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

Charles Engel
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...
This data repository is not currently reporting usage information. For information on how your repository can submit usage information, please see our documentation.