Graduation Year
Spring 2013
Document Type
Campus Only Senior Thesis
Degree Name
Bachelor of Arts
Department
Economics
Reader 1
Eric Hughson
Terms of Use & License Information
Rights Information
© 2013 Orian Davies
Abstract
High interest rate currencies tend to appreciate despite what is be implied by the uncovered interest parity. It is thought that the uncovered interest parity does not hold due to various risks, costs, liquidity issues, and monetary policies. There have been extensive studies into the cause of this phenomenon yet none have examined the period before the formation of the Federal Reserve in 1913. This study examines whether or not the uncovered interest parity holds between the UK, the US, France, Germany, the Netherlands, Belgium, Italy, Spain, and Portugal during this time period to determine if the absence of capital controls and monetary policies allow for the uncovered interest parity to hold. In the end, none of the 213 regressions testing all the country pairs across varying horizons came close to providing support for the uncovered interest parity.
Recommended Citation
Davies, Orlan, "The Uncovered Interest Rate Parity at the Turn of the 20th Century" (2013). CMC Senior Theses. 663.
https://scholarship.claremont.edu/cmc_theses/663
This thesis is restricted to the Claremont Colleges current faculty, students, and staff.
