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dc.creatorOrdoñez-Callamand, Daniel
dc.creatorGómez-González, José Eduardo
dc.creatorGomez-Malagon, Santiago
dc.creatorMelo-Velandia, Luis Fernando
dc.date.created2017-05-08
dc.date.issued2017-05-08
dc.identifier.citationN. Baba and F. Packer. Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08. Journal of Banking & Finance, 33(11):1953 – 1962, 2009.
dc.identifier.citationC. F. Baum and J. Barkoulas. Dynamics of intra-ems interest rate linkages. Journal of Money, Credit, and Banking, 38(2):469–482, 2006.
dc.identifier.citationC. Borio, R. McCauley, P. McGuire, and V. Sushko. Covered interest parity lost: understanding the cross-currency basis. Working paper, Bank of International Settlements, September 2016.
dc.identifier.urihttp://repositorio.banrep.gov.co/handle/20.500.12134/6307
dc.description.abstractWe use the recently developed panel rank-cointegration test proposed by Pedroni et al. [2015] to check for the stability conditions of the cross-country money market interest rate bases. Using weekly information on short-term interest rates and spot and forward exchange rates for a set of 20 European economies during 2005-2017, we show that in most cases these bases are non-stationary, implying the failure of the Covered Interest Rate Parity condition. Concretely, a mean-reverting behavior is encountered in only two cases. The first includes Greece, Italy and Portugal, while the second Belgium, France and Germany.
dc.format.extent12 páginas : gráficas, tablas
dc.format.mimetypePDF
dc.language.isoeng
dc.publisherBanco de la República de Colombia
dc.relation.ispartofDocumentos de trabajo
dc.relation.ispartofseriesBorradores de Economía
dc.relation.isversionofBorradores de Economía; No. 994
dc.rights.accessRightsOpen Access
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/
dc.subjectParidad cubierta de tasas de interés
dc.subjectPruebas de rango no paramétricas
dc.subjectCointegración
dc.subjectSeries de tiempo en panel
dc.subjectTipos de cambio cruzado
dc.titleA rank approach for studying cross-currency bases and the covered interest rate parity
dc.typeWorking Paper
dc.subject.jelC12 - Hypothesis Testing: General
dc.subject.jelC33 - Multiple/Simultaneous Equation Models; Multiple Variables: Panel Data Models; Spatio-temporal Models
dc.subject.jelE43 - Interest Rates: Determination, Term Structure, and Effects
dc.audiencePolicymakers
dc.audienceResearchers
dc.audienceStudents
dc.audienceTeachers
dc.subject.keywordCovered interest rate parity
dc.subject.keywordNonparametric rank tests
dc.subject.keywordCointegration
dc.subject.keywordTime series
dc.subject.lembMercado monetario -- Estudios comparados -- Europa -- 2005-2017
dc.subject.lembTasas de interés -- Estudios comparados -- Europa -- 2005-2017
dc.subject.lembTipos de cambio -- Estudios comparados -- Europa -- 2005-2017
dc.type.spaDocumentos de trabajo
dc.rights.spaAcceso abierto
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0
dc.subject.jelspaE43 - Tipos de interés: determinación, estructura temporal y efectos
dc.subject.jelspaC12 - Contraste de hipótesis: generalidades
dc.subject.jelspaC33 - Modelos de ecuaciones múltiples/simultáneas; Variables múltiples: Modelos con datos de panel; Modelos espacio
dc.type.hasversionPublished Version
dc.coverage.sucursalBogotá
dc.source.bibliographicCitationN. Baba and F. Packer. Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08. Journal of Banking & Finance, 33(11):1953-1962, 2009.
dc.source.bibliographicCitationC. F. Baum and J. Barkoulas. Dynamics of intra-ems interest rate linkages. Journal of Money, Credit, and Banking, 38(2):469-482, 2006.
dc.source.bibliographicCitationC. Borio, R. McCauley, P. McGuire, and V. Sushko. Covered interest parity lost: understanding the cross-currency basis. Working paper, Bank of International Settlements, September 2016.
dc.relation.doihttps://doi.org/10.32468/be.994
dc.rights.disclaimerLas opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
dc.relation.numberBorrador 994
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/994.html
dc.identifier.handlehttp://hdl.handle.net/20.500.12134/6307
dc.creator.firmaLuis Fernando Melo-Velandia
dc.source.handleRepecRePEc:bdr:borrec:994


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