Interest Rate Parity And The Exchange Risk Premium: Evidence From Panel Data
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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|Date of creation:||Dec 1993|
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Web page: http://fmwww.bc.edu/EC/
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