Skip to main content

LUP Student Papers

LUND UNIVERSITY LIBRARIES

Covered Interest Parity Deviations, Monetary Policies and Crisis

Bergman, Mateo LU (2025) NEKN01 20251
Department of Economics
Abstract (Swedish)
This study investigates how different monetary policy tools have influenced deviations from
Covered Interest Parity (CIP) in the USD/SEK 3-month cross-currency basis from 2007 to
2023. Using weekly data and OLS regression with Newey-West standard errors, the analysis
evaluates the impact of policy-rate changes, quantitative easing (QE), and central-bank swap
lines implemented by the Federal Reserve and the Riksbank. The results show that neither
policy-rate adjustments nor QE appear to have contributed to a narrowing of the basis, while
the swap-line variable was found to be statistically insignificant. Overall, the findings suggest
that monetary policies have not systematically reduced CIP deviations, and the research
question... (More)
This study investigates how different monetary policy tools have influenced deviations from
Covered Interest Parity (CIP) in the USD/SEK 3-month cross-currency basis from 2007 to
2023. Using weekly data and OLS regression with Newey-West standard errors, the analysis
evaluates the impact of policy-rate changes, quantitative easing (QE), and central-bank swap
lines implemented by the Federal Reserve and the Riksbank. The results show that neither
policy-rate adjustments nor QE appear to have contributed to a narrowing of the basis, while
the swap-line variable was found to be statistically insignificant. Overall, the findings suggest
that monetary policies have not systematically reduced CIP deviations, and the research
question cannot be conclusively answered. (Less)
Please use this url to cite or link to this publication:
author
Bergman, Mateo LU
supervisor
organization
course
NEKN01 20251
year
type
H1 - Master's Degree (One Year)
subject
language
English
id
9214909
date added to LUP
2025-12-08 08:38:52
date last changed
2025-12-08 08:38:52
@misc{9214909,
  abstract     = {{This study investigates how different monetary policy tools have influenced deviations from
Covered Interest Parity (CIP) in the USD/SEK 3-month cross-currency basis from 2007 to
2023. Using weekly data and OLS regression with Newey-West standard errors, the analysis
evaluates the impact of policy-rate changes, quantitative easing (QE), and central-bank swap
lines implemented by the Federal Reserve and the Riksbank. The results show that neither
policy-rate adjustments nor QE appear to have contributed to a narrowing of the basis, while
the swap-line variable was found to be statistically insignificant. Overall, the findings suggest
that monetary policies have not systematically reduced CIP deviations, and the research
question cannot be conclusively answered.}},
  author       = {{Bergman, Mateo}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Covered Interest Parity Deviations, Monetary Policies and Crisis}},
  year         = {{2025}},
}