Interest Rate Parity in times of Turbulence: the Issue Revisited
نویسندگان
چکیده
Empirical studies on covered interest arbitrage suggest that the interest rate parity condition does not always hold during times of turbulence in the foreign exchange markets, implying market inefficiency. This paper considers two different approaches [Taylor (1989) and Clinton (1988)] to measuring deviations from interest rate parity for a period of turbulence in the foreign exchange markets and for a control period. The different procedures yield results which conflict with earlier studies.
منابع مشابه
Foreign Exchange Rate Pricing at the Future Contract (Case of I.R. of Iran)
The RER which is theoretically influenced by the real interest rate differential (RRE) and currency excess return (CER), is statistically examined during 1990-2016. Accordingly, the stationarity of RER as null hypothesis is not approved in the Iranian economy. Therefore, the TVAR method is examined to analyze the nonstationary RER sample to two sub-periods stationary process which are both stat...
متن کاملThe effect of turbulence model on predicting the development and progression of coronary artery atherosclerosis
A severe case of stenosis in coronary arteries results in turbulence in the blood flow which may lead to the formation or progression of atherosclerosis. This study investigated the turbulent blood flow in a coronary artery with rigid walls, as well as 80% single and double stenoses on blood flow. A finite element-based software package, ADINA 8.8, was employed to model the blood flow. The hemo...
متن کاملEffect of Milking Frequency on the Lactation Performance and Lactation Curve of Holstein Dairy Cows in Iran
The aim of this study was to investigate the effect of milking frequency (three times daily vs. two times daily) on the lactation curve shape, partial and 305-d lactation performance in Holstein dairy cows in Iran. Data from February 2000 to December 2012 comprising 217345 lactations on 141364 cows distributed in 324 herds collected by the Animal Breeding Center of Iran were used. The mean milk...
متن کاملThe Relationship Between the Facility Interest Rate and Three Main Variable of the Money Market In Iran (1986-2017)
The bank interest rate is one of the most important macroeconomic variable in each country economic. The purpose of this paper is find the relationship between the facility interest rate and three main variable of the money market.In Iran. this issue for equations the interest rate facility, the interest rate of deposit, inflation and credit risk utilizing the model simultaneous equation system...
متن کاملA&a Manuscript No. Three Dimensional Dynamos in Spiral Galaxies
Solutions of the 3D nonlinear induction equation for dynamos in spiral galaxies are presented in this paper. Our model includes diierential rotation, ambipolar diiusion and, based on small-scale turbulence, eddy diiu-sivity and the tensorial {eeect underlying magnetic feedback. The nonaxisymmetric radial-azimuthal spiral pattern and the vertical stratiication of the galaxy are represented in th...
متن کامل