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首页> 外文期刊>International journal of finance & economics >Panel Data Models and the Uncovered Interest Parity Condition: The Role of Two-Way Unobserved Components
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Panel Data Models and the Uncovered Interest Parity Condition: The Role of Two-Way Unobserved Components

机译：面板数据模型和未发现的利益平价条件：双向未观察到的成分的作用

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This paper endeavours to show how the specification of the regression testing the uncovered interest parity (UIP) condition can determine whether or not the hypothesized proportional relationship between international interest rate differences and exchange rate changes is rejected. Across major currencies, various terms to maturity, different data frequencies and the short as well as the long time horizon, single-equation regressions partly reject the UIP condition. However, this UIP puzzle' tends to disappear when panel data regressions account, for example, for risk premiums by means of two-way unobserved component specifications with random or fixed effects for both currencies and time periods. The closest concurrence with the UIP condition arises when specifying the time-specific component as fixed effect, which provides a way to address the potential bias when unobserved exchange rate risk premiums correlate with interest rates. Copyright (c) 2016 John Wiley & Sons, Ltd.
机译：本文致力于展示如何通过回归检验未发现利率平价（UIP）条件的规范来确定是否拒绝国际利率差异和汇率变动之间的假设比例关系。对于主要货币，到期期限的各种术语，不同的数据频率以及短期和长期的展望，单方程回归部分地拒绝了UIP条件。但是，当面板数据回归考虑到风险溢价时，这种UIP难题往往会消失，例如，通过双向观察的成分指标来确定风险溢价，同时对货币和时间段具有随机或固定影响。当将特定于时间的成分指定为固定效应时，会出现与UIP条件的最接近的一致，这提供了一种方法来解决未观察到的汇率风险溢价与利率相关的潜在偏差。版权所有（c）2016 John Wiley＆Sons，Ltd.

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