Ränteparitetsteoremet i kriser - en empirisk studie
(2013) NEKH01 20131Department of Economics
- Abstract
- The covered interest rate parity (CIP) states that the difference in interest rate between two identical assets, denominated in different currencies, should explain the difference between the spot price and the forward price in the foreign exchange markets. However, empirical studies have suggested that the CIP condition does not always hold. This study empirically tests the CIP condition during two periods of market turbulence, the dot.com bubble with subsequent recession (2000-2003) and the recent financial crisis (2008-2011). The deviations from CIP during these periods are compared with the deviations during a longer period of 14 to 20 years. The findings suggest that the deviations from CIP are significantly larger during the... (More)
- The covered interest rate parity (CIP) states that the difference in interest rate between two identical assets, denominated in different currencies, should explain the difference between the spot price and the forward price in the foreign exchange markets. However, empirical studies have suggested that the CIP condition does not always hold. This study empirically tests the CIP condition during two periods of market turbulence, the dot.com bubble with subsequent recession (2000-2003) and the recent financial crisis (2008-2011). The deviations from CIP during these periods are compared with the deviations during a longer period of 14 to 20 years. The findings suggest that the deviations from CIP are significantly larger during the financial crisis, but are not significantly different during the dot.com crisis. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/3803025
- author
- Andersson, Camilla LU and Lundström, Jesper
- supervisor
-
- Hans Byström LU
- organization
- course
- NEKH01 20131
- year
- 2013
- type
- M2 - Bachelor Degree
- subject
- keywords
- Ränteparitetsteoremet, Valuta, Finanskris, IT-Kris
- language
- Swedish
- id
- 3803025
- date added to LUP
- 2013-06-20 10:46:53
- date last changed
- 2013-06-20 10:46:53
@misc{3803025, abstract = {{The covered interest rate parity (CIP) states that the difference in interest rate between two identical assets, denominated in different currencies, should explain the difference between the spot price and the forward price in the foreign exchange markets. However, empirical studies have suggested that the CIP condition does not always hold. This study empirically tests the CIP condition during two periods of market turbulence, the dot.com bubble with subsequent recession (2000-2003) and the recent financial crisis (2008-2011). The deviations from CIP during these periods are compared with the deviations during a longer period of 14 to 20 years. The findings suggest that the deviations from CIP are significantly larger during the financial crisis, but are not significantly different during the dot.com crisis.}}, author = {{Andersson, Camilla and Lundström, Jesper}}, language = {{swe}}, note = {{Student Paper}}, title = {{Ränteparitetsteoremet i kriser - en empirisk studie}}, year = {{2013}}, }