Testing for UIP-type relationships: nonlinearities, monetary announcements and interest rate expectations

DOI10.1007/S11079-021-09640-8MaRDI QIDQ2685474zbMATH OpenOpenAlexFDO

Authors Christina Anderl, Guglielmo Maria Caporale

Publication date 22 February 2023

Published in Open Economies Review (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s11079-021-09640-8

zbMATH Keywords

exchange ratenonlinearitiesasymmetric adjustmentUIPCVaR (Cointegrated VAR)interest rate announcementsinterest rate expectationsSTCVAR (Smooth Transition Cointegrated VAR)

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle
• TESTS OF SIGNIFICANCE IN MULTIVARIATE ANALYSIS
• Testing linearity against smooth transition autoregressive models
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• Testing the adequacy of smooth transition autoregressive models
• The cointegrated VAR model: Methodology and applications.
• Vector autoregressive processes with nonlinear time trends in cointegrating relations

Cited in

(1)

• Monetary policy announcements, information shocks, and exchange rate dynamics

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