00000nam 2200000za 4500 9.856759 CaOODSP 20221107155615 cr ||||||||||| 180518s2018 oncd ob f000 0 eng d CaOODSP eng eng fre FB3-5/2018-22E-PDF Djeutem, Edouard. Uncovered return parity [electronic resource] : equity returns and currency returns / by Edouard Djeutem and Geoffrey R. Dunbar. [Ottawa] : Bank of Canada, 2018. ii, 36 p. : charts (some col.) Bank of Canada staff working paper, 1701-9397 ; 2018-22 "May 2018." Includes bibliographical references (p. 25-28). "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. Includes abstract in French. Rate of return Foreign exchange rates International finance Dunbar, Geoffrey R. Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2018-22. (CaOODSP)9.806221 PDF 809 KB https://publications.gc.ca/collections/collection_2018/banque-bank-canada/FB3-5-2018-22-eng.pdf