Essays about: "exchange rate and interest rate differential"
Showing result 1 - 5 of 6 essays containing the words exchange rate and interest rate differential.
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1. Is the Carry Trade strategy an explanation of the Uncovered Interest Parity puzzle?
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper examines the uncovered interest rate parity (UIP) and extends the analysis in Spronk, Verschoor and Zwinkels (2013) by looking at the UIP between Sweden and the United Kingdom. The flaws of the UIP and the reasons for why it does not seem to hold, has been called the UIP puzzle. READ MORE
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2. A small open economy’s view on interest rate differential’s relation to the nominal exchange rate
University essay from Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)Abstract : 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. READ MORE
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3. The relationship between carry trade currencies and equity markets, during the 2003-2012 time period
University essay from Umeå universitet/Företagsekonomi; Umeå universitet/FöretagsekonomiAbstract : One of the most popular investment and trading strategies over the last decade, has been the currency carry trade, which allows traders and investors to buy high-yielding currencies in the Foreign Exchange spot market by borrowing, low or zero interest rate currencies in the form of pairs, such as the Australian Dollar/Japanese Yen (AUD/JPY), with the purpose of investing the proceeds afterwards into fixed-income securities.To be able to determine the causality between the returns of equity markets and the foreign exchange market, we choose to observe the sensitivity and influence of two equity indexes on several pairs involved in carry trading. READ MORE
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4. Determinants of forex market movements during the European sovereign debt crisis: The role of credit rating agencies.
University essay from Högskolan i Jönköping/IHH, Economics, Finance and StatisticsAbstract : The purpose of this thesis is to identify key factors underlying exchange rate developments during the European sovereign debt crisis by examining the impact of credit rating news, published by the three leading credit rating agencies, on conditional returns and volatility of EUR/USD (direct quotation) exchange rate. Empirical results highlight the importance of interest rate differential and volatility index of options exchange in explaining EUR/USD exchange rate volatilities. READ MORE
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5. Study the relationship between real exchange rate and interest rate differential – United States and Sweden
University essay from Högskolan i Skövde/Institutionen för teknik och samhälleAbstract : This paper uses co-integration method and error-correction model to re-examine the relationship between real exchange rate and expected interest rate differentials, including cumulated current account balance, over floating exchange rate periods. As indicated by the dynamic model, I find that there is a long run relationship among the variables using Johansen co-integration method. READ MORE
