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We study the behavior of Covered Interest Parity (CIP) deviations – aka the CIP basis - in Emerging Markets (EM). A major challenge in computing the CIP basis in EM’s lies in measuring local currency ...

Interest rate parity is the fundamental equation that governs the relationship between interest rates and currency exchange rates for different countries. It is a theory in which the interest rate ...

Uncovered interest parity (UIP) has been almost universally rejected in studies of exchange rate movements. In contrast to previous studies, which have used shorthorizon data, we test UIP using ...