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Alex Luiz Ferreira
''The Simultaneity Bias of the Uncovered Interest Rate Parity: evidence using survey data for Brazil''
( 2015, Vol. 35 No.3 )
The paper focuses on testing the ex ante uncovered interest rate parity (UIP) in a single equation framework. I use survey based expectations as a proxy for observed exchange rate expectations and IV estimation for statistical inference, overcoming the negative bias indicated by the small scale general equilibrium model with standard ingredients. Results from 2001M11 until 2014M12 using data for Brazil and the United States of America (Real/Dollar exchange rate) show strong support for ex ante UIP.
Keywords: Uncovered Interest Rate Parity, Bias, exchange rates
JEL: F3 - International Finance: General
E4 - Money and Interest Rates: General
Manuscript Received : Feb 26 2015 Manuscript Accepted : Aug 12 2015

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