摘要：Our paper addresses the relationship between exchange rates changes and interest
rate differentials in the UIP framework, by taking into account capital market
and foreign exchange market volatility. We use eight currencies, of which five are
Central and Eastern European and three are developed markets currencies, and
their relationship to the US dollar. We use OLS regressions to capture the influ-
ence of volatility on UIP testing. We find that UIP is not validated, overall and
in times of high volatility, but the direction in the exchange rate change indicated
by the interest rate differential follows the UIP framework. The relationship be-
tween interest rate differentials and exchange rates changes is weak and taking
into account market volatility does not significantly alter our results.
