Another look at the uncovered interest rate parity: Have we missed the fundamentals?

Emmanuel V. Pikoulakis and Tomasz Wisniewski

Economics Letters, 2012, vol. 116, issue 3, 476-479

Abstract: We present a version of the uncovered interest parity condition nesting in a portfolio balance model of the consumption capital asset pricing variety. This model supports the existence of “excess returns”–returns in excess of those explained by UIP.

Keywords: Exchange rates; Uncovered interest rate parity; CCAPM (search for similar items in EconPapers)
JEL-codes: F31 G11 G15 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:116:y:2012:i:3:p:476-479

DOI: 10.1016/j.econlet.2012.04.032

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