THE APPLICATION OF REGRESSION ANALYSIS IN TESTING UNCOVERED INTEREST RATE PARITY

• Authors: Joanna Kisielińska , Katarzyna Czech
• Languages of publication: EN

Abstracts

EN

The aim of the paper is to evaluate and compare two linear regression models proposed by Froot and Frankel (1989) and to show their application in verification of the uncovered interest rate parity (UIP) hypothesis in the selected ten exchange rate markets. The paper shows that both models proposed by Froot and Frankel (1989) are formally equivalent, but they may give different regression results. Many researchers claim that uncovered interest rate parity tends to hold more frequently in emerging markets than in developed economies. The paper is focused on five developed and five emerging economies. It is partly confirmed that developing countries work better in terms of UIP.

Keywords

EN

uncovered interest rate parity; exchange rate; linear regression model

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2013
• Volume: 14
• Issue: 1
• Pages: 232-242

Dates

published

2013

Contributors

author

Joanna Kisielińska

• Faculty of Economics Sciences Warsaw University of Life Sciences –SGGW

author

Katarzyna Czech

• Faculty of Economics Sciences Warsaw University of Life Sciences –SGGW

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