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

被引：6
|
作者：
Paya, Ivan [1 ]
Peel, David A. [1 ]
Spiru, Alina [1 ]
机构：
[1] Univ Lancaster, Sch Management, Lancaster LA1 4YX, England
来源：
ECONOMICS LETTERS | 2010年 / 108卷 / 01期
关键词：
Forward premium; Interwar; Covered interest parity; ARBITRAGE;
D O I：
10.1016/j.econlet.2010.03.016
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2010 Elsevier B.V. All rights reserved.
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页码：55 / 57
页数：3
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