摘要：This paper tests Uncovered Interest Rate Parity (UIP) using LIBOR rates
for six major international currencies for the period January 2001 to December
2008. We find that UIP generally holds over a short-term (above 5-months)
horizon for individual as well as groups of currencies. Our results suggest that it
is important to consider the cross-correlation between currencies. We also find that
“state dependence” plays an important role for currencies with a negative interest
rate differential vis-à-vis the US dollar. This state dependence could also be
instrumental in explaining exchange rate overshooting.
关键词：UIP; LIBOR; system SUR; system DGLS; system DOLS.
