My da|ra Login

Detailed view

metadata language: English

Replication data for: Exchange Rates, Interest Rates, and the Risk Premium

Version
1
Resource Type
Dataset
Creator
  • Engel, Charles
Publication Date
2016-02-01
Description
  • Abstract

    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. (JEL E43, F31, G15)
Availability
Download
Relations
  • Is supplement to
    DOI: 10.1257/aer.20121365 (Text)
Publications
  • Engel, Charles. “Exchange Rates, Interest Rates, and the Risk Premium.” American Economic Review 106, no. 2 (February 2016): 436–74. https://doi.org/10.1257/aer.20121365.
    • ID: 10.1257/aer.20121365 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-12

Engel, Charles (2016): Replication data for: Exchange Rates, Interest Rates, and the Risk Premium. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E112893V1