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between returns on non-dollar denominated Eurocurrency deposits. This is ... does not hold in the non-dollar Euromarkets and, thirdly, this deviation can.
Covered Interest Parity in Non-Dollar Euromarkets By

Wolfgang G. Ch. Maennig and Warren J. Tease

C o n t e n t s : I. Introduction. - II. T h e o r y of Covered I n t e r e s t Parity. - I I I . Data, Estimation a n d Results. - IV. Conclusion. - Appendix.

I. Introduction he Covered Interest Parity (CIP) hypothesis has been the subject of extensive empirical investigation. In the Euromarket context much of this work has examined the arbitrage opportunities between Eurodollar deposits and other Eurocurrency deposits. (See Levich [1985] for a survey.) In comparison there are no papers which examine the relationship between returns on non-dollar denominated Eurocurrency deposits. This is surprising because transactions in these markets now represent a large share of total transactions in the Euromarkets. The aim of this paper is to examine this issue. To this end we use the pound sterling (PS) as the home-country currency. One further point of departure from earlier studies testing CIP canbe found in the econometric procedures reported below. Earlier papers have neglected to test the homoscedasticity of the error terms in their reported equations. Cumby and Obsffeld [1984] have recently found that heteroscedasticity is a significant problem in tests using international financial data. Therefore, we test for heteroscedasticity and correct for it where appropriate. Section II provides a brief survey of the empirical evidence on CIE In Section III, the data, estimation technique, and results are described. The empirical evidence suggests, firstly, that heteroscedasticity is evident in most of the relationships. Secondly, on the basis of regression analysis alone, CIP does not hold in the non-dollar Euromarkets and, thirdly, this deviation can largely be explained by transactions costs.

T

II. Theory of Covered Interest Parity The CIP theory states that the return on an asset denominated in domestic currency is equal to the return on an equivalent asset denominated in foreign currency plus the forward premium on foreign exchange. One of the most Remark: We are grateful for the helpful comments of Gunter Dufey, Dieter Friedrich, Gerd Hansen, Harmen Lehment and Robert Trevor. Any remaining errors are ours. The views expressed in the paper are not necessarily shared by our employers.

Covered Interest Parity

607

popular ways of formalising CIP is (1) (1)

i,d - il = F, - S, (1 + i~)

S, where id = interest rate on domestic currency asset at time t, i[ = interest rate on foreign currency asset at time t, S, = spot exchange rate (domestic currency units per foreign currency unit), F, = forward exchange rate (domestic currency units per foreign currency unit). When (1) holds there is no scope for arbitrage profits. For estimation purposes (1) is usually rewritten as (2) i,d - il (2)

F , - S,

i + I~ = Cl + 13 - s t

- + IJt

The values of a and 13consistent with CIP are zero and one respectively. Early work by Aliber [1973] and Marston [1976] found that CIP held closely in the Eurocurrency markets. Frenkel and Levich [1975; 1977] found that most observed deviations from CIP were within bounds set by transactions costs. In addition to this they found that these costs are time-varying; being higher in turbulent periods and lower in tranquil periods. Several works [see e.g. Aliber, 1973; Dooley and Isard, 1980; Otani and Tiwari, 1981; Fratianni and Wakeman, 1982] show that political risk, generated by existing and prospective government actions, accounted for deviations from interest parity on domestic markets. In the following section we estimate the relationship between interest rates and forward premia in non-dollar Euromarkets. IlL D a t a , E s t i m a t i o n a n d R e s u l t s Interest rate, spot exchange rate and one-month forward exchange rate data were obtained fom the Financial Times'. The interest rates used in the following tests are the rates on one-month Eurocurrency deposits. The return on Eurocurrency assets rather than domestic assets were used because, as pointed out by Levich [1985], they provide correct tests of CIP since Eurocurrency assets are comparable in all respects except currency of ' Difficulties arise in most studies of CIP because interest rate and exchange rate data are taken from sources that do not sample the two series at the same point in time. McCormick [1979] provides a careful analysis of this problem. The difficulties are mitigated by taking data from the Financial Times because both series are sampled at the close of the market. Hence biasses due to using non-contemporaneous interest rate and exchange rate series are not introduced.

