A RECONSIDERATION OF THE UNCOVERED INTEREST PARITY RELATIONSHIP

• 成果类型: Article
• 署名作者: MCCALLUM, BT
• 署名单位: National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/0304-3932(94)90016-7
• 发表日期: 1994
• 页码: 105-132
• 关键词: Exchange rates; interest parity

摘要

This paper argues that the uncovered interest parity (UIP) relationship is distinct from, and more important than, the unbiasedness of forward exchange rates as predictors of future spot rates. The standard finding that the slope estimate beta is roughly - 3 in regressions of DELTAs(t) on f(t-1) - s(t-1) implies rejection of unbiasedness but not necessarily UIP. The hypothesis that monetary authorities manage interest rates so as to smooth their movements, while also resisting changes in exchange rates, is attractive conceptually and is capable of explaining not only the beta = - 3 finding but also several other notable features of the data.