The forward premium puzzle in the interwar period and deviations from covered interest parity

Ivan Paya (), David Peel and Alina Spiru

Economics Letters, 2010, vol. 108, issue 1, 55-57

Abstract: We revisit the forward premium puzzle in the interwar period and find that, as the deviation from covered interest rate parity increases, the coefficient on the forward premium in the standard Fama regression tends towards zero.

Keywords: Forward; premium; Interwar; Covered; interest; parity (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (7)

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