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A rank approach for studying cross-currency bases and the covered interest rate parity
dc.creator | Ordoñez-Callamand, Daniel |
dc.creator | Gómez-González, José Eduardo |
dc.creator | Gomez-Malagon, Santiago |
dc.creator | Melo-Velandia, Luis Fernando |
dc.date.created | 2017-05-08 |
dc.date.issued | 2017-05-08 |
dc.identifier.citation | N. 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.citation | C. 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.citation | C. 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.uri | https://repositorio.banrep.gov.co/handle/20.500.12134/6307 |
dc.description.abstract | We 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.extent | 12 páginas : gráficas, tablas |
dc.format.mimetype | |
dc.language.iso | eng |
dc.publisher | Banco de la República de Colombia |
dc.relation.ispartof | Documentos de trabajo |
dc.relation.ispartofseries | Borradores de Economía |
dc.relation.isversionof | Borradores de Economía; No. 994 |
dc.rights.accessRights | Open Access |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/4.0/ |
dc.subject | Paridad cubierta de tasas de interés |
dc.subject | Pruebas de rango no paramétricas |
dc.subject | Cointegración |
dc.subject | Series de tiempo en panel |
dc.subject | Tipos de cambio cruzado |
dc.title | A rank approach for studying cross-currency bases and the covered interest rate parity |
dc.type | Working Paper |
dc.subject.jel | C12 - Hypothesis Testing: General |
dc.subject.jel | C33 - Multiple/Simultaneous Equation Models; Multiple Variables: Panel Data Models; Spatio-temporal Models |
dc.subject.jel | E43 - Interest Rates: Determination, Term Structure, and Effects |
dc.audience | Policymakers |
dc.audience | Researchers |
dc.audience | Students |
dc.audience | Teachers |
dc.subject.keyword | Covered interest rate parity |
dc.subject.keyword | Nonparametric rank tests |
dc.subject.keyword | Cointegration |
dc.subject.keyword | Time series |
dc.subject.lemb | Mercado monetario -- Estudios comparados -- Europa -- 2005-2017 |
dc.subject.lemb | Tasas de interés -- Estudios comparados -- Europa -- 2005-2017 |
dc.subject.lemb | Tipos de cambio -- Estudios comparados -- Europa -- 2005-2017 |
dc.type.spa | Documentos de trabajo |
dc.rights.spa | Acceso abierto |
dc.rights.cc | Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0 |
dc.subject.jelspa | E43 - Tipos de interés: determinación, estructura temporal y efectos |
dc.subject.jelspa | C12 - Contraste de hipótesis: generalidades |
dc.subject.jelspa | C33 - Modelos de ecuaciones múltiples/simultáneas; Variables múltiples: Modelos con datos de panel; Modelos espacio |
dc.type.hasversion | Published Version |
dc.coverage.sucursal | Bogotá |
dc.source.bibliographicCitation | N. 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.bibliographicCitation | C. 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.bibliographicCitation | C. 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.doi | https://doi.org/10.32468/be.994 |
dc.rights.disclaimer | Las 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.repec | https://ideas.repec.org/p/bdr/borrec/994.html |
dc.identifier.handle | https://hdl.handle.net/20.500.12134/6307 |
dc.creator.firma | Luis Fernando Melo-Velandia |
dc.source.handleRepec | RePEc:bdr:borrec:994 |
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