Arbitrage, Covered Interest Parity and Cointegration Analysis on the NTD/USD Forex Market Revisited
This study applies interest parity theory including Covered Interest Parity (CIP) to examine the 30-, 60-.90-, and 180-day maturities for the NTD/USD foreign exchange (FX) market. In the empirical unit root tests, we find that NTD/USD forward premium and interest rate spread present I(0) property....
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2017-01-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://www.econjournals.com/index.php/ijefi/article/view/3400 |