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

Pikoulakis, Emmanuel V. and Wisniewski, Tomasz Piotr (2012). Another look at the uncovered interest rate parity: Have we missed the fundamentals? Economics Letters, 116(3) pp. 476–479.

DOI: https://doi.org/10.1016/j.econlet.2012.04.032

Abstract

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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