Time Horizon And Uncovered Interest Parity In Emerging Economies
The aim of this study is to re-examine the well-known empirical puzzle of uncovered interest parity (UIP) for emerging market economies with different prediction time horizons. The empirical results obtained using dynamic panel and time series techniques for monthly data from January 1995 to Dece...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Asian Academy of Management (AAM)
2011
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| Subjects: | |
| Online Access: | http://eprints.usm.my/36566/1/AAMJ_16.2.5.pdf |
| _version_ | 1825833494518956032 |
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| author | Sarmidi, Tamat Mohd Salleh, Norlida Hanim |
| author_facet | Sarmidi, Tamat Mohd Salleh, Norlida Hanim |
| author_sort | Sarmidi, Tamat |
| collection | USM |
| description | The aim of this study is to re-examine the well-known empirical puzzle of uncovered
interest parity (UIP) for emerging market economies with different prediction time
horizons. The empirical results obtained using dynamic panel and time series techniques
for monthly data from January 1995 to December 2009 eventually show that the panel
data estimates are more powerful than those obtained by applying individual time series
estimations and the significant contribution of the exchange rate prediction horizons in
determining the status of UIP. This finding reveals that at the longer time horizon, the
model has better econometric specification and thus more predictive power for exchange
rate movements compared to the shorter time period. The findings can also be a
signalling of well-integrated currency markets and a reliable guide to international
investors as well as for the orderly conduct of monetary authorities. |
| first_indexed | 2024-03-06T15:08:40Z |
| format | Article |
| id | usm.eprints-36566 |
| institution | Universiti Sains Malaysia |
| language | English |
| last_indexed | 2024-03-06T15:08:40Z |
| publishDate | 2011 |
| publisher | Asian Academy of Management (AAM) |
| record_format | dspace |
| spelling | usm.eprints-365662017-09-18T04:53:27Z http://eprints.usm.my/36566/ Time Horizon And Uncovered Interest Parity In Emerging Economies Sarmidi, Tamat Mohd Salleh, Norlida Hanim HD28-70 Management. Industrial Management The aim of this study is to re-examine the well-known empirical puzzle of uncovered interest parity (UIP) for emerging market economies with different prediction time horizons. The empirical results obtained using dynamic panel and time series techniques for monthly data from January 1995 to December 2009 eventually show that the panel data estimates are more powerful than those obtained by applying individual time series estimations and the significant contribution of the exchange rate prediction horizons in determining the status of UIP. This finding reveals that at the longer time horizon, the model has better econometric specification and thus more predictive power for exchange rate movements compared to the shorter time period. The findings can also be a signalling of well-integrated currency markets and a reliable guide to international investors as well as for the orderly conduct of monetary authorities. Asian Academy of Management (AAM) 2011 Article PeerReviewed application/pdf en http://eprints.usm.my/36566/1/AAMJ_16.2.5.pdf Sarmidi, Tamat and Mohd Salleh, Norlida Hanim (2011) Time Horizon And Uncovered Interest Parity In Emerging Economies. Asian Academy of Management Journal (AAMJ), 16 (2). pp. 1-24. ISSN 1394-2603 http://web.usm.my/aamj/16.2.2011/AAMJ_16.2.5.pdf |
| spellingShingle | HD28-70 Management. Industrial Management Sarmidi, Tamat Mohd Salleh, Norlida Hanim Time Horizon And Uncovered Interest Parity In Emerging Economies |
| title | Time Horizon And Uncovered Interest Parity In
Emerging Economies |
| title_full | Time Horizon And Uncovered Interest Parity In
Emerging Economies |
| title_fullStr | Time Horizon And Uncovered Interest Parity In
Emerging Economies |
| title_full_unstemmed | Time Horizon And Uncovered Interest Parity In
Emerging Economies |
| title_short | Time Horizon And Uncovered Interest Parity In
Emerging Economies |
| title_sort | time horizon and uncovered interest parity in emerging economies |
| topic | HD28-70 Management. Industrial Management |
| url | http://eprints.usm.my/36566/1/AAMJ_16.2.5.pdf |
| work_keys_str_mv | AT sarmiditamat timehorizonanduncoveredinterestparityinemergingeconomies AT mohdsallehnorlidahanim timehorizonanduncoveredinterestparityinemergingeconomies |