608

W o l f g a n g G. Ch. M a e n n i g and W a r r e n J. T e a s e

denomination. All data were sampled as end-month. The sample period is January 1979-August 1986. Tests of the relationship between interest rates on PS and those on U.S. dollar assets are reported for purposes of comparison. 1. A Test for H e t e r o s c e d a s t i c i t y Earlier papers testing CIP have failed to test the assumption that the errors, Pt, in (2) are homoscedastic. Cumby and Obsffeld [1984] have found that this assumption is violated in tests of uncovered interest parity and in tests of the international equality of real interest rates. If heteroscedasticity was present and not corrected for in these earlier studies then the inferences drawn from them may be misleading. In this paper we test the homoscedasticity assumption using a technique proposed by Breusch and Pagan [1979]. Table 1 reports the results of testing the homoscedasticity of the error terms in the equations relating the PS Eurodeposit rate to the Deutsche mark (DM), French franc (FF), U.S. dollar (U.S.$) and Italian lira (Lira) rates. Table 1 - Breusch-Pagan Tests of Homoscedasticity Relationship PS PS PS PS

/ / / /

DM FF U.S.$ Lira

Test statistic 6.94** 5.06* 0.70 7.40**

Note: The test statistic is as proposed by Breusch and Pagan [1979] and is distributed asymptotically as Chi2(1). * (**) ----significantly different from zero at the five (one) percent level.

In three of the four cases, the null hypothesis of homoscedasticity is rejected; the null hypothesis cannot be rejected in the PS / U.S.$ equation. This rejection of homoscedasticity is consistent with that reported in Cumby and Obstfeld [1984]2. 2. Regression A n a l y s i s with the W h i t e P r o c e d u r e In the presence of heteroscedasticity, OLS estimation of (2) will yield biased and inconsistent estimates of the variance-covariance matrix. To overcome this problem we use a procedure derived by White [1980] to 2 It should be noted that Cumby and Obstfeld use a different test of homoscedastieity. They test the homoscedasticity of the observed forecast errors in the relevant equations, The Breusch-Pagan procedure, on the other hand, tests the homoscedasticity of the estimated equation residuals.

609

Covered Interest Parity

estimate a heteroscedasticity-consistent covariance matrixa. The White procedure was used in the estimation of all equations except that for the U.S. dollar. The results of these tests of CIP are reported in Table 2. Table 2 - Covered Interest Parity Obs.

a

PS / DM

92

.19E-03" (.68E-04)

.957** (.018)

.97

PS / FF

92

.12E-03" (.5E-04)

.962**

(.017)

Relationship

Joint tesP a=0,~=l

D.W.

LM b

8.59*

2.10

18.4

.99

10.59"*

1.93

6.6

17.18"*

1.91

6.88

1.85

8.48

R2

PS / U.S.$

92

.lIE-03** (.26E-04)

.952** (.009)

.99

PS / Lira

92

-.19E-03 (.17E-03)

1.002"* (.043)

.94

4.06

a In the equations corrected by the White procedure the test statistic of the joint test o = 0, 1~= 1 is distributed Chi2(2). In the PS/U.S.$ equation the test statistic is distributed F(2,90). b This is a Lagrange multiplier test of high order serial correlation. Twelve lags of the residuals were used in the reported test. - * (**)-- significantly different from zero at the five (one) percent level. - Heteroscedasticity-consistent standard errors are in parentheses.

It is apparent that the errors in the estimated equations are not serially correlated. The Durbin-Watson tests suggest the absence of first-order autocorrelation while the null hypothesis of no higher order autocorrelation cannot be rejected by Lagrange multiplier tests. The results of estimating (2) show that CIP can be rejected in three of the four equations. Only in the equation relating PS and Lira interest rates can we accept the covered interest-parity hypothesis. In the remaining equations is significantly different from zero and l~is significantly different from unity. Naturally, in each of these equations the joint restriction of a = 0, } = 1 is rejected. It should be noted that there is an implicit unitary restriction imposed on the coefficient of the foreign interest-rate variable in the equations reported above. Turnovsky and Ball [1983] have found that this restriction is not supported by the data. To test the validity of this restriction we estimate an alternative form of (1). The estimating equation is a The White procedure is a convenient means for correcting heteroscedasticity because very little structure needs to be imposed on the form of the heteroscedasticity when estimating the consistent covariance matrix.

