Does the Interest Parity Puzzle Hold for Central and Eastern European Economies?
Marek A. Dąbrowski,
Jakub Janus
Abstract:This paper examines the uncovered interest parity puzzle in Central and Eastern European countries. Apart from investigating baseline UIP regressions, we check for structural breaks in this relationship, scrutinize deviations from the UIP, and employ different estimation methods and models augmented with various risk measures. Moreover, we offer several extensions to the common UIP testing that account for foreign-exchange interventions, the implied volatility of exchange rates, and the limited availability of… Show more
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