000	02070cam  2200313za 4500
001	9.856759
003	CaOODSP
005	20221107155615
007	cr |||||||||||
008	180518s2018    oncd    ob   f000 0 eng d
040	|aCaOODSP|beng
041	|aeng|bfre
086	1 |aFB3-5/2018-22E-PDF
100	1 |aDjeutem, Edouard.
245	10|aUncovered return parity |h[electronic resource] : |bequity returns and currency returns / |cby Edouard Djeutem and Geoffrey R. Dunbar.
260	|a[Ottawa] : |bBank of Canada, |c2018.
300	|aii, 36 p. : |bcharts (some col.)
490	1 |aBank of Canada staff working paper, |x1701-9397 ; |v2018-22
500	|a"May 2018."
504	|aIncludes bibliographical references (p. 25-28).
520	3 |a"We propose an uncovered expected returns parity (URP) condition for the bilateral spot exchange rate. URP implies that unilateral exchange rate equations are misspecified and that equity returns also affect exchange rates. Fama regressions provide evidence that URP is statistically preferred to uncovered interest rate parity (UIP) for nominal bilateral exchange rates between the US dollar and six countries (Australia, Canada, Japan, Norway, Switzerland and the UK) at the monthly frequency. An implication of URP is that commodity price changes that affect equity returns thus affect bilateral exchange rates through the equity channel. We find evidence that the Australian, Canadian, Norwegian (post 2001) and UK (post 1992) expected exchange rates increase via the oil-equity channel as oil prices rise, whereas the Japanese and Swiss expected exchange rates decrease"--Abstract, p. ii.
546	|aIncludes abstract in French.
693	4|aRate of return
693	4|aForeign exchange rates
693	4|aInternational finance
700	1 |aDunbar, Geoffrey R.
710	2 |aBank of Canada.
830	#0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2018-22.|w(CaOODSP)9.806221
856	40|qPDF|s809 KB|uhttps://publications.gc.ca/collections/collection_2018/banque-bank-canada/FB3-5-2018-22-eng.pdf