A Reconsideration of the Failure of Uncovered Interest Rate Parity.
Jan 2024 - Apr 2024
I worked as a research assistant for this research, conducted by associate professor Wenbin Wu at Fudan University. This work is intended to examine the Uncovered Interest Rate Parity(UIP) law between China and the US and attempts to provide explanations for its failure.
I collected data on exchange rates, changes in the Federal Funds Rate, and the surprise component of the change in the federal funds rate target for the United States and China at various FOMC meeting points from 2005 to the present.
The results indicate that the Uncovered Interest Parity(UIP) law does not hold between China and the United States, and there may be a correlation between exchange rates and monetary policy surprises. I will conduct further research on this topic.