MacDonald, R. and Torrance, T.S. (1988) Covered interest parity and UK monetary 'news'. Economics Letters, 26(1), pp. 53-56. (doi: 10.1016/0165-1765(88)90051-1)
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Abstract
In this note the effect of unanticipated sterling M3 announcements on the sterling-dollar covered interest parity relationship is investigated. It is demonstrated inter alia that unanticipated monetary announcements have a significantly positive effect on the one month euro-sterling interest rate, a significantly negative effect on the one month euro-dollar interest rate which in turn generates an expected exchange rate depreciation.
| Item Type: | Articles |
|---|---|
| Status: | Published |
| Refereed: | Yes |
| Glasgow Author(s) Enlighten ID: | MacDonald, Professor Ronald |
| Authors: | MacDonald, R., and Torrance, T.S. |
| College/School: | College of Social Sciences > Adam Smith Business School > Economics |
| Journal Name: | Economics Letters |
| Publisher: | Elsevier |
| ISSN: | 0165-1765 |
| ISSN (Online): | 1873-7374 |
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