Services on Demand
Journal
Article
Indicators
- Cited by SciELO
- Access statistics
Related links
- Cited by Google
- Similars in SciELO
- Similars 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.