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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 (Digital Object Identifier) Link: https://doi.org/10.1016/j.econlet.2012.04.032
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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.

Item Type: Journal Item
Copyright Holders: 2012 Elsevier
ISSN: 0165-1765
Keywords: Exchange rates; Uncovered interest rate parity; CCAPM
Academic Unit/School: Faculty of Business and Law (FBL) > Business > Department for Accounting and Finance
Faculty of Business and Law (FBL) > Business
Faculty of Business and Law (FBL)
Item ID: 55384
Depositing User: Tomasz Wisniewski
Date Deposited: 11 Jun 2018 12:39
Last Modified: 10 Dec 2018 16:30
URI: http://oro.open.ac.uk/id/eprint/55384
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