Econometric testing of uncovered interest rate parity in Serbia
This paper provides econometric evidence of the interest parity puzzle in Serbia over the period 2005-2016. Econometric findings are derived from the following techniques: long-run parameter estimation based on the autoregressive distributed lag model, impulse response function computed...
| Κύριοι συγγραφείς: | , |
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| Μορφή: | Άρθρο |
| Γλώσσα: | English |
| Έκδοση: |
Faculty of Economics, Belgrade
2018-01-01
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| Σειρά: | Ekonomski Anali |
| Θέματα: | |
| Διαθέσιμο Online: | http://www.doiserbia.nb.rs/img/doi/0013-3264/2018/0013-32641816035M.pdf |
| Περίληψη: | This paper provides econometric evidence of the interest parity puzzle in
Serbia over the period 2005-2016. Econometric findings are derived from the
following techniques: long-run parameter estimation based on the
autoregressive distributed lag model, impulse response function computed
from the bivariate vector autoregressive model, and estimation of the
two-regime Markov switching parameter model. Our results indicate that a
positive interest differential corrected for country risk leads to
significant dinar appreciation against the euro. The intensity of this
impact is different across sub-periods of low exchange rate variability and
high variability. Exchange rate movements are found to appreciate more
strongly during lower variability episodes. Preliminary econometric
investigation of four other European emerging economies documents similar
findings only for Romania. Our results suggest that there is a huge
incentive for shortterm carry trades in Serbia, regardless of substantial
risks. |
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| ISSN: | 0013-3264 1820-7375 |