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Ränteparitetsteoremet i kriser - en empirisk studie

Andersson, Camilla LU and Lundström, Jesper (2013) NEKH01 20131
Department 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:
author
Andersson, Camilla LU and Lundström, Jesper
supervisor
organization
course
NEKH01 20131
year
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},
  keyword      = {Ränteparitetsteoremet,Valuta,Finanskris,IT-Kris},
  language     = {swe},
  note         = {Student Paper},
  title        = {Ränteparitetsteoremet i kriser - en empirisk studie},
  year         = {2013},
}