To see the other types of publications on this topic, follow the link: Covered interest rate parity.
Dissertations / Theses on the topic 'Covered interest rate parity'
Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles
Consult the top 50 dissertations / theses for your research on the topic 'Covered interest rate parity.'
Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.
You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.
Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.
1
Stone, Garry Brooks. "An empirical analysis of the impact of differential tax rates and transaction costs upon covered interest-rate-parity." Connect to resource, 1985. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1262102154.
Full text
2
Ruthberg, Richard, and Steven Zhao. "Interest Rate Parity and Monetary Integration: A Cointegration Analysis of Sweden and the EMU." Thesis, KTH, Matematik (Inst.), 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-146277.
Full textAbstract:
This thesis provides a thorough analysis of the covered- and uncovered interest parity conditions (CIP, UIP) as well as the forward rate unbiasedness hypothesis (FRUH) for Sweden and the European Economic and Monetary Union (EMU). By studying data on interbank rates in Sweden (STIBOR) and the EMU (EURIBOR) as well as the corresponding spot- and forward exchange rates, monetary integration and country-specific risks are determined and analyzed with direct applications to the potential entry of Sweden into the EMU. As interest rate parity in general gives insight into market efficiency and frictions between the chosen regions, such points are discussed in addition to EMU entry. Drawing on past studies that mainly studied one condition in isolation, a nested formulation of interest rate parity is instead derived and tested using cointegration and robust estimation methods. The results point to a strict rejection of the FRUH for all horizons except the shortest and a case where CIP only holds for the 6-month horizon and partially over one year. This implies, based on the nested formulation, that UIP is rejected for all horizons as well. Ultimately, the study concludes that a Swedish entry into the EMU is not motivated given the lackluster results on UIP and due to the lack of monetary integration.Den här uppsatsen presenterar en djupgående analys av det kurssäkrade- och icke-kurssäkrade ränteparitetsvillkoret samt den effektiva marknadshypotesen på valutaterminer för Sverige och den europeiska ekonomiska och monetära unionen (EMU). Genom att studera data på interbankräntor i Sverige (STIBOR) och EMU (EURIBOR) samt respektive spot- och valutaterminskurser så skattas och analyseras monetär integration samt landsspecifika risker med en direkt tillämpning på Sveriges eventuella inträde i EMU. Eftersom ränteparitet generellt ger insikt i marknadseffektivitet och friktioner regioner emellan, diskuteras även dessa punkter utöver ett eventuellt EMU-inträde. Genom att bygga på föregående studier som i huvudsak studerar ränteparitetsvillkoren var för sig, härleds en sekventiell formulering av villkoren som sedan testas med kointegration och robusta estimeringsmetoder. Resultaten ger att den effektiva marknadshypotesen strikt förkastas på alla tidshorisonter förutom på en dag respektive en vecka, samt att kurssäkrad ränteparitet håller på 6 och delvis 12 månaders sikt. Baserat på den sekventiella formuleringen så innebär detta att icke-kurssäkrad ränteparitet inte håller på någon tidshorisont. Slutligen, baserat på både resultat och diskussion, är ett svenskt inträde i EMU inte motiverbart givet negativa resultat för icke-kurssäkrad ränteparitet och avsaknaden av fullständig monetär integration mellan regionerna.
3
Costa, Marisa Gomes da. "Fatores determinantes do nível do risco Brasil." Universidade Presbiteriana Mackenzie, 2016. http://tede.mackenzie.br/jspui/handle/tede/977.
Full textAbstract:
Made available in DSpace on 2016-03-15T19:32:58Z (GMT). No. of bitstreams: 1
Marisa Gomes da Costa.pdf: 2649705 bytes, checksum: 9dfdf2c39e3c4389540dc1f3a8f8d26f (MD5)
Previous issue date: 2016-02-01This study aims to identify the determinants of Brazil country risk level, during the period from February 1995 to August 2015, based on the deviations from the covered interest rate parity condition. These deviations represent a measure of the risk assumed by an investor who choose to invest in a Brazilian security in Brazil, rather than do it abroad. Using Autometrics, an algorithm for automatic model selection, developed by Doornik (2009), thirty-nine explanatories variables were selected from previous studies. The Brazil country risk level is susceptible to changes in the balance of payments, import by GDP, the deviation covered interest rate parity of the previous period, the inflation rate, the change in exports, total debt per GDP, and external debt by exports.
