CEU Electronic Theses and Dissertations, 2011
| Author | Bendiashvili, Sophio |
|---|---|
| Title | Testing Uncovered Interest Rate Parity: The Case of Hungary |
| Summary | I propose three methods to investigate the validity of the Uncovered Interest Rate Parity (UIP) condition in Hungary: (i) excess return investigation, (ii) the UIP regression equation, and (iii) bivariate Vector Error Correction Model (VECM). Using one, five and ten year government bond interest rates for Hungary (domestic), the European Central Bank (ECB), the Federal Reserve Bank of the US (US), and the Weighted Average (WA) of the ECB and US interest rates (foreign) depending on their contribution to Hungarian economy, I find out that the results are quite mixed and ambiguous, varying depending on the methods and the time period used for investigation. Generally, the conclusion is that the UIP condition in Hungary is more likely to hold for one year interest rates in relationship with the European Central Bank interest rates. Key |
| Supervisor | Lieli Robert |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2011/bendiashvili_sophio.pdf |
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