Interest Rate Parity And The Exchange Risk Premium: Evidence From Panel Data
E. Scott Mayfield and
Robert Murphy ()
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E. Scott Mayfield: Department of Economics, Boston College
No 239, Boston College Working Papers in Economics from Boston College Department of Economics
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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Journal Article: Interest rate parity and the exchange risk premium Evidence from panel data (1992)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocoec:239
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