Essays about: "Covered Interest Parity"
Found 3 essays containing the words Covered Interest Parity.
-
1. Fractional Cointegration and Price Discovery in FX Markets
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : 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
-
2. Interest Rate Parity and Monetary Integration: A Cointegration Analysis of Sweden and the EMU
University essay from KTH/Matematik (Inst.)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
-
3. The Double Covered Question - Do Swedish Covered Bonds Adhere to the Covered Interest Parity
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : 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. READ MORE