Paya, I and Peel, D and Spiru, A M (2010) The forward premium puzzle in the interwar period and deviations from covered interest parity. Economics Letters, 108 (1). pp. 55-57. ISSN 0165-1765
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Official URL: http://dx.doi.org/10.1016/j.econlet.2010.03.016
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.
| Item Type: | Article |
|---|---|
| Journal or Publication Title: | Economics Letters |
| Uncontrolled Keywords: | Forward premium ; Interwar ; Covered interest parity |
| Subjects: | H Social Sciences > HB Economic Theory |
| Departments: | Lancaster University Management School > Economics |
| ID Code: | 39676 |
| Deposited By: | Dr Alina Spiru |
| Deposited On: | 03 Feb 2011 09:35 |
| Refereed?: | No |
| Published?: | Published |
| Last Modified: | 17 Apr 2013 15:27 |
| Identification Number: | |
| URI: | http://eprints.lancs.ac.uk/id/eprint/39676 |
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