Essays about: "covered interest rate parity"

Found 2 essays containing the words covered interest rate parity.

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

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

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

   Abstract : 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. READ MORE

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

   University essay from KTH/Matematik (Inst.)

   Author : Richard Ruthberg; Steven Zhao; [2014]
   Keywords : 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;

   Abstract : 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. READ MORE