Essays about: "exchange rate and interest rate differential"

Showing result 1 - 5 of 7 essays containing the words exchange rate and interest rate differential.

  1. 1. How does unexpected news about employment affect the exchange rate?

    University essay from Uppsala universitet/Nationalekonomiska institutionen

    Author : Otto Aspemo; Joel Grönblad; [2023]
    Keywords : Central Bank; Employment Change; Exchange Rate; Interest Rate Differential; Monetary Policy; UncoveredInterest Rate Parity Condition;

    Abstract : The research conducted intends to examine how unexpected changes in employment may affect both exchange rates and interest rates. The results used in the analysis are extracted by running two ordinary least squares regressions with data structured as an unbalanced panel. READ MORE

  2. 2. Is the Carry Trade strategy an explanation of the Uncovered Interest Parity puzzle?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Benjamin Albertsson; [2018]
    Keywords : Uncovered interest rate parity; UIP puzzle; Carry trade.; Business and Economics;

    Abstract : 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

  3. 3. 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)

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

    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

  4. 4. The relationship between carry trade currencies and equity markets, during the 2003-2012 time period

    University essay from Företagsekonomi

    Author : Andrei Dumitrescu; Antti Tuovila; [2013]
    Keywords : carry trade; correlation; currency; equity indexes; financial crisis; foreign exchange; risk premia; uncovered interest parity; volatility; S P 500; FTSE All-World; VIX;

    Abstract : 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

  5. 5. Determinants of forex market movements during the European sovereign debt crisis: The role of credit rating agencies.

    University essay from IHH, Economics, Finance and Statistics

    Author : Marharyta Karpava; [2012]
    Keywords : credit rating; sovereign debt crisis; euro depreciation; event study;

    Abstract : 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