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

  • E. Scott Mayfield

    (Department of Economics, Boston College)

  • Robert G. Murphy

    ()

    (Department of Economics, Boston College)

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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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
Date of revision:
Handle: RePEc:boc:bocoec:239
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Web page: http://fmwww.bc.edu/EC/
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