Change search
ReferencesLink to record
Permanent link

Direct link
Exchange Rates and Long-term Bonds
Stockholm University, Faculty of Social Sciences, Department of Economics.
(English)In: Scandinavian Journal of Economics, ISSN 0347-0520, E-ISSN 1467-9442Article in journal (Refereed) Accepted
Abstract [en]




Tentative evidence suggests that the empirical failure of uncovered

interest parity (UIP) is con



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



cients are

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



finding of a large and significantly negative β−coeffi

cient is



Research subject
URN: urn:nbn:se:su:diva-53601OAI: diva2:391015
Available from: 2011-01-24 Created: 2011-01-24 Last updated: 2011-07-04Bibliographically approved

Open Access in DiVA

No full text

Other links
By organisation
Department of Economics
In the same journal
Scandinavian Journal of Economics

Search outside of DiVA

GoogleGoogle Scholar
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 35 hits
ReferencesLink to record
Permanent link

Direct link