97-014/2 - Variation in the Slope Coefficient of the Fama Regression for Testing Uncovered Interest Rate Parity: Evidence from Fixed and Time-varying Coefficient Approaches

• Authors
  Camiel de Koning, Erasmus University Rotterdam; Stefan Straetmans, Erasmus University Rotterdam
• Publication date
  January 30, 1997

• Keywords
  Uncovered interest parity; time-varying coefficients; state space modelling