The Application of Regression Analysis in Testing Uncovered Interest Rate Parity

• Autorzy: Joanna Kisielińska , Katarzyna Czech
• Języki publikacji: EN

Abstrakty

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. (original abstract)

Słowa kluczowe

PL

Stopa procentowa; Analiza regresji; Kurs walutowy

EN

Interest rate; Regression analysis; Exchange rates

• Czasopismo: Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego
• Rocznik: 2013
• Tom: 14(XIV)
• Numer: nr 1
• Strony: 232-242

Twórcy

autor

Joanna Kisielińska

• Szkoła Główna Gospodarstwa Wiejskiego w Warszawie

autor

Katarzyna Czech

• Szkoła Główna Gospodarstwa Wiejskiego w Warszawie

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