skip to main content
Language:
Search Limited to: Search Limited to: Resource type Show Results with: Show Results with: Search type Index

Exchange Rates, Interest Rates, and the Risk Premium

The American economic review, 2016-02, Vol.106 (2), p.436-474 [Peer Reviewed Journal]

Copyright© 2016 American Economic Association ;Copyright American Economic Association Feb 2016 ;ISSN: 0002-8282 ;EISSN: 1944-7981 ;DOI: 10.1257/aer.20121365

Full text available

Citations Cited by
  • Title:
    Exchange Rates, Interest Rates, and the Risk Premium
  • Author: Engel, Charles
  • Subjects: Economic models ; Exchange rates ; Foreign exchange rates ; Interest rate parity theorem ; Interest rates ; Regularity ; Risk premiums
  • Is Part Of: The American economic review, 2016-02, Vol.106 (2), p.436-474
  • Description: The uncovered interest parity puzzle concerns the empirical regularity that high interest rate countries tend to have high expected returns on short term deposits. A separate puzzle is that high real interest rate countries tend to have currencies that are stronger than can be accounted for by the path of expected real interest differentials under uncovered interest parity. These two findings have apparently contradictory implications for the relationship of the foreign-exchange risk premium and interest-rate differentials. We document these puzzles, and show that existing models appear unable to account for both. A model that might reconcile the findings is discussed.
  • Publisher: Nashville: American Economic Association
  • Language: English
  • Identifier: ISSN: 0002-8282
    EISSN: 1944-7981
    DOI: 10.1257/aer.20121365
  • Source: ProQuest Central
Back to results list
INSPIRE LIBRARY - TON DUC THANG UNIVERSITY (84-028) 37 755 057 Feedback
19 Nguyen Huu Tho St. Dist.7, HCM thuvien@tdtu.edu.vn

Copyright © 2017 INSPIRE LIBRARY - TON DUC THANG UNIVERSITY

Searching Remote Databases, Please Wait