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| 02070nam 2200313za 4500 |
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001 | 9.856759 |
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003 | CaOODSP |
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005 | 20221107155615 |
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007 | cr ||||||||||| |
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008 | 180518s2018 oncd ob f000 0 eng d |
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040 | |aCaOODSP|beng |
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041 | |aeng|bfre |
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086 | 1 |aFB3-5/2018-22E-PDF |
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100 | 1 |aDjeutem, Edouard. |
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245 | 10|aUncovered return parity |h[electronic resource] : |bequity returns and currency returns / |cby Edouard Djeutem and Geoffrey R. Dunbar. |
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260 | |a[Ottawa] : |bBank of Canada, |c2018. |
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300 | |aii, 36 p. : |bcharts (some col.) |
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490 | 1 |aBank of Canada staff working paper, |x1701-9397 ; |v2018-22 |
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500 | |a"May 2018." |
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504 | |aIncludes bibliographical references (p. 25-28). |
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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. |
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546 | |aIncludes abstract in French. |
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693 | 4|aRate of return |
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693 | 4|aForeign exchange rates |
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693 | 4|aInternational finance |
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700 | 1 |aDunbar, Geoffrey R. |
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710 | 2 |aBank of Canada. |
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830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2018-22.|w(CaOODSP)9.806221 |
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856 | 40|qPDF|s809 KB|uhttps://publications.gc.ca/collections/collection_2018/banque-bank-canada/FB3-5-2018-22-eng.pdf |
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