Another look at the uncovered interest rate parity: Have we missed the fundamentals?

We present a version of the uncovered interest parity condition nesting in a portfolio balance model of the consumption capital asset pricing variety. This model supports the existence of “excess returns”–returns in excess of those explained by UIP.

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Year of publication:	2012
Authors:	Pikoulakis, Emmanuel V. ; Wisniewski, Tomasz Piotr
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 116.2012, 3, p. 476-479
Publisher:	Elsevier
Subject:	Exchange rates \| Uncovered interest rate parity \| CCAPM

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Type of publication:	Article
Classification:	F31 - Foreign Exchange ; G11 - Portfolio Choice ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041823