Uncovered interest rate parity and the expectations hypothesis of the term structure: empirical results for the US and Europe
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Publication:5386512
zbMATH Open1134.62377MaRDI QIDQ5386512FDOQ5386512
Authors: Jürgen Wolters 
Publication date: 14 May 2008
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
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- Testing uncovered interest rate parity and term structure using multivariate threshold cointegration
- Mean-variance cointegration and the expectations hypothesis
- Uncovered interest parity and policy behavior: New evidence
- Are German money market rates well behaved?
- On the equality of real interest rates across borders in integrated capital markets
- A panel data analysis of uncovered interest parity and time-varying risk premium
- Testing for UIP-type relationships: nonlinearities, monetary announcements and interest rate expectations
- Term structure of interest rates and the expectation hypothesis: The Euro area
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