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Bank of Canada RSS Feedsen2024-03-28T17:43:43+00:00Uncovered Return Parity: Equity Returns and Currency Returns
https://www.bankofcanada.ca/2018/05/staff-working-paper-2018-22/
We propose an uncovered expected returns parity (URP) condition for the bilateral spot exchange rate. URP implies that unilateral exchange rate equations are misspecified and that equity returns also affect exchange rates. Fama regressions provide evidence that URP is statistically preferred to uncovered interest rate parity (UIP) for nominal bilateral exchange rates between the US dollar and six countries (Australia, Canada, Japan, Norway, Switzerland and the UK) at the monthly frequency.2018-05-14T14:47:01+00:00enUncovered Return Parity: Equity Returns and Currency Returns2018-05-14Asset pricingExchange ratesInternational financial marketsStaff Working Paper 2018-22https://www.bankofcanada.ca/wp-content/uploads/2018/05/swp2018-22.pdfUncovered Return Parity: Equity Returns and Currency ReturnsEdouard DjeutemGeoffrey R. DunbarMay 2018EE4E43FF3F31GG1G15