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Author: | Taylor, M. P. |
Title: | Risk premia and foreign exchange : A multiple time series approach to testing uncovered interest rate parity. |
Journal: | Weltwirtschaftliches Archiv
1987 : VOL. 123:4, p. 579-591 |
Index terms: | INTEREST RATES FOREIGN EXCHANGE TIME SERIES CURRENCY CURRENCY OPTIONS |
Language: | eng |
Abstract: | This paper developes and implements an efficient, direct test of uncovered interest rate parity For a number of exchange rates against U.K. sterling, the U.S. dollar and the German mark and for maturities of six and twelve months, uncovered interest rate parity is rejected, with the exception of lira-sterling and mark- dollar. |
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