Politická ekonomie 2005, 53(3):291-303 | DOI: 10.18267/j.polek.506

Dynamický model nekryté úrokové parity (teorie a empirická verifikace v tranzitivních ekonomikách)

Jaroslava Durčáková, Martin Mandel, Vladimír Tomšík
1 Vysoká škola ekonomická, Praha.
2 NEWTON Holding, a.s., Praha.

Dynamic model of uncovered interest rate parity (theory and empirical verification in the transitive economies)

The paper presents a dynamic approach to the theory of uncovered interest rate parity. It is examined the dynamic relation between the actual change in spot exchange rate and interest rate differential. Authors show the hypothesis of uncovered interest rate parity is based on an ex ante view and that is the reason that the expected change in spot exchange rate cannot be replaced by an ex post approach. The dynamic approach developed in the paper is empirically tested for five transitive countries of Central and Eastern Europe. The model is estimated using both VAR and cointegration analyses. The model of error correction is also included in the empirical verification of the model.

Keywords: monetary policy, exchange rate, portfolio theory, interest rate parity, transitive countries
JEL classification: E40, E44, F31, G10

Published: June 1, 2005  Show citation

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Durčáková, J., Mandel, M., & Tomšík, V. (2005). Dynamic model of uncovered interest rate parity (theory and empirical verification in the transitive economies). Politická ekonomie53(3), 291-303. doi: 10.18267/j.polek.506
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