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Riskpremie i UIP - möjlighet till cross-currency arbitrage? - en jämförande studie av ränta och växelkurs mellan Storbritannien, Tyskland och Sverige.

Lindvall, Björn (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.
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@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},
  keyword      = {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     = {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},
}