Este estudo propõe-se a identificar os fatores determinantes do nível do risco Brasil, durante o período de fevereiro de 1995 a agosto de 2015, calculado pelos desvios da condição da paridade coberta de juros. Estes desvios representam a medida do risco assumido por um investidor ao optar investir em um título brasileiro no Brasil, ao invés de fazê-lo no exterior. Utilizando a técnica de seleção automática de modelos com a aplicação do algoritmo Autometrics, desenvolvido por Doornik (2009), trinta e nove variáveis explicativas foram selecionadas a partir de estudos anteriores. O nível do risco Brasil é altamente suscetível às variações do balanço de pagamento, da importação por PIB, do desvio da condição da paridade coberta do período anterior, à taxa de inflação, à variação das exportações (em $ e em volume), à dívida total por PIB e à dívida externa pela exportação.
4
Van, Heerden Petrus Marthinus Stephanus. "The relationship between the forward– and the realized spot exchange rate in South Africa / Petrus Marthinus Stephanus van Heerden." Thesis, North-West University, 2010. http://hdl.handle.net/10394/4511.
Full textAbstract:
The inability to effectively hedge against unfavourable exchange rate movements, using the
current forward exchange rate as the only guideline, is a key inhibiting factor of international
trade. Market participants use the current forward exchange rate quoted in the market to make
decisions regarding future exchange rate changes. However, the current forward exchange rate
is not solely determined by the interaction of demand and supply, but is also a mechanistic
estimation, which is based on the current spot exchange rate and the carry cost of the
transaction. Results of various studies, including this study, demonstrated that the current
forward exchange rate differs substantially from the realized future spot exchange rate. This
phenomenon is known as the exchange rate puzzle.
This study contributes to the dynamics of modelling exchange rate theories by developing an
exchange rate model that has the ability to explain the realized future spot exchange rate and
the exchange rate puzzle. The exchange rate model is based only on current (time t) economic
fundamentals and includes an alternative approach of incorporating the impact of the interaction
of two international financial markets into the model. This study derived a unique exchange rate
model, which proves that the exchange rate puzzle is a pseudo problem. The pseudo problem
is based on the generally excepted fallacy that current non–stationary, level time series data
cannot be used to model exchange rate theories, because of the incorrect assumption that all
the available econometric methods yield statistically insignificant results due to spurious
regressions. Empirical evidence conclusively shows that using non–stationary, level time series
data of current economic fundamentals can statistically significantly explain the realized future
spot exchange rate and, therefore, that the exchange rate puzzle can be solved.
This model will give market participants in the foreign exchange market a better indication of
expected future exchange rates, which will considerably reduce the dependence on the
mechanistically derived forward points. The newly derived exchange rate model will also have an influence on the demand and supply of forward exchange, resulting in forward points that are
a more accurate prediction of the realized future exchange rate.Thesis (Ph.D. (Risk management))--North-West University, Potchefstroom Campus, 2011.
5
Kohler, Daniel. "Betting against uncovered interest rate parity." kostenfrei, 2008. http://www.biblio.unisg.ch/www/edis.nsf/wwwDisplayIdentifier/3513.
Full text
6
Kossa, Khodeu Thuo Zhagnin. "The impact of macrofinancial variables on covered interest parity violations after the 2008 global financial crisis." Master's thesis, Université Laval, 2020. http://hdl.handle.net/20.500.11794/66608.
