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

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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    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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