Over the last fifty years, increasingly sophisticated risk measurement and management techniques have revolutionized the field of finance. More recently, the globalization of financial markets and policy changes in the regulation of financial institutions have impacted upon how commercial banks...

We jointly re-specify the relative purchasing power parity (RPPP) and uncovered interest rate parity (UIP) conditions as the (log) ratio of stochastic discount factors by inverting the market price of risk formula. Our empirical model provides new insights, which show that violations to UIP and...