Differential risk premiums and the UIP puzzle

We respecify the uncovered interest rate parity (UIP) conditions by inverting the market price of the risk (Sharpe ratio) formula. Our empirical model provides new insight indicating that violations to the UIP stem from the existence of a risk premium in the exchange rates and from observed market r...

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Veröffentlicht in:	Financial management 2021-03, Vol.50 (1), p.139
Hauptverfasser:	Biswas, Rita, Piccotti, Louis R, Schreiber, Ben Z
Format:	Artikel
Sprache:	eng
Schlagworte:	Financial research Foreign exchange market Interest rates Risk (Economics)
Online-Zugang:	Volltext
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