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Test av icke-kurssäkrad ränteparitet med fokus på riskpremien och möjliga förklarande faktorer

Ahlberg, Ulrica (2005)
Department of Economics
Abstract
This thesis aims to evaluate the concept of Uncovered Interest Parity. The parity states that the logarithmic difference between domestic and foreign interest rate equals the logarithmic difference between expected future spot exchange rate and the spot exchange rate, . In defining the exchange rate it is often presumed that the parity relation prevails even though several studies suggest the opposite. Numerous economists maintain that the theory’s shortcomings can be explained through the existence of a Risk Premium. The purpose of this study is thus to examine whether or not such a premium exists and analyse if it is possible to explain the limitations of the parity with the aid of specific factors. The study is done on the Swedish... (More)
This thesis aims to evaluate the concept of Uncovered Interest Parity. The parity states that the logarithmic difference between domestic and foreign interest rate equals the logarithmic difference between expected future spot exchange rate and the spot exchange rate, . In defining the exchange rate it is often presumed that the parity relation prevails even though several studies suggest the opposite. Numerous economists maintain that the theory’s shortcomings can be explained through the existence of a Risk Premium. The purpose of this study is thus to examine whether or not such a premium exists and analyse if it is possible to explain the limitations of the parity with the aid of specific factors. The study is done on the Swedish exchange rate against the American dollar during the period 1995-2004. A deeper understanding of the Uncovered Interest Parity and the Risk Premium should enable a more reliable determination of the exchange rate. The thesis concludes that there exists a Risk Premium and that this could be explained by the public debt, the net of international trade and the short interest rate. (Less)
Please use this url to cite or link to this publication:
author
Ahlberg, Ulrica
supervisor
organization
year
type
H1 - Master's Degree (One Year)
subject
keywords
Uncoverd Interest Parity, Exchange Rate, Risk Premium, Economics, econometrics, economic theory, economic systems, economic policy, Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik
language
Swedish
id
1336723
date added to LUP
2005-02-13 00:00:00
date last changed
2010-08-03 10:49:21
@misc{1336723,
  abstract     = {This thesis aims to evaluate the concept of Uncovered Interest Parity. The parity states that the logarithmic difference between domestic and foreign interest rate equals the logarithmic difference between expected future spot exchange rate and the spot exchange rate, . In defining the exchange rate it is often presumed that the parity relation prevails even though several studies suggest the opposite. Numerous economists maintain that the theory’s shortcomings can be explained through the existence of a Risk Premium. The purpose of this study is thus to examine whether or not such a premium exists and analyse if it is possible to explain the limitations of the parity with the aid of specific factors. The study is done on the Swedish exchange rate against the American dollar during the period 1995-2004. A deeper understanding of the Uncovered Interest Parity and the Risk Premium should enable a more reliable determination of the exchange rate. The thesis concludes that there exists a Risk Premium and that this could be explained by the public debt, the net of international trade and the short interest rate.},
  author       = {Ahlberg, Ulrica},
  keyword      = {Uncoverd Interest Parity,Exchange Rate,Risk Premium,Economics, econometrics, economic theory, economic systems, economic policy,Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik},
  language     = {swe},
  note         = {Student Paper},
  title        = {Test av icke-kurssäkrad ränteparitet med fokus på riskpremien och möjliga förklarande faktorer},
  year         = {2005},
}