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

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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Year of publication:	2010
Authors:	Paya, Ivan ; Peel, David A. ; Spiru, Alina
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 108.2010, 1, p. 55-57
Publisher:	Elsevier
Keywords:	Forward premium Interwar Covered interest parity

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008494870