Cover Image
Read Now

Co-Movements in Long-Term Interest Rates and the Role of PPP-Based Exchange Rate Expectations

This paper investigates international co-movement in bond yields by testing for uncovered interest parity (UIP). Existing work is supplemented by focusing on long instead of short-term interest rates and by employing exchange rate expectations derived from purchasing power parity (PPP) instead of ac...

Full description

Bibliographic Details
Main Author: Knot, Klaas
Other Authors: Berk, Jan
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 1999
Series:IMF Working Papers
Subjects:
Capital
Finance
Interest Rate Parity
Saving And Investment
Foreign Exchange
Long Term Interest Rates
National Accounts
Interest Rates
Return On Investment
Intangible Capital
Yield Curve
Exchange Rates
Investment
Currency
Banks And Banking
Financial Services
Capacity
Interest Rates: Determination, Term Structure, And Effects
Investments: General
Financial Markets And The Macroeconomy
Macroeconomics
United States
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:This paper investigates international co-movement in bond yields by testing for uncovered interest parity (UIP). Existing work is supplemented by focusing on long instead of short-term interest rates and by employing exchange rate expectations derived from purchasing power parity (PPP) instead of actual outcomes. Among the major currencies during 1975-97, the paper does not find a further increase in co-movement beyond that associated with the wave of financial market liberalization in the early 1980s. Given the similarity between PPP-based UIP tests and those employing actual exchange rate outcomes, the value added of the former lies mainly with data availability
Physical Description:28 pages
ISBN:9781451850345

Similar Items