SciELO - Scientific Electronic Library Online

 
vol.26 issue56Beyond Bubbles: The Role of Asset Prices in Early-Warning IndicatorsThe Minimum Wage: General Aspects about the Cases of Colombia and other Countries author indexsubject indexarticles search
Home Pagealphabetic serial listing  

Services on Demand

Journal

Article

Indicators

Related links

  • On index processCited by Google
  • Have no similar articlesSimilars in SciELO
  • On index processSimilars in Google

Share


Ensayos sobre POLÍTICA ECONÓMICA

Print version ISSN 0120-4483

Abstract

ECHAVARRIA, Juan José; VASQUEZ, Diego  and  VILLAMIZAR, Mauricio. Exchange Rate Expectations and Interest Rates: Covered and Uncovered Parity in Colombia, 2000-2007. Ens. polit. econ. [online]. 2008, vol.26, n.56, pp.149-203. ISSN 0120-4483.

This paper explores the validity of covered (CP) and uncovered interest parity (UP) for Colombia in 2000-2007 using forward interest rates, forward exchange rates and surveys on exchange rate expectations. It finds support for CP for maturities equal or larger than one day, and also for UP for all maturities when variables are correctly measured. The "anomaly" detected in some cases disappears once we get rid of the rational expectations hypothesis and treat country risk properly.

Keywords : Uncovered interest rate parity; covered interest rate parity; expected exchange rates; interest rate forwards; exchange rate forward; yield curve; JEL Classification; E42; E43; E58.

        · abstract in Spanish | Portuguese     · text in Spanish     · Spanish ( pdf )

 

Creative Commons License All the contents of this journal, except where otherwise noted, is licensed under a Creative Commons Attribution License