| bibtype |
J -
Journal Article
|
| ARLID |
0522061 |
| utime |
20240103223724.1 |
| mtime |
20200211235959.9 |
| SCOPUS |
85079369585 |
| WOS |
000539159200028 |
| DOI |
10.1016/j.physa.2020.124257 |
| title
(primary) (eng) |
Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union |
| specification |
| page_count |
10 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0257423 |
| ISSN |
0378-4371 |
| title
|
Physica. A : Statistical Mechanics and its Applications |
| volume_id |
553 |
| publisher |
|
|
| keyword |
uncovered interest rate parity |
| keyword |
detrended cross-correlation analysis |
| keyword |
detrending moving-average cross-correlation analysis |
| author
(primary) |
| ARLID |
cav_un_auth*0351446 |
| name1 |
Ferreira |
| name2 |
P. |
| country |
PT |
| share |
50 |
|
| author
|
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| share |
50 |
| garant |
K |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| source |
|
| cas_special |
| project |
| project_id |
GJ17-12386Y |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0351447 |
|
| abstract
(eng) |
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. |
| result_subspec |
WOS |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50202 |
| reportyear |
2021 |
| num_of_auth |
2 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0307298 |
| mrcbC61 |
1 |
| confidential |
S |
| article_num |
124257 |
| mrcbC86 |
2 Article Physics Multidisciplinary |
| mrcbC91 |
C |
| mrcbT16-e |
PHYSICSMULTIDISCIPLINARY |
| mrcbT16-i |
6.77271 |
| mrcbT16-j |
0.51 |
| mrcbT16-s |
0.640 |
| mrcbT16-B |
44.13 |
| mrcbT16-D |
Q3 |
| mrcbT16-E |
Q3 |
| arlyear |
2020 |
| mrcbU14 |
85079369585 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000539159200028 WOS |
| mrcbU63 |
cav_un_epca*0257423 Physica. A : Statistical Mechanics and its Applications 0378-4371 1873-2119 Roč. 553 č. 1 2020 Elsevier |
|