Interest rate parity and the exchange risk premium Evidence from panel data
AbstractThis paper provides evidence that a time-varying risk premium is responsible for the rejection of the interest rate parity theory. We us a panel data set of returns on the Eurocurrency deposits and employ cross-section / time series methods to account for common movements in risk premia across deposits denominated in different currencies.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 40 (1992)
Issue (Month): 3 (November)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- E. Scott Mayfield & Robert G. Murphy, 1993. "Interest Rate Parity And The Exchange Risk Premium: Evidence From Panel Data," Boston College Working Papers in Economics 239, Boston College Department of Economics.
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- Rui Albuquerque, 2004. "The Forward Premium Puzzle in a Model of Imperfect Information: Theory and Evidence," International Finance 0405007, EconWPA.
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