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Interest Rate Parity And The Exchange Risk Premium: Evidence From Panel Data

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Author Info
E. Scott Mayfield (Department of Economics, Boston College)
Robert G. Murphy () (Department of Economics, Boston College)

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Abstract

This 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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Publisher Info
Paper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number 239.

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Date of creation: Dec 1993
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Handle: RePEc:boc:bocoec:239

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  1. Jason Childs & Stuart Mestelman, 2004. "Rate of Return Parity in Experimental Asset Markets," Department of Economics Working Papers 2004-01, McMaster University. [Downloadable!]
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  2. Imad A. Moosa & Razzaque H. Bhatti, 1997. "Are Asian Markets Integrated? Evidence For Six Countries Vis-A-Vis Japan," International Economic Journal, Korean International Economic Association, vol. 11(1), pages 51-67, April. [Downloadable!] (restricted)
  3. Vipul Bhatt & Arvind Virmani, 2005. "Global integration of India's Money Market : Interest rate parity in India," Indian Council for Research on International Economic Relations, New Delhi Working Papers 164, Indian Council for Research on International Economic Relations, New Delhi, India. [Downloadable!]
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This page was last updated on 2009-12-2.

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