610 (3)

W o l f g a n g G. Ch. M a e n n i g and W a r r e n ]. T e a s e

itd = a + 15,(InFt - lnS t) + 152i[ + lat

If the unitary restriction is valid then 152= 1. The results of estimating (3) (and the relevant Breusch-Pagan tests) are reported in Tables A1 and A2 of the Appendix. The homoscedasticity assumption is violated in the equations relating PS interest rates to DM and FF rates. Consequently, the White correction was used in estimating these equations in Table A2. The unitary restriction on I~ can only be rejected in the equation relating PS to Lira interest rates. The restriction cannot be rejected in the remaining equations. This finding suggests that the results relating to the Lira equation in Table 2 should be interpreted with caution. The acceptance of CIP in this equation is conditional on the inappropriate unitary restriction. When this restriction is relaxed (see Table A2) CIP is rejected. The foregoing tests permit correct inferences to be drawn because a heteroscedasticity-consistent covariance matrix was used in estimation. The tests may not be efficient, however, because they fail to account for possible cross-equation, contemporaneous correlation between the error terms. It is reasonable to assume that the errors across the various markets may be contemporaneously correlated. To use the information in this correlation the equations in Table 2 were estimated as a system of seemingly unrelated regressions (SUR). The results of the SUR estimation are reported in Table A3. The results reported in A3 are similar to those reported above. The results suggest that there has been a statistically significant deviation from CIP in the 1980s. This may not mean that there are unexploited arbitrage opportunities in the non-dollar Eurocurrency markets. Thus, statistically significant deviations need not, in this case, be economically significant. It is possible that the deviations from CIP reported here are within the bounds set by transactions costs. If so, this suggests that transactions costs have increased significantly since the early 1970s. This is because CIP could not be rejected by Aliber [1973] or Marston [1976] even though no allowance was made for transactions costs in the equations reported in those papers. In the following section we compare the observed deviations from CIP with an estimate of the transactions costs. 5. T r a n s a c t i o n s C o s t s a n d P r o f i t O p p o r t u n i t i e s Transactions costs are incurred when capital is moved across international markets. These costs include not only brokerage fees, but also taxes, time costs and the costs of acquiring and analysing information. According to the adversary theory4 they depend positively on the risk perceptions of the market makers, who face a price risk and a liquidity risk. The price risk stems from the price volatility of the underlying asset, the liquidity risk from the 4 See Bagehot [1971] for further details.

Covered Interest Parity

611

uncertainty of holding assets that are traded in small volume per unit of time. Thus, transactions costs are not stationary~. There are several ways of estimating the size of these transactions costs. Traditionally the transactions costs of a "full round" (start and end in the same currency) were measured bid-ask spread. Subsequently, Frenkel and Levich [1975; 1977] used a triangular arbitrage approach. They argued that this provides a better estimate of transactions costs than the traditional bid-ask spread approach because it includes the above mentioned time costs, subscription costs, etc. However, McCormick [1979] found that the conclusions drawn from this approach are extremely sensitive to the quality of the data available. Because of these difficulties Levich [1985, p. 999] concluded that "the bid-ask spread approach will continue to supply the most common estimate of transactions costs". Moreover, Frenkel and Levich [1975] found that the bid-ask spread approach yields conclusions consistent with the more complicated triangular arbitrage approach. For these reasons we use the bid-ask spread in the foreign exchange markets as a measure of transactions c o s t s 8.

The dashed lines in the Figures illustrate the transactions costs, calculated by the bid-ask spread. The mean of these costs for the U.S.$, DM, FF, and the Lira (all expressed against PS) are 0.067; 0.25; 0.10; and 0.074 percent respectively 7. These values are well within the range of earlier estimatesa. The unbroken lines in these Figures are the deviations from CIP. These deviations are measured as the difference between the interest rate differential and the forward premium at each point in time. It is evident from these Figures that a high proportion of the observed deviations from CIP are within the bounds set by transactions costs. The PS / Lira relationship is the exception to this. Table 3 provides some summary statistics about the data illustrated in the previous Figures. There are no instances in which the deviations from CIP in the PS/DM relationship violate the bounds. In the PS/U.S.$, PS/FF and PS/Lira cases there are three, five and twenty-eight violations respectively. These results suggest that there were a significant number of unexploited profit opportunities between PS and Lira Eurodeposit markets. For the FF and U.S.$ the number of violations is small relative to the number of 5 It should be noted that the other agents face default risk, liquidity risk and political risks as well. The risk position they take is one of the major explanations of deviations from CIP which exceed transactions costs. See Levich [1985, pp. 997-1000] and Otani and Tiwari [1981, pp. 797-798]. 0 The Eurodeposits are assumed to be held until the end of maturity, so that transactions costs in the deposit markets can be neglected. 7 Note that these figures exaggerate the variability of the transactions costs. The transactions costs are computed as (bid-ask) divided by the midpoint of the bid-ask notations and are thus affected by the level of the exchange rate. The case of the DM makes this clear: the absolute difference between bid and ask notation was constant at 0.01 DM / PS for the 92 observations. 8 Compare Frenkel and Levich [1975, p. 331] and Levich [1985, p. 999]. Weltwirtschaftliches Archly Bd. CXXIII.

