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Deviations from Uncovered Interest Parity - A Global Guide to Where the Action Is

Опубликовано на портале: 10-12-2003
IMF Working Paper Series. 1998.  No. 98/117 .
Ex-post deviations from uncovered interest parity (UIP)-realized differences between dollar returns on identical assets of different currencies-equal the real interest differencial plus real exchange rate growth. Among industrialized countries, UIP deviations are largely explained by unanticipated real exchange rate growth, but among developing countries, real interest differencial are "where the action is". This observations is due to the greater variabiliti of inflation in developing countries, but may also stem from higher and more variable risks and capital controls in these countries. Also among developing countries with moderate inflation, offsetting comovements of real interest differencials and real exchange rate growth support the sticky-price hypothesis.

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