Cumby e Obstfeld (1984CUMBY, Robert E.; OBSTFELD, Maurice. International interest-rate and price-level linkages under flexible exchange rates: a review of recent evidence. In: BILSON, John F. O.; MARSTON, Richard C. (Ed.). Exchange rate theory and practice. Chicago: Chicago University Press, 1984, p. 121-152.) |
MQO e 2SLS |
07/01/1976 - 24/06/1981 |
semanal |
Fama (1984FAMA, Eugene F. Forward and spot exchange rates. Journal of Monetary Economics, v. 14, n. 3, p. 319-338, 1984.) |
MQO e SUR |
31/08/1973 - 10/12/1982 |
mensal |
Taylor (1987TAYLOR, Mark P. Risk premia and foreign exchange: a multiple time series approach to testing uncovered interest-rate parity. Weltwirtschaftlichesarchiv, v. 123, n. 4, p. 579-591, 1987.) |
VAR |
07/1979 - 12/1986 |
mensal |
Froot e Frankel (1989FROOT, Kenneth A.; FRANKEL, Jeffrey A. Forward discount bias: is it an exchange risk premium? The Quarterly Journal of Economics, v. 104, n. 1, p. 139-161, 1989.) |
MQO |
06/1981 - 12/1985 |
diária |
11/1982 - 01/1988 |
01/1983 - 10/1984 |
01/1976 - 07/1985 |
Goodhart et al. (1997GOODHART, Charles A.E.; MCMAHON, Patrick C.; NGAMA, Yerima L. Why does the spot-forward discount fail to predict changes in future spot rates? International Journal of Finance & Economics, v. 2, n. 2, p. 121-129, 1997.) |
FMOLS |
01/1975 - 12/1987 |
mensal |
Baille e Osterberg (2000) |
FIGARCH |
03/01/1987 - 22/01/1993 |
diária |
Delcoure et al. (2002DELCOURE, Natalya et al. The forward rate unbiasedness hypothesis reexamined: evidence from a new test. Global Finance Journal, v. 14, n. 1, p. 83-93, 2003.) |
Cointegração (Johansen) |
1970Q3 - 1996 Q4 |
trimestral |
Ho (2003HO, Tsung-Wu. A re-examination of the unbiasedness forward rate hypothesis using dynamic SUR model. The Quarterly Review of Economics and Finance, v. 43, n. 3, p. 542-559, 2003.) |
Cointegração e SUR dinâmico |
23/05/1998 - 31/12/1998 |
diária |
Jones (2003) |
Rolling Window Regression |
01/1987 - 12/2002 |
mensal |
Mehl e Cappiello (2007MEHL, Arnaud; CAPPIELLO, Lorenzo. Uncovered interest parity at long horizons: evidence on emerging Economies. Review of International Economics, v. 17, n. 5, p. 1019-1037, 2009.) |
Painel - Efeitos fixos (GMM) e Smooth Transition Regression |
1970 - 2006 |
mensal |
1980 - 2006 |