Arbeitspapier
Exchange rates and long-term bonds
Tentative evidence suggests that the empiricalfailure 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 beta-coefficients are close to unity. For the corresponding short-term interest rates, the typical finding of a large and significantly negative beta-coefficient is confirmed.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2002:7
- Klassifikation
-
Wirtschaft
Foreign Exchange
Open Economy Macroeconomics
- Thema
-
Long-term interest rates
exchange rates
uncovered interest parity
Zinsparität
Zinsstruktur
Wechselkurs
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Alexius, Annika
Sellin, Peter
- Ereignis
-
Veröffentlichung
- (wer)
-
Uppsala University, Department of Economics
- (wo)
-
Uppsala
- (wann)
-
2002
- Handle
- URN
-
urn:nbn:se:uu:diva-2227
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Alexius, Annika
- Sellin, Peter
- Uppsala University, Department of Economics
Entstanden
- 2002
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