v původním jazyce

We study the uncovered interest rate parity in the European Union utilising the newly proposed regression frameworks based on the detrended cross-correlation analysis and the detrending moving-average cross-correlation analysis. The parity is analysed for three groups – the early Euro adopters, the later adopters, and the EU countries that are outside of the Eurozone. The main contributions of our study are twofold. First, we have analysed a large dataset that is not standard in the topical applied papers. And second, the utilised methods have allowed us to focus on possible differences between the short-term and long- term relationships between the interest rate differentials and foreign exchange rates that form the parity. Overall, the evidence for the parity is scarce, which is in hand with most of the previous studies. However, we have also uncovered some interesting patterns in the results and we provide an additional discussion of possible causes and directions for future research.

Název v anglickém jazyce

Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union

Popis výsledku anglicky

We study the uncovered interest rate parity in the European Union utilising the newly proposed regression frameworks based on the detrended cross-correlation analysis and the detrending moving-average cross-correlation analysis. The parity is analysed for three groups – the early Euro adopters, the later adopters, and the EU countries that are outside of the Eurozone. The main contributions of our study are twofold. First, we have analysed a large dataset that is not standard in the topical applied papers. And second, the utilised methods have allowed us to focus on possible differences between the short-term and long- term relationships between the interest rate differentials and foreign exchange rates that form the parity. Overall, the evidence for the parity is scarce, which is in hand with most of the previous studies. However, we have also uncovered some interesting patterns in the results and we provide an additional discussion of possible causes and directions for future research.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/GJ17-12386Y" target="_blank" >GJ17-12386Y: Multifraktální analýza ve financích: Extrémní události, řízení rizika a portfolia, a komplexita trhů</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2020

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Physica. A : Statistical Mechanics and its Applications

ISSN

0378-4371

e-ISSN

—

Svazek periodika

553

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

10

Strana od-do

124257

Kód UT WoS článku

000539159200028

EID výsledku v databázi Scopus

2-s2.0-85079369585