Mark E. Wohar

Nathan S. Balke

English

Research Papers in Economics

9608 Some Implications of Increased Cooperation in World Oil Conservation

A Model of Covered Interest Arbitrage Under Market Segmentation,&quot;

A Non-parametricAnalysis ofCovered Interest Parity in Long-Data Capital Markets,&quot;

A Nonlinear Approach to US GNP,&quot;

A Note On Interest Parity and the Supply ofArbitrage Funds,&quot;

Arbitrage Boundaries, Treasury Bills, and Covered Interest Parity,&quot;

argue that transactions costs could give rise to time series that are threshold cointegrated in which movement back towards a long-run equilibrium occurs only if deviations from the equilibrium are &quot;large&quot;. Along these lines,

at no charge, from the Research Department Federal Reserve

Capital Controls and the Interest Parity Rate: The Japanese Experience, 1978-81,&quot;

Capital Controls, Political Risk, and Deviations From Interest-Rate Parity,&quot;

Characterizing nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models,,&quot;

Covered Interest Arbitrage in the 1970s,&quot;

Covered Interest Arbitrage: Unexploited Profits?&quot;

Covered Interest Parity Between Canada and the United States: Another Look Using Modern Time Series Methods,&quot;

Covered Interest Parity: A High-frequency, High-quality Data Study,&quot;

Covered InterestArbitrage and MarketTurbulence,&quot;

Credit and Economic Activity: Shocks or Propagation Mechanism?&quot;

Elasticities and theInterest Parity Theorem,&quot;

Empirical Studies ofExchange Rates: Price Behavior, Rate Determination, and Market Efficiency,&quot;

Forexample Liu and Maddala

Impulse Response Analysis in Nonlinear Multivariate Models,&quot;

Interest Arbitrage Between Canada and the United States: A New Perspective,&quot;

Interest Differentials Under Fixed and Flexible Exchange Rates: The Effects of Capital Controls and Exchange Risk,&quot; in M.D. Bordo and B. Eichengreen (Eds.), A Retrospective on theBretton WoodsSystem: Lessonsfor InternationalMonetary Reform (Chicago:

Interest Parity, MonetaryPolicy, andtheVolatility ofAustralianShort-termInterest Rates: 1978-82,&quot; Economic Record 61, (Dece!llber

Interest Rate Expectations and Interest Parity,&quot;

International Parity Conditions,&quot;

Intra-Day Arbitrage Opportunities in Foreign Exchange and Eurocurrency Markets,&quot; Journal ofFinance, XLVII,

Is the Foreign Exchange Market Efficient?&quot;

Logofinterestrateratio

Long-run Relations in Exchange Markets: A Test of Covered Interest Parity,&quot;

oftheliterature examining CIP assumes that forward contracts arethe relevant instrument for evaluating CIP. But a large amount of 'forward' trading in foreign exchange is done through swap transactions. As Clinton

One exception is Rhee and Chang

One Way Arbitrage and its Implications for the Foreign Exchange Markets,&quot;

One Way Arbitrage, Foreign Exchange and Securities Markets: A Note,&quot;

Other studies which have demonstrated that timing and accuracy of data is important include McCormick

Outliers, Level Shifts, and Variance Changes in Time Series,&quot;

points out that assets ofdifferent maturities are not easily substitutable, and thus a different analysis is required for markets in which assets with longmaturities aretraded.

Rationality ofSurvey Data and Tests ofMarket Efficiency in the ForeignExchange Markets,&quot;

Tests of Covered Interest Rate Parity,&quot; Federal Reserve Bank of St. Louis Review (July/Aug

Tests of Rational Expectations and No Risk Premium in Forward Exchange Markets,&quot;

The Covered Arbitrage Schedule: A CriticalSurvey ofRecent Developments,&quot;

The Dynamics ofAdjustment in Deviations from Covered Interest Parity in the Euromarket: Evidence From Matched Daily Data,&quot;

The International Mobility of Short-Term Arbitrage Capital,&quot;

The threshold autoregression for covered interest parity would imply threshold cointegration (see Balke and Fomby

These results were in contrast to those ofFrenkel and Levich

This is in contrast to Pippenger

Threshold Cointegration,&quot;

Transaction Costs and theInterest Rate Theorem: Comment,&quot;

Transactions Costs and Covered Interest Parity,&quot;

Transactions Costs and Interest Arbitrage: Tranquil versus Turbulent Periods,&quot;

Transactions Costs and Nonlinear Adjustment Towards Equilibrium in the U.S. Treasury Bill Market,&quot;

Transactions Costs and the Interest Parity Theorem,&quot;

Weremoved observationsinwhich the standardized residualsfrom a linear autoregressionwere greater than four. The rather large sample size made more formal, iterative outlier searches such as Tsay

Nonlinear dynamics and covered interest rate parity

http://dallasfed.org/assets/documents/research/papers/1997/wp9701.pdf

Nonlinear dynamics and covered interest rate parity

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Research Papers in Economics