Skip to content Skip to navigation
University of Warwick
  • Study
  • |
  • Research
  • |
  • Business
  • |
  • Alumni
  • |
  • News
  • |
  • About

University of Warwick
Publications service & WRAP

Highlight your research

  • WRAP
    • Home
    • Search WRAP
    • Browse by Warwick Author
    • Browse WRAP by Year
    • Browse WRAP by Subject
    • Browse WRAP by Department
    • Browse WRAP by Funder
    • Browse Theses by Department
  • Publications Service
    • Home
    • Search Publications Service
    • Browse by Warwick Author
    • Browse Publications service by Year
    • Browse Publications service by Subject
    • Browse Publications service by Department
    • Browse Publications service by Funder
  • Help & Advice
University of Warwick

The Library

  • Login
  • Admin

When does uncovered interest parity hold?

Tools
- Tools
+ Tools

Moore, Michael J. and Roche, Maurice J. (2012) When does uncovered interest parity hold? Journal of International Money and Finance, Volume 31 (Number 4). pp. 865-879. doi:10.1016/j.jimonfin.2012.01.005

Research output not available from this repository, contact author.
Official URL: http://dx.doi.org/10.1016/j.jimonfin.2012.01.005

Request Changes to record.

Abstract

A consensus is emerging that returns to the currency carry trade are driven by two factors. One of these is probably consumption risk but there is widespread disagreement about the identity of the remaining factor. This paper bolsters the case for volatility being the unknown factor. A structural model that specifies that monetary volatility is the second factor is tested for 56 monetary regimes using the artificial economy methodology. The negative slope in the Fama regression arises when monetary volatility is low and the precautionary savings motive dominates the intertemporal substitution motive. When monetary volatility is high, the Fama slope is positive in line with uncovered interest parity. We conclude that, given the predominance of precautionary savings, the degree of monetary volatility explains whether uncovered interest parity holds.

Item Type: Journal Article
Divisions: Faculty of Social Sciences > Warwick Business School > Finance Group
Faculty of Social Sciences > Warwick Business School
Journal or Publication Title: Journal of International Money and Finance
Publisher: Elsevier BV
ISSN: 02615606
Official Date: June 2012
Dates:
DateEvent
June 2012Published
Volume: Volume 31
Number: Number 4
Number of Pages: 14
Page Range: pp. 865-879
DOI: 10.1016/j.jimonfin.2012.01.005
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

Request changes or add full text files to a record

Repository staff actions (login required)

View Item View Item
twitter

Email us: wrap@warwick.ac.uk
Contact Details
About Us