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

Research output: Contribution to Journal/Magazine › Journal article

Published
<mark>Journal publication date</mark>2010
<mark>Journal</mark>Economics Letters
Issue number1
Volume108
Number of pages3
Pages (from-to)55-57
Publication StatusPublished
<mark>Original language</mark>English

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.