3

612

W o l f g a n g G. Ch. M a e n n i g and W a r r e n J. T e a s e

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613

Covered Interest Parity

observations (92). Row 2 of Table 3 provides a measure of the mean unexploited profit opportunities in these markets. This is measured by the sum of the profit opportunities divided by the number of observations. The mean profit opportunity for the Lira was 0.36 percent p.a., while for the dollar this figure was 0.009 percent p.a. Thus, the size of unexploited profit opportunities in the Lira market was much larger than in the deeper U.S.$ market. Table 3 - Profit Opportunities

I. Full bid-ask spread (1) Number of cases (2) Mean profit opportunity in percent p.a. II. Half bid-ask spread (3) Number of cases (4) Mean profit opportunity in percent p.a.

U.S.$

DM

FF

Lira

3

0

5

28

8.9E-03

3.9E-02

3.6E-01

20

1

21

48

6.8E-03

4.2E-02

1.25E-01

5.2E-01

It is possible that the full bid-ask spread is an upwardly biased measure of transactions costs. If agents in the Euromarkets hold diversified currency working balances then half the bid-ask spread may be a more appropriate measure of these costs. This is because agents need not convert the proceeds of a deposit back into domestic currency, or need not convert domestic currency into foreign currency to initiate a transaction. Therefore the calculations in rows 1 and 2 were repeated using half the bid-ask spread as the measure of transactions costs. On this basis the number and size of the profit opportunities increased significantly. The results in this table suggest that the actual deviations from CIP in most markets were within the bounds set by transactions costs (at least on the basis of the more conservative measure of these costs). However, there appears to be significant profit opportunities on the PS/Lira market. This may be attributed to the thinness of this market. In the deeper U.S.$ and DM markets these opportunities are much lower. A problem with the above results is that they only show the size and frequency of ex-post unexploited profit opportunities. Frenkel and Levich [1975] argued that there may be time lags between the receipt of information signalling arbitrage profit opportunities and the execution of arbitrage transactions. If this is the case then ex-post profit opportunities are not relevant in rejecting CIP. In the presence of time lags, information on profit opportunities must be observable ex-ante if it is to be used. It is difficult to test the hypothesis that the reported ex-post profit opportunities were observable 3*

614

Wolfgang G. Ch. M a e n n i g and W a r r e n J. Tease

ex-ante. In an attempt to do so, however, we performed a Wald-Wolfowitz runs test [Siegel, 1956, pp. 365 ft.] to see if the observed profit opportunities are independent. The rationale for this test is that if the process generating the observed profit opportunities is not independent over time then economic agents can use this information to forecast future profit opportunities. Any non-randomness thus indicates that profit opportunities were perhaps observable ex-ante9. The results of this test are shown in Table 4. Table 4 - Wald-Wolfowitz Runs Test U.S.$ I. Pull bid-ask spread Number of runs z-statistic

7 0.354

II. Half bid-ask spread Number of runs z-statistic

32 -0.094

DM

2 -0.05

FF

Lira

11 0.58

34 -1.23

34 0.175

40 -1.45

Note: Z-statistic is approximately N (0,1) distributed. The critical z-values are +/-1.96.

The number of runs are very close to the expected numbers for all currencies except the Lira. However, for the Lira as for the other currencies the z-statistics show that the null hypothesis that the process generating the profit opportunities is a random walk cannot be rejected. Therefore, following the argument of Frenkel and Levich, CIP cannot be rejected. It is possible that Frenkel and Levich overstate the role of time lags. Due to the widespread use of modern information gathering and processing systems it is likely that any time lags in the market are insignificant. Therefore, the above tests may be too restrictive; being biased towards not rejecting CIP particularly in the case of the Lira. There is an important caveat which must be noted when interpreting these results on transactions costs. That is, the bid and ask prices quoted in the financial press may not be the prices at which trading actually takes place. Transactions may occur at prices within these quoted bounds. Therefore the data used in the section on transactions costs in this (and in all other papers on this topic) are, at best, only rough estimates of the actual transactions costs 1~ Therefore, tests of CIP based on transactions costs measures are biased towards not rejecting the null hypothesis of CIP. o This is, of course, a weak-form test of this hypothesis because the information set of agents is being restricted to the pattern in the observed deviations. Clearly, additional information will be available to agents when making their arbitrage decision. ~o We are grateful to Gunter Dufey for pointing this out to us.

