IDEAS home Printed from https://ideas.repec.org/a/eee/ecolet/v40y1992i3p319-324.html
   My bibliography  Save this article

Interest rate parity and the exchange risk premium Evidence from panel data

Author

Listed:
  • Mayfield, E. Scott
  • Murphy, Robert G.

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.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • 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.
  • Handle: RePEc:eee:ecolet:v:40:y:1992:i:3:p:319-324
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0165-1765(92)90012-N
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Persson, Lars, 2004. "Predation and mergers: Is merger law counterproductive?," European Economic Review, Elsevier, pages 239-258.
    2. Dan Kovenock & Suddhasatwa Roy, 2005. "Free Riding in Noncooperative Entry Deterrence with Differentiated Products," Southern Economic Journal, Southern Economic Association, vol. 72(1), pages 119-137, July.
    3. Church, Jeffrey & Ware, Roger, 1996. "Delegation, market share and the limit price in sequential entry models," International Journal of Industrial Organization, Elsevier, vol. 14(5), pages 575-609, July.
    4. Elie Appelbaum & Eliakim Katz, 2003. "Firm Location Choice in the Presence of a Free Rider Problem," Working Papers 2003_6, York University, Department of Economics.
    5. Paul Belleflamme, 2002. "Pricing Information Goods in the Presence of Copying," Working Papers 463, Queen Mary University of London, School of Economics and Finance.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. So, Raymond W., 2001. "Price and volatility spillovers between interest rate and exchange value of the US dollar," Global Finance Journal, Elsevier, vol. 12(1), pages 95-107.
    2. Mayfield, E. Scott & Murphy, Robert G., 1996. "Explaining the term structure of interest rates: A panel data approach," Journal of Economics and Business, Elsevier, vol. 48(1), pages 11-21, February.
    3. Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
    4. Imad Moosa & Razzaque Bhatti, 1997. "Are Asian Markets Integrated? Evidence for Six Countries Vis-A-Vis Japan," International Economic Journal, Taylor & Francis Journals, vol. 11(1), pages 51-67.
    5. José Renato Haas Ornelas, 2017. "Expected Currency Returns and Volatility Risk Premia," Working Papers Series 454, Central Bank of Brazil, Research Department.
    6. Rui Albuquerque, 2004. "The Forward Premium Puzzle in a Model of Imperfect Information: Theory and Evidence," International Finance 0405007, EconWPA.
    7. Jason Childs & Stuart Mestelman, 2006. "Rate-of-return Parity in Experimental Asset Markets," Review of International Economics, Wiley Blackwell, vol. 14(3), pages 331-347, August.
    8. Pornpinun Chantapacdepong, 2007. "Determinants of the time varying risk premia," Bristol Economics Discussion Papers 07/597, Department of Economics, University of Bristol, UK.
    9. Albuquerque, Rui, 2008. "The forward premium puzzle in a model of imperfect information," Economics Letters, Elsevier, vol. 99(3), pages 461-464, June.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:40:y:1992:i:3:p:319-324. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/ecolet .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.