Use of (Time-Domain) Vector Autoregressions to Test Uncovered Interest Parity

1 May 1988

journal article
Published by JSTOR in The Review of Economics and Statistics

Vol. 70 (2) , 296
https://doi.org/10.2307/1928314

Abstract

A vector autoregression model (VAR) is proposed in order to test uncovered interest parity (UIP) in the foreign exchange market. Consider a VAR system of the sp...

Keywords

COVERED INTEREST PARITY
HYPOTHESIS TEST
WALD TEST
RISK PREMIUM
INTEREST RATE
VECTOR AUTOREGRESSION
DEVELOPING COUNTRY
FOREIGN EXCHANGE MARKET
TIME DOMAIN
UNCOVERED INTEREST PARITY

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