EconPapers    
Economics at your fingertips  
 

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

E. Scott Mayfield and Robert 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
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://fmwww.bc.edu/EC-P/wp239.pdf main text (application/pdf)

Related works:
Journal Article: Interest rate parity and the exchange risk premium Evidence from panel data (1992) Downloads
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: https://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 Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().

 
Page updated 2022-01-12
Handle: RePEc:boc:bocoec:239