Real interest rate differentials and foreign exchange markets in Canada

1986 ◽  
Vol 14 (2) ◽  
pp. 55-64
Author(s):  
Farrokh R. Zandi ◽  
Syed Sajjadur Rahman
Keyword(s):  
Interest Rate ◽  
Foreign Exchange ◽  
Real Interest Rate ◽  
Foreign Exchange Markets ◽  
Exchange Markets ◽  
Interest Rate Differentials

scholarly journals Nonlinearity And The Forward Premium Anomaly

2011 ◽  
Vol 6 (7) ◽  
Author(s):  
Apostolos Xanthopoulos
Keyword(s):  
Interest Rate ◽  
Market Efficiency ◽  
Foreign Exchange ◽  
Efficient Manner ◽  
Forward Premium Anomaly ◽  
Forward Premium ◽  
Nonlinear Responses ◽  
Exchange Markets ◽  
Linear And Nonlinear ◽  
Interest Rate Differentials

Speculative efficiency (the ability to profit without bearing commensurate risk in foreign exchange markets) is predicated on the forward premium anomaly. Market efficiency still manifests itself in the form of nonlinear adjustments, eroding excess profits. The returns on foreign exchange speculation may not behave in a market-efficient manner except at average values of interest-rate differentials. This study suggests that market efficiency holds as a result of a hedging relation between linear and nonlinear responses of returns.

scholarly journals The Uncovered Interest Rate Parity Anomaly And Foreign Exchange Market Turnover

2012 ◽  
Vol 11 (3) ◽  
pp. 299 ◽  
Author(s):  
John F. Boschen ◽  
Kimberly J. Smith
Keyword(s):  
Interest Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Foreign Exchange Markets ◽  
Exchange Market ◽  
Interest Rate Parity ◽  
High Interest Rate ◽  
Uncovered Interest Rate Parity ◽  
Exchange Markets ◽  
Rate Parity

The uncovered interest rate parity (UIP) anomaly is that high interest rate currencies appreciate, rather than depreciate, against low interest rate currencies. We show that the UIP anomalies apparent in six major currency pairs have diminished over our 1995-2010 sample period. We further show that the observed decline in deviations from UIP is associated with the substantially higher transaction volume now present in the foreign exchange markets. We interpret our findings as consistent with the proposition that the UIP anomaly dissipates as the foreign exchange markets become more efficient.

The Use of Foreign Exchange Markets by Non-Banks

2011 ◽  
Author(s):  
James O'Connor ◽  
James Wackett ◽  
Robert Zammit
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Markets ◽  
Exchange Markets
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