A test for interest rate parity among seven nations from 1975–1993

International Trade Journal

Volumn 10, Issue 3, 1996, Pages 293-323

  Guin, Larry ^a   Maxwell, Charles ^b  

^a MURRAY STATE UNIVERSITY   (United States)

^b University of Illinois   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 79959973728     PISSN: 08853908     EISSN: 15210545     Source Type: Journal    
DOI: 10.1080/08853909608523858     Document Type: Article

References (25)

1. Brown, Brendan D., 1979. “A Clarification of the Interest Rate Parity Theorem,” European Economic Review, Vol. 12, pp. 279-287.
2. Browne, F. X., 1983. “Departures from Interest Rate Parity: Further Evidence,” Journal of Banking and Finance, Vol. 7, No. 2, June, pp. 253-272.
3. Dooley, Michael P., 1976. “Note on Interest Parity, Eurocurrencies and Capital Controls,” International Finance Discussion Paper #80, Board of Governors of the Federal Reserve System, February.
4. Dooley, Michael P., and Peter Isard, 1980. “Capital Controls, Political Risk, and Deviations from Interest Rate Parity,” Journal of Political Economy, Vol. 88, No. 2, pp. 370-384.
5. Frankel, Allen B., and Paul B. Morgan, 1992. “Deregulation and Competition in Japanese Banking,” Federal Reserve Bulletin, Vol. 78, No. 8, August, pp. 579-593.
6. Frankel, Allen B., and Richard M. Levich, 1975. “Covered Interest Arbitrage: Unexploited Profits?” Journal of Political Economy, Vol. 83, No. 2, April, pp. 325-338.
7. Frenkel, Jacob A., 1973. “Elasticities and the Interest Rate Parity,” Journal of Political Economy, Vol. 81, No. 3, pp. 741-747.
8. Garlato, Guglielmo, 1979. “The Interest Parity Theorem, Invatiance, and the Instantaneous Forward Premium: A Clarification,” Weltimrtschaftliches Archiv, Vol. 115, No. 2, pp. 522-526.
9. Giddy, Ian H., Gunter Dufey, and Sangkee Kim, 1979. “Interest Rates in the U.S. and Eurodollar Markets,” Weltwirtschaftliches Archiv, Vol. 15, No. l, pp. 51-67.
10. Giovannini, Alberto, 1980. “The Deviations from Interest Rate Parity Along the Term Structure of Forward Exchange Rates,” Weltimrtschaftliches Archiv, Vol. 116, No. 2, pp. 225-234.
11. Glahe, Fred R., 1967. “An Empirical Study of the Foreign Exchange Market: Test of a Theory,” Studies in International Finance, Vol. 20. Princeton, NJ: Princeton University Press.
12. Henderschott, Patric H., 1967. “The Structure of International Interest Rates: The U.S. Treasury Bill Rate and the Eurodollar Deposit Rate,” Journal of Finance, Vol. 22, pp. 455-465.
13. Rwack, Sung Y., 1971. “The Structure of International Interest Rates: An Extension of Hendershott’s Tests,” Journal of Finance, Vol. 26, pp. 897-900.
14. Loopesko, Bonnie E., 1984. “Relationships Among Exchange Rates, Intervention, and Interest Rates: An Empirical Investigation,” Journal of International Money and Finance, Vol. 3, No. 3, December, pp. 257-277.
15. Maxwell, Charles, and Larry Guin, 1992. “Interest Rate Parity in Germany, Japan, and the United States From 1975-1991: A Reexamination,” International Trade and Finance in a Rapidly Changing Environment, Vol. II, Spring.
16. McDonald, Ronald, and Mark P. Taylor, 1989 “Interest Rate Parity: Some New Evidence,” Bulletin of Economic Research, Vol. 41, No. 4, October, pp. 255-274.
17. Mishkin, Fredric S., 1984. “Are Real Interest Rates Equal Across Countries? An Empirical Investigation of International Parity Conditions,” Journal of Finance, Vol. 39, No. 5, December, pp. 1345-1357.
18. Payson, Harold III, 1977. “The Interest Parity Theorem, Invariance, and the Instantaneous Forward Premium,” Weltimrtschaftliches Archiv, Vol. 113, pp. 40-47.
19. Pederson, George, and Edward Tower, 1979 “On the Long and Short Run Relationship Between the Forward Rate and the Interest Parity,” Journal of Macroeconomics, Vol. 1, No. 1, Winter, pp. 65-77.
20. Roll, Richard, and Bruno Solnik, 1979. “On Some Parity Conditions Encountered Frequently in International Economics,” Journal of Macroeconomics, Vol. 1, No. 3, Summer, pp. 267-283.
21. Sharpe, Ian G., 1984. “Covered Interest Rate Parity: The Australian Case,” Applied Economics, Vol. 16, No. 5, October, pp. 655-665.
22. Spiegel, Mark M., 1990. “Capital Controls and Deviations from Proposed Interest Rate Parity: Mexico 1982,” Economic Inquiry, Vol. 28, No. 2, April, pp. 239-248.
23. Stein, Jerome, 1962. “The Nature and Efficiency of Foreign Exchange Markets,” Essays in International Finance, No. 40, Princeton, NJ: Princeton University Press.
24. Thornton, Daniel L., 1989. “Tests of Covered Interest Parity,” Review, Federal Reserve Bank of St. Louis, Vol. 71, No. 4, July/August, pp. 55-66.
25. Zettergren, Goran, 1989. “Yield Curve and Interest Rate Interdependence,” Sveriges Riksbank Quarterly Review, Vol. 3, pp. 29-39