A rank approach for studying cross-currency bases and the covered interest rate parity

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dc.audiencePolicymakerseng
dc.audienceResearcherseng
dc.audienceStudentseng
dc.audienceTeacherseng
dc.coverage.sucursalBogotáspa
dc.creatorOrdoñez-Callamand, Daniel
dc.creatorGómez-González, José Eduardo
dc.creatorGomez-Malagon, Santiago
dc.creatorMelo-Velandia, Luis Fernando
dc.creator.firmaLuis Fernando Melo-Velandia
dc.date.accessioned2017-05-08T08:30:10Zeng
dc.date.available2017-05-08T08:30:10Zspa
dc.date.created2017-05-08spa
dc.date.issued2017-05-08eng
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.eng
dc.format.extent12 páginas : gráficas, tablasspa
dc.format.mimetypePDFeng
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.eng
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.eng
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.eng
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/6307spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/6307eng
dc.language.isoengeng
dc.publisherBanco de la República de Colombiaspa
dc.relation.doihttps://doi.org/10.32468/be.994spa
dc.relation.ispartofDocumentos de trabajospa
dc.relation.ispartofseriesBorradores de Economíaspa
dc.relation.isversionofBorradores de Economía; No. 994spa
dc.relation.numberBorrador 994spa
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/994.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
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.spa
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
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.eng
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.eng
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.eng
dc.source.handleRepecRePEc:bdr:borrec:994spa
dc.subjectParidad cubierta de tasas de interésspa
dc.subjectPruebas de rango no paramétricasspa
dc.subjectCointegraciónspa
dc.subjectSeries de tiempo en panelspa
dc.subjectTipos de cambio cruzadospa
dc.subject.jelC12 - Hypothesis Testing: Generaleng
dc.subject.jelC33 - Multiple/Simultaneous Equation Models; Multiple Variables: Panel Data Models; Spatio-temporal Modelseng
dc.subject.jelE43 - Interest Rates: Determination, Term Structure, and Effectseng
dc.subject.jelspaE43 - Tipos de interés: determinación, estructura temporal y efectosspa
dc.subject.jelspaC12 - Contraste de hipótesis: generalidadesspa
dc.subject.jelspaC33 - Modelos de ecuaciones múltiples/simultáneas; Variables múltiples: Modelos con datos de panel; Modelos espaciospa
dc.subject.keywordCovered interest rate parityeng
dc.subject.keywordNonparametric rank testseng
dc.subject.keywordCointegrationeng
dc.subject.keywordTime serieseng
dc.subject.lembMercado monetario -- Estudios comparados -- Europa -- 2005-2017spa
dc.subject.lembTasas de interés -- Estudios comparados -- Europa -- 2005-2017spa
dc.subject.lembTipos de cambio -- Estudios comparados -- Europa -- 2005-2017spa
dc.titleA rank approach for studying cross-currency bases and the covered interest rate parityeng
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajospa

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