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König, P., Möller, J. Abweichungen von der Ungedeckten Zinsparität. . Ein Kalman-Filter Ansatz für den DM/Dollar- und SFr/Dollar-Wechselkurs. Credit and Capital Markets – Kredit und Kapital, 23(1), 86-107. https://doi.org/10.3790/ccm.23.1.86
König, Peter and Möller, Joachim "Abweichungen von der Ungedeckten Zinsparität. Ein Kalman-Filter Ansatz für den DM/Dollar- und SFr/Dollar-Wechselkurs. " Credit and Capital Markets – Kredit und Kapital 23.1, 1990, 86-107. https://doi.org/10.3790/ccm.23.1.86
König, Peter/Möller, Joachim (1990): Abweichungen von der Ungedeckten Zinsparität, in: Credit and Capital Markets – Kredit und Kapital, vol. 23, iss. 1, 86-107, [online] https://doi.org/10.3790/ccm.23.1.86
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Abweichungen von der Ungedeckten Zinsparität

Ein Kalman-Filter Ansatz für den DM/Dollar- und SFr/Dollar-Wechselkurs

König, Peter | Möller, Joachim

Credit and Capital Markets – Kredit und Kapital, Vol. 23 (1990), Iss. 1 : pp. 86–107

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Article Details

Publisher Name
Duncker & Humblot
DOI
https://doi.org/10.3790/ccm.23.1.86
Language
Multiple languages
Pages
22

Author Details

Peter König, Konstanz

Joachim Möller, Konstanz

References

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  13. Frankel, J. und Froot, K. (1987 a): Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations, American Economic Revie 77, 133 - 153.  Google Scholar
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  25. Berndt, E. K., Hall, B. H., Hall, R. E. und Hausman, J. A. (1974): Estimation and Inference in Nonlinear Stochastic Models, Annals of Economic and Social Measurement 3, 653 – 666.  Google Scholar
  26. Chow, G.C. (1984): Random and Changing Coefficient Models, in: Griliches, Z. und Intrilligator, M. D. (Hrsg.), Handbook of Econometrics, Vol. 2 (North-Holland, Amsterdam), 1213 – 1245.  Google Scholar
  27. Dempster, A. P., Laird, N.M. und Rubin, D. B. (1977): Maximum Likelihood from Incomplete Data Via the EMAlgorithm, Journal of the Royal Statistical Society 39, 1 – 38.  Google Scholar
  28. Dornbusch, R. (1976): Expectations and Exchange Rate Dynamics, Journal of Political Economy 84, 1161 -1176.  Google Scholar
  29. Engle, R. F. und Watson, R. (1981): A One-Factor Multivariate Time Series Model of Metropolitan Wage Rates, Journal of the American Statistical Association 76, 774 – 781.  Google Scholar
  30. Fama, E. (1984): Forward and Spot Exchange Rates, Journal of Monetary Economics 14, 319 – 338.  Google Scholar
  31. Frankel, J. (1979): The Diversification of Exchange Risk, Journal of International Economics 9, 379 – 393.  Google Scholar
  32. Frankel, J. (1982 a): In Search of the Exchange Risk Premium: A Six-Currency Test Assuming Mean-Variance Optimization, Journal of International Money and Finance 1, 255 – 279.  Google Scholar
  33. Frankel, J. (1982b): A Test of Perfect Substitutability in the Foreign Exchange Market, Southern Economic Journal 49, 407 – 416.  Google Scholar
  34. Frankel, J. (1987): Recent Estimates of Time-Variation in the Conditional Variance and in the Exchange Risk Premium, NBER Working Paper # 2367 (Cambridge).  Google Scholar
  35. Frankel, J. und Froot, K. (1986): Interpreting Tests of Forward Discount Base Using Survey Data Exchange Rate Expectations, NBER Working Paper # 1963 (Cambridge).  Google Scholar
  36. Frankel, J. und Froot, K. (1987 a): Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations, American Economic Revie 77, 133 – 153.  Google Scholar
  37. Frankel, J. und Froot, K. (1987 b): Short-Term and Long-Term expectations of the Yen/Dollar rate: Evidence from survey data, NBER Working aper # 2216 (Cambridge).  Google Scholar
  38. Gaab, W., Granziol, M. und Horner, M (1986): On Some International Parity Conditions: An Empirical Investigation, European Economic Review 30, 683 – 713.  Google Scholar
  39. Hansen, L. P. und Hodrick, R. (1983): Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Six Linear Models, in: Frenkel, J. (Hrsg.), Exchange Rates and International Macroeconomics (University of Chicago Press, Chicago), 113 – 152.  Google Scholar
  40. Hodrick, R. und Srivastava, S. (1984): An Investigation of Risk and Return in Forward Foreig Exchange, Journal of International Money and Finance 3, 5 – 29.  Google Scholar
  41. Hodrick, R. und Srivastava, S. (1987): Foreign Currency Futures, Journal of International Economics 22,1 – 24.  Google Scholar
  42. König, P. und Möller, J. (1989): Exchange Rates, Forward Rates and Interest Differentials, Geld und Währung (Monetary Affairs) 5, 2/3, 5 – 29.  Google Scholar
  43. Lucas, R. E. (1978): Asset Pricing in an Exchange Economy, Econometrica 46, 1429 – 1445.  Google Scholar
  44. Lucas, R. E. (1982): Interest Rates and Currency Prices in a Two-Country World, Journal of Monetary Economics 10, 335 – 360.  Google Scholar
  45. Pindyck, R. S. und Rubinfeld, D.L. (1981): Econometric Models and Economic Forecasts, Second Edition (McGraw-Hill, New York).  Google Scholar
  46. Watson, M. W. und Engle, R. F. (1983): Alternative Algorithms for the Estimation of Dynamic Factor, MIMIC, and Varying Coefficient Models, Journal of Econometrics 23, 385 – 400.  Google Scholar

Abstract

Deviations from Uncovered Interest Parity – A Kalman-Filter Approach to the DM/Dollar- and the SFr/Dollar-Rate

The present paper analyses deviations from Uncovered Interest Parity by applying a Kalman filter method to the equations describing the determination of the Mark/ Dollar rate and the Swiss Franc/Dollar rate. According to the corresponding test results, the hypothesis of a time-varying systematic deviation from Uncovered Interest Parity has to be accepted for both exchange rates. Furthermore, the models allowing for variable coefficients are shown to out-perform the models with constant coefficients as well as the random walk approach in forecasting. An examination of the stochastic disturbances indicates that the shocks responsible for the systematic deviations cover a wide range of economic and political issues.

Table of Contents

Section Title Page Action Price
Peter König/Joachim Möller: Abweichungen von der Ungedeckten Zinsparität. Ein Kaiman-Filter Ansatz für den DM/Dollarund\rden SFr/Dollar-Wechselkurs 86
I. Einleitung 86
II. Wechselkursbestimmung, Erwartungsbildung und Risikoprämien 88
III. Empirische Ergebnisse 90
IV. Abweichungen von der Ungedeckten Zinsparität im zeitlichen Verlauf 97
V. Schlußbemerkungen 102
Appendix 103
Literaturverzeichnis 105
Zusammenfassung: Abweichungen von der Ungedeckten Zinsparität - Ein Kaiman-Filter-Ansatz für den DM/Dollar- und den SFr/Dollar-Wechselkurs 106
Summary: Deviations from Uncovered Interest Parity - A Kalman-Filter Approach to the DM/Dollar- and the SFr/Dollar-Rate 107
Résumé: Des réflexions sur le filtre de Kalman pour le cours du change DM/dollar et Franc suisse/dollar 107

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