0522061 20240103223724.120200211235959.9 85079369585 000539159200028 10.1016/j.physa.2020.124257 10 s. P cav_un_epca*02574230378-4371553Elsevier uncovered interest rate parity detrended cross-correlation analysis detrending moving-average cross-correlation analysis cav_un_auth*0351446 Ferreira P. PT 50 cav_un_auth*0256902 Krištoufek Ladislav UTIA-B Ekonometrie Department of Econometrics E E Department of Econometrics CZ 50 K Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2020/E/kristoufek-0522061.pdf https://www.sciencedirect.com/science/article/pii/S0378437120300698 GJ17-12386Y GA ČR CZ cav_un_auth*0351447 We study the uncovered interest rate parity in the European Union utilising the newly proposed regression frameworks based on the detrended cross-correlation analysis and the detrending moving-average cross-correlation analysis. The parity is analysed for three groups – the early Euro adopters, the later adopters, and the EU countries that are outside of the Eurozone. The main contributions of our study are twofold. First, we have analysed a large dataset that is not standard in the topical applied papers. And second, the utilised methods have allowed us to focus on possible differences between the short-term and long- term relationships between the interest rate differentials and foreign exchange rates that form the parity. Overall, the evidence for the parity is scarce, which is in hand with most of the previous studies. However, we have also uncovered some interesting patterns in the results and we provide an additional discussion of possible causes and directions for future research. WOS AH 50000 50200 50202 2021 2 RVO:67985556 http://hdl.handle.net/11104/0307298 1 S 124257 2 Article Physics Multidisciplinary C PHYSICS.MULTIDISCIPLINARY 2.866 1.92 5.5 0.03229 0.51 37922 195 0.640 42.72 3.32 13904 Q2 2.771 1202 Q2 44.13 68 Q3 Q3 0.97 Q1 68.023 2020 85079369585 SCOPUS PUBMED 000539159200028 WOS cav_un_epca*0257423 Physica. A : Statistical Mechanics and its Applications 0378-4371 1873-2119 Roč. 553 č. 1 2020 Elsevier