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

By I Paya, D Peel and A M Spiru

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

Topics: HB Economic Theory
Year: 2010
DOI identifier: 10.1016/j.econlet.2010.03.016
OAI identifier: oai:eprints.lancs.ac.uk:39676
Provided by: Lancaster E-Prints

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