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 InfoPaper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number 239.
Date of creation: Dec 1993
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Other versions of this item:
- Mayfield, E. Scott & Murphy, Robert G., 1992. "Interest rate parity and the exchange risk premium Evidence from panel data," Economics Letters, Elsevier, vol. 40(3), pages 319-324, November.
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- Pornpinun Chantapacdepong, 2007. "Determinants of the time varying risk premia," Bristol Economics Discussion Papers 07/597, Department of Economics, University of Bristol, UK.
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