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Valutamarknadens effektivitet - En studie av växelkurser utifrån UIP med förväntningar

Persson, Kristoffer (2008)
Department of Economics
Abstract
This essay discusses and evaluates the international currency market in regards to efficiency. To prove the theory that, the difference between expected and actual exchange rates is explained by the difference in expected and actual interest rates and the difference in expected and actual inflation between countries, a model was developed. This model was inspired by the paper of Sebastian Edwards (1982), and is based on three theories; UIP, IS/LM and the Efficient Markets Hypothesis. The model uses 16 regressions estimated from three pairs of curriencies: $/SEK, £/SEK and €/SEK. This paper concludes that the difference between expected and actual exchange rates can be explained partially by the models explainatory variables. The results of... (More)
This essay discusses and evaluates the international currency market in regards to efficiency. To prove the theory that, the difference between expected and actual exchange rates is explained by the difference in expected and actual interest rates and the difference in expected and actual inflation between countries, a model was developed. This model was inspired by the paper of Sebastian Edwards (1982), and is based on three theories; UIP, IS/LM and the Efficient Markets Hypothesis. The model uses 16 regressions estimated from three pairs of curriencies: $/SEK, £/SEK and €/SEK. This paper concludes that the difference between expected and actual exchange rates can be explained partially by the models explainatory variables. The results of the developed model indicates that the difference is due to market inefficiency with respect to the fact that the market needs more time to adapt to new information than what theory implies. Consequently the results show that the criteria for semi-strong market efficiency is not fulfilled. (Less)
Please use this url to cite or link to this publication:
@misc{1335515,
  abstract     = {This essay discusses and evaluates the international currency market in regards to efficiency. To prove the theory that, the difference between expected and actual exchange rates is explained by the difference in expected and actual interest rates and the difference in expected and actual inflation between countries, a model was developed. This model was inspired by the paper of Sebastian Edwards (1982), and is based on three theories; UIP, IS/LM and the Efficient Markets Hypothesis. The model uses 16 regressions estimated from three pairs of curriencies: $/SEK, £/SEK and €/SEK. This paper concludes that the difference between expected and actual exchange rates can be explained partially by the models explainatory variables. The results of the developed model indicates that the difference is due to market inefficiency with respect to the fact that the market needs more time to adapt to new information than what theory implies. Consequently the results show that the criteria for semi-strong market efficiency is not fulfilled.},
  author       = {Persson, Kristoffer},
  keyword      = {marknadseffektivitet,UIP,Forex,Exchange rate forecasting,Economics, econometrics, economic theory, economic systems, economic policy,Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik},
  language     = {swe},
  note         = {Student Paper},
  title        = {Valutamarknadens effektivitet - En studie av växelkurser utifrån UIP med förväntningar},
  year         = {2008},
}