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Do Exchange Rates Move in Line With Uncovered Interest Parity?
Huisman, R. / Mahieu, R.J. / Mulder, A.
foreign exchange / interest ratesResource overview

Do Exchange Rates Move in Line With Uncovered Interest Parity?

Paper2007

by Huisman, R., Mahieu, R.J., Mulder, A.

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foreign exchangeinterest rates

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Suggested foundations for rates and fixed income and probability and statistical reasoning. Specialist prerequisites vary by paper.

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  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

  3. Random Variables and Distributions

    Read the distributions and expectations used in probabilistic arguments.

  4. Conditional Expectation

    Interpret expectations after information is observed.

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  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

  3. Confidence Intervals and Hypothesis Testing

    Assess uncertainty rather than treating an estimate as a fact.

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