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

E. Scott Mayfield and Robert G. Murphy ()
Additional contact information
E. Scott Mayfield: Department of Economics, Boston College

No 239, Boston College Working Papers in Economics from Boston College Department of Economics

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.

Date: 1993-12

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Interest rate parity and the exchange risk premium Evidence from panel data (1992)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:boc:bocoec:239

Access Statistics for this paper

More papers in Boston College Working Papers in Economics from Boston College Department of Economics
Address: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Contact information at EDIRC.
Series data maintained by Christopher F Baum ().