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The Failure of Uncovered Interest Parity: Is it Near-rationality in the Foreign Exchange Market?
1 May 1991
RDP
9103
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1991/9103.html
The Failure of Uncovered Interest Parity: Is it Near-Rationality in the Foreign Exchange Market?
1 May 1991
RDP
9103
https://www.rba.gov.au/publications/rdp/1991/9103/
References
1 May 1991
RDP
9103
RDP 9103: The Failure of Uncovered Interest Parity: Is it Near-Rationality in the Foreign Exchange Market? ... Cumby, R.E. (1988), βIs it risk? Explaining deviations from uncovered interest parity.β Journal of Monetary Economics, 22, 279β299.
https://www.rba.gov.au/publications/rdp/1991/9103/references.html
Appendix
1 May 1991
RDP
9103
RDP 9103: The Failure of Uncovered Interest Parity: Is it Near-Rationality in the Foreign Exchange Market?
https://www.rba.gov.au/publications/rdp/1991/9103/appendix.html
Data Appendix
1 May 1991
RDP
9103
RDP 9103: The Failure of Uncovered Interest Parity: Is it Near-Rationality in the Foreign Exchange Market? ... For Japan, it is the end-month observation on the 7-year bond rate.
https://www.rba.gov.au/publications/rdp/1991/9103/data-appendix.html
Introduction
1 May 1991
RDP
9103
RDP 9103: The Failure of Uncovered Interest Parity: Is it Near-Rationality in the Foreign Exchange Market? ... It follows from the joint hypothesis that the foreign exchange market is efficient, that traders are risk-neutral and that transaction costs
https://www.rba.gov.au/publications/rdp/1991/9103/introduction.html
The Model
1 May 1991
RDP
9103
RDP 9103: The Failure of Uncovered Interest Parity: Is it Near-Rationality in the Foreign Exchange Market? ... We now posit an expected utility function and maximize it with respect to the portfolio shares.
https://www.rba.gov.au/publications/rdp/1991/9103/model.html
Discussion
1 May 1991
RDP
9103
RDP 9103: The Failure of Uncovered Interest Parity: Is it Near-Rationality in the Foreign Exchange Market? ... In our model framework, it would occur when the short-term differential between foreign and domestic interest rates is 3%p.a.
https://www.rba.gov.au/publications/rdp/1991/9103/discussion.html