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empirical investigation of uncovered interest parity between the United States and Japan: Cointegration and causality tests

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Date Issued:
1999
Summary:
This study investigates the existence of Uncovered Interest Parity (UIP) between the United States and Japan. The study is conducted over a 58-month period beginning in January 1994 and continuing through October 1998. This study used unit root, cointegration, and causality tests to examine whether the exchange rates and interest rates of the two countries lent support to the UIP hypothesis. All data sets were found to contain a unit root. Further, there was no evidence for cointegration between the exchange rate and any of the explanatory variables (US interest rates, Japanese interest rates, and the interest rate differential). However, Granger-causality was discovered between the interest rate differential and the exchange rate. Thus, it can be said there is a causal relationship between the interest rate differential and the exchange rate. Lastly, this study gives some validity to the UIP hypothesis.
Title: An empirical investigation of uncovered interest parity between the United States and Japan: Cointegration and causality tests.
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Name(s): Enyart, Russell Roy.
Florida Atlantic University, Degree grantor
Yuhn, Ky-hyang, Thesis advisor
Type of Resource: text
Genre: Electronic Thesis Or Dissertation
Date Issued: 1999
Publisher: Florida Atlantic University
Place of Publication: Boca Raton, Fla.
Physical Form: application/pdf
Extent: 69 p.
Language(s): English
Summary: This study investigates the existence of Uncovered Interest Parity (UIP) between the United States and Japan. The study is conducted over a 58-month period beginning in January 1994 and continuing through October 1998. This study used unit root, cointegration, and causality tests to examine whether the exchange rates and interest rates of the two countries lent support to the UIP hypothesis. All data sets were found to contain a unit root. Further, there was no evidence for cointegration between the exchange rate and any of the explanatory variables (US interest rates, Japanese interest rates, and the interest rate differential). However, Granger-causality was discovered between the interest rate differential and the exchange rate. Thus, it can be said there is a causal relationship between the interest rate differential and the exchange rate. Lastly, this study gives some validity to the UIP hypothesis.
Identifier: 9780599218710 (isbn), 15648 (digitool), FADT15648 (IID), fau:12405 (fedora)
Collection: FAU Electronic Theses and Dissertations Collection
Note(s): College of Business
Thesis (M.S.)--Florida Atlantic University, 1999.
Subject(s): Interest rates--United States
Foreign exchange rates--United States
Interest rates--Japan
Foreign exchange rates--Japan
Held by: Florida Atlantic University Libraries
Persistent Link to This Record: http://purl.flvc.org/fcla/dt/15648
Sublocation: Digital Library
Use and Reproduction: Copyright © is held by the author, with permission granted to Florida Atlantic University to digitize, archive and distribute this item for non-profit research and educational purposes. Any reuse of this item in excess of fair use or other copyright exemptions requires permission of the copyright holder.
Use and Reproduction: http://rightsstatements.org/vocab/InC/1.0/
Host Institution: FAU
Is Part of Series: Florida Atlantic University Digital Library Collections.