Riskpremie i UIP - möjlighet till cross-currency arbitrage? - en jämförande studie av ränta och växelkurs mellan Storbritannien, Tyskland och Sverige.
(2006)Department of Economics
- Abstract
- The thesis explores the Uncovered Interest rate Parity (UIP) and the possibility of cross-currency arbitrage between England, Germany and Sweden. The data is gathered between May 1999 and December 2005 on a monthly basis and is compared using simple regression analysis. The aim is to find out whether UIP holds and, if it does not, a risk premium exists that makes it possible to make arbitrage gains on moving capital between England, Germany and Sweden. It is discovered that UIP does not hold and that cross-currency arbitrage possibilities exist. In the end a an attempt is made to practically show how the arbitrage possibility could be used for a real investor to make risk free gains from the Foreign Exchange market.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1335536
- author
- Lindvall, Björn
- supervisor
- organization
- year
- 2006
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Sweden, Germany, UK, Uncovered Interest rate Parity, Cross-currency arbitrage, Economics, econometrics, economic theory, economic systems, economic policy, Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik
- language
- Swedish
- id
- 1335536
- date added to LUP
- 2006-06-20 00:00:00
- date last changed
- 2010-08-03 10:49:19
@misc{1335536, abstract = {{The thesis explores the Uncovered Interest rate Parity (UIP) and the possibility of cross-currency arbitrage between England, Germany and Sweden. The data is gathered between May 1999 and December 2005 on a monthly basis and is compared using simple regression analysis. The aim is to find out whether UIP holds and, if it does not, a risk premium exists that makes it possible to make arbitrage gains on moving capital between England, Germany and Sweden. It is discovered that UIP does not hold and that cross-currency arbitrage possibilities exist. In the end a an attempt is made to practically show how the arbitrage possibility could be used for a real investor to make risk free gains from the Foreign Exchange market.}}, author = {{Lindvall, Björn}}, language = {{swe}}, note = {{Student Paper}}, title = {{Riskpremie i UIP - möjlighet till cross-currency arbitrage? - en jämförande studie av ränta och växelkurs mellan Storbritannien, Tyskland och Sverige.}}, year = {{2006}}, }