Sökning: "long-horizon interest rate"

Hittade 3 uppsatser innehållade orden long-horizon interest rate.

  1. 1. Uncovered Interest Parity and the Financial Crisis of 2007 : An econometric study of the robustness of the uncovered interest parity over different time periods, with varying economic stability.

    Kandidat-uppsats, Högskolan i Jönköping/IHH, Nationalekonomi

    Författare :Karl Rohlén; Pontus Ekdahl; [2019]
    Nyckelord :Uncovered interest parity; interest parity; interbank offering rates; yield to maturity; short-horizon; long-horizon;

    Sammanfattning : The current intellectual climate regarding economics seems to be at an agreement regarding the theory of uncovered interest parity and its unreliability within real life application. The purpose of this thesis is to test how the theory holds over periods with varying economic stability, both using a short- and long-horizon test in order to establish the usefulness of uncovered interest parity as a predictor for exchange rate movements. LÄS MER

  3. 2. A small open economy’s view on interest rate differential’s relation to the nominal exchange rate

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)

    Författare :Julian Unger; [2017]
    Nyckelord :Small open economy; uncovered interest rate parity; interest rate differential; nominal exchange rate; short-horizon interest rate; long-horizon interest rate;

    Sammanfattning : The characteristics of interest rate differentials’ relationships with the change in nominal exchange rates are here investigated from the small open economy Sweden’s pointof view. We assume rational expectations and risk neutrality. However, these are solelysufficient but not necessary conditions. LÄS MER

  4. 3. Implied Dividends and Equity Returns

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

    Författare :Jacob Niburg; [2009]
    Nyckelord :Implied dividends; derivatives; orecasting; equity; market; returns; volatility;

    Sammanfattning : This paper studies the option market?s implied dividend as a predictor of future equity market returns. We introduce this variable in the simple total return framework and discuss some complications of using it as a proxy for the expected dividend. LÄS MER