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Exchange Rates and Long-Term Bonds
Stockholms universitet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
2012 (engelsk)Inngår i: Scandinavian Journal of Economics, ISSN 0347-0520, E-ISSN 1467-9442, Vol. 114, nr 3, s. 974-990Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

There is tentative evidence to suggest that the well-documented empirical failure of uncovered interest parity (UIP) is confined to short-term interest rates. However, tests of UIP for long-term bonds are thwarted by various data problems. These data problems can be avoided by focusing on short investments in long-term bonds. This paper concerns the relationship between changes in the US dollar-Deutsche Mark exchange rate and returns to short investments in US and German long-term government bonds. The hypothesis that expected returns to investments in bonds denominated in the two currencies are equal is not rejected, and the estimated slope coefficients are positive. For corresponding short-term interest rates, the typical finding of negative and large Fama coefficients is confirmed. We conclude that it is the maturity of the asset, rather than the investment horizon, that matters for the results.

sted, utgiver, år, opplag, sider
2012. Vol. 114, nr 3, s. 974-990
Emneord [en]
Exchange rates, Fama coefficients, investment horizons, long-term interest rates, uncovered interest parity
HSV kategori
Identifikatorer
URN: urn:nbn:se:su:diva-85008DOI: 10.1111/j.1467-9442.2012.01703.xISI: 000311608100013OAI: oai:DiVA.org:su-85008DiVA, id: diva2:582313
Merknad

AuthorCount:2;

Tilgjengelig fra: 2013-01-04 Laget: 2013-01-04 Sist oppdatert: 2017-12-06bibliografisk kontrollert

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