000			02714cam a22003617 4500
001			w28420
003			NBER
005			20211020103321.0
006			m o d
007			cr cnu||||||||
008			210910s2021 mau fo 000 0 eng d
100	1		_aEngel, Charles.
245	1	2	_aA Reconsideration of the Failure of Uncovered Interest Parity for the U.S. Dollar / _cCharles Engel, Ekaterina Kazakova, Mengqi Wang, Nan Xiang.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c2021.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w28420
500			_aJanuary 2021.
520	3		_aWe re-examine the time-series evidence for failures of uncovered interest rate parity on short-term deposits for the U.S. dollar versus major currencies of developed countries at short-, medium- and long-horizons. The evidence that interest rate differentials predict foreign exchange risk premiums is fragile. The relationship between interest rates and excess returns is not stable over time and disappears altogether when nominal interest rates are near the zero-lower bound. However, we do find evidence that year-on-year inflation rate differentials consistently predict excess returns - when the U.S. dollar y.o.y. inflation rate has been relatively high, subsequent returns on U.S. deposits tend to be high. We interpret this evidence as being consistent with hypotheses that posit that markets do not fully react initially to predictable changes in future monetary policy. Interestingly, the predictive power of relative y.o.y. inflation only begins in the mid-1980s when central banks began to target inflation more consistently and continues in the post-ZLB period when interest rates lose their primacy as a policy instrument. However, we caution not to rule out the possibility that excess returns are not predictable at all.
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
690		7	_aF3 - International Finance _2Journal of Economic Literature class.
690		7	_aF41 - Open Economy Macroeconomics _2Journal of Economic Literature class.
700	1		_aKazakova, Ekaterina.
700	1		_aWang, Mengqi.
700	1		_aXiang, Nan.
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w28420.
856	4	0	_uhttps://www.nber.org/papers/w28420
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w28420
942			_2ddc _cW-PAPER
999			_c319703 _d278265