Interest Rate Parity, Purchasing Power Parity, and the Fisher relation between real and nominal interest are intimately connected consequences of optimal multi-period consumption/investment decisions. These three relations hold in their classic form only under complete certainty. With uncertainty, interest rate parity remains unaltered, but more complex equations involving risk premia obtain for purchasing power parity and the Fisher relation. A more complete market (with commodity futures) simplifies considerably these latter two conditions
This note tests the hypothesis that nominal interest differentials between similar assets denominate...
URL des Documents de travail : http://ces.univ-paris1.fr/cesdp/cesdp2016.html<br>Voir aussi l'articl...
The purchasing power parity puzzle is among the central issues of international macroeconomics. In m...
Interest Rate Parity, Purchasing Power Parity, and the Fisher relation between real and nominal inte...
This paper examines the interrelations between purchasing power parity, uncovered interest parity, t...
Built on a consumption-based capital asset pricing model, this paper presents a coherent theoretical...
This paper uses multi-country data for the period 1973–1994 to investigate five key equilibrium cond...
This paper uses multi-country data for the period 1973±1994 to investigate ®ve key equilibrium condi...
According to one strand of the international finance literature, market efficiency implies that the ...
Assuming that asset markets are complete and arbitrage-free, the exchange rate can be expressed in t...
The real interest parity (RIP) condition combines two cornerstones in international finance, uncover...
The theory of uncovered interest rate parity has enjoyed very little empirical support. Despite the ...
This paper examines the interrelations between purchasing power parity, uncovered interest parity, t...
65 pagesThe incredible profitability of the carry trade over the past six decades constitutes a puzz...
In an open economy, the scope for activist stabilization policy depends on the nature of the linkage...
This note tests the hypothesis that nominal interest differentials between similar assets denominate...
URL des Documents de travail : http://ces.univ-paris1.fr/cesdp/cesdp2016.html<br>Voir aussi l'articl...
The purchasing power parity puzzle is among the central issues of international macroeconomics. In m...
Interest Rate Parity, Purchasing Power Parity, and the Fisher relation between real and nominal inte...
This paper examines the interrelations between purchasing power parity, uncovered interest parity, t...
Built on a consumption-based capital asset pricing model, this paper presents a coherent theoretical...
This paper uses multi-country data for the period 1973–1994 to investigate five key equilibrium cond...
This paper uses multi-country data for the period 1973±1994 to investigate ®ve key equilibrium condi...
According to one strand of the international finance literature, market efficiency implies that the ...
Assuming that asset markets are complete and arbitrage-free, the exchange rate can be expressed in t...
The real interest parity (RIP) condition combines two cornerstones in international finance, uncover...
The theory of uncovered interest rate parity has enjoyed very little empirical support. Despite the ...
This paper examines the interrelations between purchasing power parity, uncovered interest parity, t...
65 pagesThe incredible profitability of the carry trade over the past six decades constitutes a puzz...
In an open economy, the scope for activist stabilization policy depends on the nature of the linkage...
This note tests the hypothesis that nominal interest differentials between similar assets denominate...
URL des Documents de travail : http://ces.univ-paris1.fr/cesdp/cesdp2016.html<br>Voir aussi l'articl...
The purchasing power parity puzzle is among the central issues of international macroeconomics. In m...