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Exchange Rates and Long-term Bonds
Stockholms universitet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
(Engelska)Ingår i: Scandinavian Journal of Economics, ISSN 0347-0520, E-ISSN 1467-9442Artikel i tidskrift (Refereegranskat) Accepted
Abstract [en]

 

 

 

Tentative evidence suggests that the empirical failure of uncovered

interest parity (UIP) is con

 

fi

ned to short-term interest rates. Tests of

UIP for long-term interest rates are however hampered by various data

problems. By focusing on short investments in long-term bonds, these

data problems can be avoided. We study the relationship between the

US dollar - Deutsch Mark exchange rate and German and American

bond rates. The hypothesis that expected returns to investments in

bonds denominated in the two currencies are equal cannot be rejected.

This result is not simply due to low power as the

 

β−coeffi

cients are

close to unity. For the corresponding short-term interest rates, the

typical

 

finding of a large and significantly negative β−coeffi

cient is

con

firmed.

Forskningsämne
nationalekonomi
Identifikatorer
URN: urn:nbn:se:su:diva-53601OAI: oai:DiVA.org:su-53601DiVA, id: diva2:391015
Tillgänglig från: 2011-01-24 Skapad: 2011-01-24 Senast uppdaterad: 2017-12-11Bibliografiskt granskad

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Fulltext saknas i DiVA

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http://www.nek.uu.se/Pdf/wp2002_7.pdf
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