UNCOVERED INTEREST PARITY IN ARGENTINA, BRAZIL, CHILE, AND MEXICO: A UNIT ROOT TEST APPLICATION WITH PANEL DATA

Authors: Jaimilton V. Carvalho; Adolfo Sachsida; Paulo R. A. Loureiro; Tito Belchior S. Moreira

Source: Review Of Urban & Regional Development Studies, Volume 16, Number 3, November 2004 , pp. 263-269(7)

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Abstract:

The aim of this study was to test uncovered interest parities for Argentina, Brazil, Chile, and Mexico, for the January 1990–December 2001 period, with the use of the rational expectation hypothesis. We also intend to evaluate the degree of mobility of foreign capital in these political jurisdictions, using panel data estimations, with unit root tests proposed by Levin and Lin (1992), and Im, Pesaran and Shin (1997). The econometric results indicate the rejection of uncovered interest parity (UIP), for the period under study, for the group consisting of Argentina, Brazil, Chile, and Mexico. However, the UIP hypothesis is not rejected for the group consisting of Argentina, Chile, and Mexico for the January 1991–December 2000 period.

Document Type: Research article

DOI: http://dx.doi.org/10.1111/j.1467-940X.2005.00091.x

Affiliations: 1: Catholic University of Brasilia–UCB, Brazil

Publication date: 2004-11-01