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

Paya, I; Peel, D; Spiru, A M

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oai:eprints.lancs.ac.uk:39676

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

Authors: I Paya
D Peel
A M Spiru
Publication date: 1 January 2010
Publisher
Doi

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

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oai:eprints.lancs.ac.uk:39676

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