Articles
Risk Adjusted Rate and Interest Parity
-
AuthorHeeho Kim / Taehun Jung
-
Year2009
-
VolumeVol.57
-
NumberNo.1
-
This paper purposes to empirically examine whether UIP holds, using “risk
adjusted rate of return” for international portfolio flows. This study also
examines the coefficient of risk factor between countries in estimating the
adjusted UIP model. Using the monthly data of the developed and Asian
emerging markets during 1994.1-2008.7, evidence strongly supports our
research hypothesis. When using the risk adjusted rate of return, the UIP
holds between the emerging and the developed markets, while the UIP does
not hold between the developed markets. Risk factors are statistically
significant and different, which are positive between the developed markets,
and are negative between the emerging and the developed markets. -
File