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.

Language: Englisch

Bibliographic citation: Series: Working Paper ; No. 2002:7

Classification: Wirtschaft
Foreign Exchange
Open Economy Macroeconomics

Subject: Long-term interest rates
exchange rates
uncovered interest parity
Zinsparität
Zinsstruktur
Wechselkurs

Event: Geistige Schöpfung

(who): Alexius, Annika
Sellin, Peter

Event: Veröffentlichung

(who): Uppsala University, Department of Economics

(where): Uppsala

(when): 2002

Handle: http://hdl.handle.net/10419/82886

URN: urn:nbn:se:uu:diva-2227

Last update: 10.03.2025, 11:41 AM CET

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Object type

Arbeitspapier

Associated

Alexius, Annika
Sellin, Peter
Uppsala University, Department of Economics

Time of origin

2002

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Exchange rates and long-term bonds

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Other Objects (12)

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