Sökning: "Covered interest parity"

Hittade 5 uppsatser innehållade orden Covered interest parity.

  1. 1. Fractional Cointegration and Price Discovery in FX Markets

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Johan Faxner; [2023]
    Nyckelord :exchange rates; price discovery; fractional cointegration; market microstructure; covered interest rate parity;

    Sammanfattning : I employ bivariate fractionally cointegrated vector autoregressive models to analyze price discovery on the EUR/GBP market. Using daily spot rates between 2010 and 2022 along with corresponding one-month and three-month forward rates, I extract parameter estimates for pairwise long-run relationships, each pair containing a spot and a forward. LÄS MER

  3. 2. Interest Rate Parity and Monetary Integration: A Cointegration Analysis of Sweden and the EMU

    Kandidat-uppsats, KTH/Matematik (Inst.)

    Författare :Richard Ruthberg; Steven Zhao; [2014]
    Nyckelord :Interest Rate Parity IRP ; Covered Interest Parity CIP ; Uncovered Interest Parity UIP ; Forward Rate Unbiasedness Hypothesis FRUH ; Monetary Integration; Sweden; EMU; STIBOR; EURIBOR; Cointegration; Johansen Test; Dynamic OLS; ränteparitet; ränteparitetsvillkoret; kurssäkrad ränteparitet; icke-kurssäkrad ränteparitet; effektiva marknadshypotesen; valutaterminer; monetär integration; Sverige; EMU; STIBOR; EURIBOR; kointegration; Johansen test; dynamisk OLS;

    Sammanfattning : This thesis provides a thorough analysis of the covered- and uncovered interest parity conditions (CIP, UIP) as well as the forward rate unbiasedness hypothesis (FRUH) for Sweden and the European Economic and Monetary Union (EMU). By studying data on interbank rates in Sweden (STIBOR) and the EMU (EURIBOR) as well as the corresponding spot- and forward exchange rates, monetary integration and country-specific risks are determined and analyzed with direct applications to the potential entry of Sweden into the EMU. LÄS MER

  4. 3. Ränteparitetsteoremet i kriser - en empirisk studie

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Camilla Andersson; Jesper Lundström; [2013]
    Nyckelord :Ränteparitetsteoremet; Valuta; Finanskris; IT-Kris; Business and Economics;

    Sammanfattning : The covered interest rate parity (CIP) states that the difference in interest rate between two identical assets, denominated in different currencies, should explain the difference between the spot price and the forward price in the foreign exchange markets. However, empirical studies have suggested that the CIP condition does not always hold. LÄS MER

  5. 4. The Double Covered Question - Do Swedish Covered Bonds Adhere to the Covered Interest Parity

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Erik Andrén; Jonas Lind; [2013]
    Nyckelord :Covered Bond; Covered Interest Parity; Interest Parity; Cross-Currency Swap; Liquidity;

    Sammanfattning : This thesis looks at the adherence of Swedish covered bonds to the Covered Interest Parity theorem by performing an original data study. In the study real trading data from the Royal Bank of Scotland with matched swaps from ICAP are used. LÄS MER

  7. 5. Carry Trade : Vad säger teorin och hur ter sig verkligheten?

    Magister-uppsats, Örebro universitet/Institutionen för ekonomi, statistik och informatik

    Författare :Mattias Lidner; Fredrik Folke; [2007]
    Nyckelord :Finansiering; Carry Trade;

    Sammanfattning : I nära tio år har främst amerikanska placerare utnyttjat strategin carry trade för att skapa positiva avkastningar. Strategin innebär att lån tas på en marknad med låga räntor för att sedan placeras på en annan marknad med högre räntor. Det är främst de japanska och amerikanska räntemarknaderna som har använts. LÄS MER