The uncovered interest rate parity (UIP) puzzle states that high interest rate currencies appreciate over time and therefore pay a positive expected excess return.
This empirical finding is consistently confirmed by numerous studies
Gavazzoni, 2008, "Uncovered Interest Rate Parity Puzzle: An Explanation based on Recursive Utility and Stochastic Volatility"
https://server1.tepper.cmu.edu/seminars/docs/uip_puzzle_federico_gavazzoni.pdf
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