615

Covered Interest Parity

IV. C o n c l u s i o n

It is evident from the results reported above that covered interest parity, in general, holds in the non-dollar Euromarkets. This finding is consistent with the results reported in the extensive literature examining the Eurodollar markets. There is, nevertheless, some evidence that CIP is not an adequate description of the relationship between pound sterling and lira interest rates. Some additional points to note from the empirical work are the following. Firstly, the results confirm the earlier findings of Cumby and Obstfeld [1984] that heteroscedasticity is a significant problem in international financial analysis. Secondly, regression analysis alone may lead to incorrect conclusions in the presence of transactions costs. Appendix

Table A1 - Breusch-Pagan Tests of Homoscedasticity for Eq. 3 Relationship PS PS PS PS

/ / / /

Test Statistic

DM FF U.S.$ Lira

12.74"* 9.77** 1.07 2.42

Note: The test statistic is distributed asymptotically as Chi2(2). - ** --" significantly different from zero at the one percent level.

Table .42, - Test o[ Unit Restriction R2

Relationship

Joint tesP a = 0,

D.W.

LM b

~I = ~2 = 1

PS / DM

.28E-03 (.2E-03)

.955** (.025)

.989** (.021)

.98

10.13'

2.1

19.36

PS / FF

.61E-03" (.31E-03)

.945** (.021)

.952** (.03)

.94

18.38"*

1.8

6.24

PS / U.S.$

.21E-03 (.12E-03)

.952** (.015)

.989** (.012)

.99

8.37**

1.9

6.64

PS / Lira

.29E-02"* (.39E-03)

.768** (.037)

.724** (.032)

.85

30.03**

1.6

15.20

a In the equations corrected by the White procedure the test statistic of the joint test a = 0, [31 = [32 = 1 is distributed Chi2(3). In the PS/U.S.$ and the PS/Lira equation the test statistic is distributed F(3,89). - b This is a Lagrange multiplier test of high order serial correlation. Twelve lags of the residuals were used in the reported test. - * (**) g significantly different from zero at the five (one) percent level. - Standard errors are in parentheses.

616

Wo[ggang G. Ch. Maennig and Warren J. Tease Table A3 -

Seemingly Unrelated Regressions Joint tesP

Relationship

Obs.

~

13

R2

a = 0, 13 = 1

D.W.

PS / DM

92

.187E-03"* (.79E-04)

.958** (.0156)

.97

6.88*

2.10

PS / FF

92

.121E-03" (.55E-04)

.9647"* (O103)

.99

21.00"*

1.94

PS / U.S.$

92

.113E-03"* (.25E-04)

~9482'* (.83E-02)

.99

46.39**

2.20

PS / Lira

92

-.165E-03 (.16E-03)

1,0068"* (,0253)

.94

3,15

1.84

a The test statistics are distributed Chi2(2) - * (**) ---"significantly different from zero at the five (one) percent level. - Standard errors are in parentheses.

References Aliber, Robert Z., "The Interest Rate Parity Theorem: A Reinterpretation". loumal of Political Economy, Vol. 81, 1973, pp. 1451-1459. Argv, Victor, The Postwar International Monetary Crisis: An Analysis. London 1981. Bagehot, Walter, "The Only Game in Town". Financial Analysts]ourna~ VoL 27, 2, I97I, pp. 12-14. Brcusch, Trcvor S., Adrian R. Pagan, "A Simple Test for Heternscedasticity and Random Coefficient Variation". Econometrica, Vol. 47, 1979, pp. 1287-1294. Cumby, Robert E., Maurice Obstfeld, "International Interest Rates and Price Level Linkages under Flexible Exchange Rates: A Review of Evidence". In John E O. Bilson, Richard C. Marston (Eds.), Exchange Rates: Theory and Practice. Chicago 1984, pp. 121-151.

Dooley, Martin P., Peler Isard, "Capital Controls, Political Risk and Deviations from Interest Rate Parity". Journal o[ Political Economy, Vol. 88, 1980, pp. 370-384.

