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- W2012316056 abstract "This paper combines policy response explanations of the uncovered interest parity puzzle with a time series approach that accounts for discrete central bank interventions. When monetary authorities manage the interest rate differential through an anti-inflationary policy rule, which allows for discrete shifts, then a stochastic segmented trends representation seems appropriate for the exchange rate and the interest rate differential series. In this setting, rational forecast errors are possible, and a test of the uncovered parity hypothesis, based on the cross-equation restrictions on a Markov switching process, suggests that the parity relationship cannot be rejected for three European currencies vis-à-vis the US dollar. Copyright © 2002 John Wiley & Sons, Ltd." @default.
- W2012316056 created "2016-06-24" @default.
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- W2012316056 date "2002-01-01" @default.
- W2012316056 modified "2023-09-25" @default.
- W2012316056 title "Discrete policy interventions and rational forecast errors in foreign exchange markets: the uncovered interest parity hypothesis revisited" @default.
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- W2012316056 doi "https://doi.org/10.1002/ijfe.195" @default.
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