2012年11月22日木曜日

UIP Puzzle

 The uncovered interest rate parity (UIP) puzzle states that high interest rate currencies appreciate over time and therefore pay a positive expected excess return.

This empirical finding is consistently confirmed by numerous studies

Gavazzoni, 2008, "Uncovered Interest Rate Parity Puzzle: An Explanation based on Recursive Utility and Stochastic Volatility"

https://server1.tepper.cmu.edu/seminars/docs/uip_puzzle_federico_gavazzoni.pdf

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