INTEREST-RATE PARITY AND THE EXCHANGE RISK PREMIUM - EVIDENCE FROM PANEL DATA

被引：9
|
作者：
MAYFIELD, ES
MURPHY, RG
机构：
[1] BOSTON COLL,DEPT ECON,CHESTNUT HILL,MA 02167
[2] FED RESERVE BANK BOSTON,BOSTON,MA
来源：
ECONOMICS LETTERS | 1992年 / 40卷 / 03期
关键词：
D O I：
10.1016/0165-1765(92)90012-N
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper provides evidence that a time-varying risk premium is responsible for the rejection of the interest rate parity theory. We use a panel data set of returns on Eurocurrency deposits and employ cross-section/time-series methods to account for common movements in risk premia across deposits denominated in different currrencies.
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页码：319 / 324
页数：6
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