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:
Journal Article
Journal or Publication Title:
Economics Letters
Uncontrolled Keywords:
/dk/atira/pure/researchoutput/libraryofcongress/hb
Subjects:
ID Code:
39676
Deposited By:
Deposited On:
03 Feb 2011 09:35
Refereed?:
No
Published?:
Published
Last Modified:
28 Oct 2020 02:20