Publication detail

Ferreira, P. & Kristoufek, L.: Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union

Author(s): prof. PhDr. Ladislav Krištoufek Ph.D., Ferreira, Paulo
Type: Articles in journals with impact factor
Year: 2020
Number: 0
ISSN / ISBN:
Published in: Physica A: Statistical Mechanics and Its Applications 553:124257 PDF
Publishing place:
Keywords: uncovered interest rate parity, detrended cross-correlation analysis, detrending moving-average cross-correlation analysis
JEL codes:
Suggested Citation:
Abstract: We study the uncovered interest rate parity in the European Union utilising the newly proposed regression frameworks based on the detrended cross-correlation analysis and the detrending moving-average cross-correlation analysis. The parity is analysed for three groups -- the early Euro adopters, the later adopters, and the EU countries that are outside of the Eurozone. The main contributions of our study are twofold. First, we have analysed a large dataset that is not standard in the topical applied papers. And second, the utilised methods have allowed us to focus on possible differences between the short-term and long-term relationships between the interest rate differentials and foreign exchange rates that form the parity. Overall, the evidence for the parity is scarce, which is in hand with most of the previous studies. However, we have also uncovered some interesting patterns in the results and we provide an additional discussion of possible causes and directions for future research.
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