Do Movements in the Forward Discount on the Australian Dollar Predict Movements in Domestic Interest Rates? Evidence from a Time Series Analysis of Covered Interest Parity in Australia in the late 1980s

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Field	Value	Language
dc.contributor.author	Karfakis, C.
dc.contributor.author	Phipps, A.J.
dc.date.accessioned	2011-05-22
dc.date.available	2011-05-22
dc.date.issued	1993-05-01
dc.identifier.isbn	0867587768
dc.identifier.uri	http://hdl.handle.net/2123/7412
dc.description.abstract	This paper examines covered interest parity using cointegration techniques on a daily data set for Australian dollar/US dollar spot and forward exchange rates and Australian and US interest rates. While the forward premium and the interest rate differential cointegrate in both the 3 month and 6 month markets, the data reject the formal restrictions of covered interest parity. Well defined error-correction mechanisms suggest that the forward premium bears the burden of adjustment to the long run cointegrating relationship and that past changes in the forward premium predict changes in the interest rate differential.	en
dc.language.iso	en_AU	en
dc.publisher	Department of Economics	en
dc.relation.ispartofseries	Working Papers in Economics	en
dc.rights	Other
dc.title	Do Movements in the Forward Discount on the Australian Dollar Predict Movements in Domestic Interest Rates? Evidence from a Time Series Analysis of Covered Interest Parity in Australia in the late 1980s	en
dc.type	Working Paper	en
usyd.faculty	Faculty of Arts and Social Sciences, School of Economics
usyd.citation.issue	187	en