Covered interest parity and UK monetary 'news'

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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