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

DOI10.1007/S11079-021-09640-8OpenAlexW4213083501MaRDI QIDQ2685474FDOQ2685474

Authors: Christina Anderl, Guglielmo Maria Caporale 

Publication date: 22 February 2023

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

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

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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)

Cites Work

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

Cited In (1)

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

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