Eaton, Jonathan, Stephen J. Turnovslqr, "Covered Interest Parity, Uncovered Interest Parity and Exchange Rate Dynamics". The Economic Journal, Vol. 93, 1983, pp. 555-575.

Fratianni, Michele, L. MacDonald Wakeman, "The Law of One Price in the Eurocurrency Market". Journal ol International Money and Finance, Vol. 1, 1982, pp. 307-323. Frenkel, Jacob A., Richard M. Levich, "Covered Interest Arbitrage: Unexploited Profits?" Journal of Political Economy, Vol. 83, 1975, pp, 325-338. -, -, "Transaction Costs and Interest Arbitrage: Tranquil versus Turbulent Periods". Journal of Political Economy, Vo[. 85, I977, pp. 1209-t226. Levi, Maurice D., "Taxation and "Abnormal" International Capital Flows". Journal of Political Economy, Vol. 85, 1977, pp. 635-646. Levieh, Richard M., "Empirical Studies of Exchange Rates: Price Behaviour, Rate Determination and Market Efficiency". In: Ronald W_ Jones, Peter B. Kenen (Eds.), Handbook of International Economics, Vol. II. Cambridge, Mass., 1985, pp. 979-1040.

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Marston, Richard C., "Interest Arbitrage in the Euro-Currency Markets". European Economic Review, Vol. 7, 1976, pp. 1-13. McCormick, Brank, "Covered Interest Arbitrage: Unexploited Profits ? Comment". Journal of Political Economy, Vol. 87, 1979, pp. 411-717. Otani, Ichiro, Siddharth Tiwari, "Capital Controls and Interest Rate Parity: The Japanese Experience, 1978-1981". IMF Stall Papers, Vol. 28, 1981, pp. 793-815. Sharpe, Ian G., "Covered Interest Parity: The Australian Case". Applied Economics, Vol. 16, 1984, pp. 655-665. Siegel, Sidney, Nonparametric Statistics/or the Behavioural Sciences. New York 1956. Turnovsl~, Stephen ]., Katrina M. Ball, "Covered Interest Parity and Speculative Efficiency: Some Empirical Evidence for Australia". The Economic Record, Vol. 59, 1983, pp. 271-280. White, Halbert L., Jr., "A Heteroscedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroscedasticity". Econometrica, Vol. 48, 1980, pp. 817-839.

-, Asymptotic Theory for Econometricians. Florida 1984.

Z u s a m m e n f a s s u n g : Gedeckte Zinsparit~t auf Nicht-Dollar-Eurom~irkten. - In diesem Aufsatz werden die Beziehungen zwischen Zinsstitzen und Wechselkursen auf den Euromtirkten ftir andere Wtihrungen als den U.S.-Dollar untersucht. Dabei zeigt sich, da8 Heteroskedastizitt/t ein wichtiges Problem in den Daten ist. Tests, die mit der Heteroskedastizit~t konsistent sind, werden unter Benutzung der Korrektur nach White durchgeftihrt. Aus diesen Tests ergibt sich, dag die These yon der gedeckten Zinsparita't abgelehnt werden k6nnte. Doch liegen die beobachteten Abweichungen yon der gedeckten Zinsparit/it innerhalb der Grenzen, die sich aus den Transaktionskosten ergeben.

R6su m6:Parit6 d'int6r~t couverte en euro-march~s non-dollar. - Les auteurs examinent les relations entre des taux d'int6r~t et des taux de change en euro-march6s non-dollar. Ils trouvent que la h6t6rosc6dasticit6 est un probl~me significatif regardant les donn6es. Des tests h6t6rosc6dasticit6-consistants sont conduits en utilisant la correction de White. Ces tests d6montrent que la parit6 d'int6r~t couverte (PIC) pourrait ~tre refus6e. Cependant, les auteurs trouvent que les d~viations de la PIC observ6es sont dans des limites d6termin6es par les frais de transaction.

R e s u m e n : La paridad de tipos de inter6s con seguro de cambio en los Euromercados alternativos al del d61ar. - Se examinan las relaciones entre los tipos de inter6s y los tipos de cambio en los Euromercados alternativos al del d61ar. La muestra presenta problemas de heteroscedasticidad. Se llevan a cabo tests consistentes con la heteroscedasticidad utilizando la correcci6n de White. Estos tests demuestran que la paridad de tipos de interns con seguro de cambio podrfa set rechazada. Las deviaciones observadas, empero, permanecen dentro de los lfmites impuestos por los costos de transacci6n.