| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5060253 | Economics Letters | 2012 | 4 Pages |
Abstract
We present a version of the uncovered interest parity condition nesting in a portfolio balance model of the consumption capital asset pricing variety. This model supports the existence of “excess returns”-returns in excess of those explained by UIP.
⺠We derive a version of UIP nesting in a portfolio balance model of the CCAPM variety. ⺠Our version focuses on “excess returns”-returns in excess of those explained by UIP. ⺠We find that the data lends strong support to our theoretical model.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Emmanuel V. Pikoulakis, Tomasz Piotr Wisniewski,