The Stability of the Interest Parity Relationship between Canada and the United States: A Note
检验1970年代加拿大金融市场中资本不完善、政治风险和交易成本等因素是否导致利率平价关系出现统计上显著的断裂，对研究外汇市场效率的学者有参考价值。
where F and S are, respectively, the forward and spot prices of foreign exchange and r(*), the domestic (foreign) interest rate. Empirically, however, condition (1) does not always appear to have been satisfied, thus raising questions regarding the existence of unexploited profit opportunities in the foreign exchange market. Previous studies have attempted to offer explanations for these apparent deviations from interest parity. For example, Prachowny (1970) emphasized the role of capital market imperfections, Aliber (1973) stressed measurement error and political risk, while Branson (1969) and later Frenkel and Levich (1975) argued that departures from interest parity were due to transactions costs. In Canada, three of these factors have, with perhaps varying degree, had some influence on developments in financial markets during the 1970s. First, as evidence of capital market imperfections, there was the Winnipeg Agreement between the Bank of Canada and the chartered banks which imposed ceilings on large Canadian-dollar short-term bank deposits. Second, there was the potential for an increase in the political riskiness of Canadian-dollar denominated assets following the election of the separatist government in Quebec in late 1976. Finally, there was the market turbulence accompanying the sharp depreciation of the Canadian dollar during 1977 and 1978 and its potential for increased transactions costs in the market for foreign exchange resulting from greater uncertainty regarding exchange rate movements. But how important have these factors been as far as the robustness of the interest parity theorem is concerned? Indeed, have variations in the degree of capital market imperfection, in political risk or in transactions costs been sufficient to cause statistically significant breakdowns in the basic relationship given by equation (1)? This note attempts to throw some light on this question by testing for the stability of the parameters in the regression relationship,