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Test UIP Again: Based on the Data of the Banking Financial Products’ Yield
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Title:  Test UIP Again: Based on the Data of the Banking Financial Products’ Yield
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Author: 赵  绍阳
co-Authors:  彭皓
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Conference presentation:  The 10th Annual Conference of the Consortium for Western China Development
Abstract:  Using the yield of different maturities of the banking financial products measured by RMB and US dollar from July 21th 2005 to October 31th 2014 to replace the corresponding interest rate, this paper examines the validity of the uncovered interest parity in China. Results suggest that the variation of the exchange rate keep consistent with the interest rate gap in direction, and the interest rate gap can predict the variation of the exchange rate to some extent. Especially, it predicts the variation of the exchange rate in one year best, which implies that the uncovered interest parity will be close to hold as the maturity extends. And the variation of the exchange rate in China has clear characteristic of adaptive prediction, which mainly caused by the controlling flexible exchange rate system in our country. Even so, as time goes, the fluctuation of the exchange rate in our country becomes bigger and bigger. It is unavoidable that the government loosens the controlling of the exchange rate and put the marketing of the exchange rate into practice.
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@copyright by Chinese Economist Society.