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Exchange rates and long-term bonds
Uppsala University, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Faculty of Social Sciences, Department of Economics.
Uppsala University, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Faculty of Social Sciences, Department of Economics.
2002 (English)Report (Other academic)
Abstract [en]

Tentative evidence suggests that the empirical failure of uncovered interest parity (UIP) is confined 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 ß-coefficients are close to unity. For the corresponding short-term interest rates, the typical finding of a large and significantly negative ß-coefficient is confirmed.

Place, publisher, year, edition, pages
Uppsala: Nationalekonomiska institutionen , 2002. , p. 21
Series
Working paper, ISSN 0284-2904 ; 2002:7
Keywords [en]
Economics
Keywords [sv]
Nationalekonomi
National Category
Economics
Identifiers
URN: urn:nbn:se:uu:diva-2227OAI: oai:DiVA.org:uu-2227DiVA, id: diva2:128488
Available from: 2002-04-01 Created: 2002-04-01

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CiteExportLink to record
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Citation style
  • apa
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