Author Type

Graduate Student

Date of Award

1999

Document Type

Thesis

Publication Status

Version of Record

Submission Date

October 2026

Thesis/Dissertation Advisor [Chair]

Yuhn, Ky-Hyang

Abstract

This study investigates the existence of Uncovered Interest Parity (UIP) between the United States and Japan. The study is conducted over a 58-month period beginning in January 1994 and continuing through October 1998. This study used unit root, cointegration, and causality tests to examine whether the exchange rates and interest rates of the two countries lent support to the UIP hypothesis. All data sets were found to contain a unit root. Further, there was no evidence for cointegration between the exchange rate and any of the explanatory variables (US interest rates, Japanese interest rates, and the interest rate differential). However, Granger-causality was discovered between the interest rate differential and the exchange rate. Thus, it can be said there is a causal relationship between the interest rate differential and the exchange rate. Lastly, this study gives some validity to the UIP hypothesis.

Extent

69 p.

Comments

College of Business|Thesis (M.S.)--Florida Atlantic University, 1999.|FAU Electronic Theses and Dissertations Collection|College of Business

Identifier

FADT15648

Format

pdf

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