Full textAbstract:
Ce mémoire analyse les déterminants des déviations à la parité des taux d’intérêts couverts(PTIC) après la crise financière de 2008. Notre modèle analyse la relation de long terme entre certaines variables macroéconomiques et les déviations mesurées à la PTIC. Nous utilisons les données sur les instruments du marché financier, l’offre de monnaie ainsi que le PIB réel entre 2009 et 2019, pour le Canada et les États-Unis, comme déterminants de ces déviations. Notre approche méthodologique utilise des techniques d’économétrie des séries temporelles. Les paramètres du modèle sont estimés à l’aide des méthodes Fully-Modified OLS (FM-OLS),Dynamic OLS (DOLS) et Integrated modified OLS (IM-OLS). Pour les données couvrant l’horizon de 5 ans, nous trouvons des résultats contradictoires pour l’offre de monnaie, mais établissent une relation négative entre le PIB réel et les déviations observées à la PTIC. Sur un horizon plus long (10 et 20 ans), l’offre de monnaie et le PIB réel ont tous deux un effet négatif sur les déviations de la PTIC mais celui du PIB réel est plus important. En outre, l’inclusion dans le modèle de l’indice de volatilité du marché américain s’est montré significatif dans la plupart des cas.We analyze the macroeconomic determinants to the deviations from Covered Interest RateParity (CIP) after the 2008 financial crisis. Our model analyzes the long-term relationship between some macroeconomic variables and measured CIP deviations. We use data on financial market instruments, on relative money supply and relative real GDP between 2009 and 2019for Canada and the United States. Our theoretical approach uses time series econometrics tools adapted to non-stationary series and the model parameters are estimated using fully modifiedOLS (FM-OLS), dynamic OLS (DOLS) and integrated modified OLS (IM-OLS) regressions.On the 5 year horizon, the estimated effect of relative money supply on the deviations is mixed.On the other hand, there is a negative relationship between real GDP and the deviations observed. For longer-term horizons (10 and 20 years), both money supply and real output have a negative effect on the deviations. Yet, that of real GDP is stronger. In addition, the inclusion of the VIX volatility index in the model was significant in most cases.
7
Berberoglu, Pinar. "The Validity Of The Relative Purchasing Power Parity And The Uncovered Interest Rate Parity Theories For The Dollar/euro Exchange Rate." Master's thesis, METU, 2004. http://etd.lib.metu.edu.tr/upload/2/12605635/index.pdf.
Full textAbstract:
This study analyzes validity of the relative purchasing power parity (PPP) and the uncovered interest rate parity (IRP) theories for the dollar/euro exchange rate. The period of analysis is from 1990 to 2003. The dollar/euro exchange rate represents the currencies of a country, the USA, and a region, the Euro Area. The basic data needed for this study are the dollar/euro exchange rate, and the inflation and the interest rates for the USA and the Euro Area. Since the Euro Area was officially formed on January 1st, 1999, we had difficulty in finding the data for the Euro Area. For the lacking Euro Area data, synthetic values are created by using the individual data of Euro Area countries. These synthetic values are treated as the equivalents of the actual values and are used in the parity implied dollar/euro exchange rate calculations. The parity implied dollar/euro exchange rates are compared with the actual dollar/euro exchange rates. Our results indicate that the parity implied dollar/euro exchange rates are statistically significantly different from the actual dollar/euro exchange rates. In other words, both the PPP and the IRP theories do not hold for the dollar/euro exchange rate.
8
Zhang, Yifei. "Zero Lower Bound and Uncovered Interest Parity – A Forecasting Perspective." Miami University / OhioLINK, 2018. http://rave.ohiolink.edu/etdc/view?acc_num=miami1532698263083492.
Full text
9
Davies, Orlan. "The Uncovered Interest Rate Parity at the Turn of the 20th Century." Scholarship @ Claremont, 2013. http://scholarship.claremont.edu/cmc_theses/663.
Full textAbstract:
High interest rate currencies tend to appreciate despite what is be implied by the uncovered interest parity. It is thought that the uncovered interest parity does not hold due to various risks, costs, liquidity issues, and monetary policies. There have been extensive studies into the cause of this phenomenon yet none have examined the period before the formation of the Federal Reserve in 1913. This study examines whether or not the uncovered interest parity holds between the UK, the US, France, Germany, the Netherlands, Belgium, Italy, Spain, and Portugal during this time period to determine if the absence of capital controls and monetary policies allow for the uncovered interest parity to hold. In the end, none of the 213 regressions testing all the country pairs across varying horizons came close to providing support for the uncovered interest parity.
10
Ferreira, Alex Luiz. "The real interest rate parity hypothesis : an investigation for developed and emerging markets." Thesis, University of Kent, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.418553.
Full text
11
Macháček, Marek. "Analýza vývoje měnového kurzu na základě koncepce nekryté úrokové parity." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-359731.
Full textAbstract:
The aim of this diploma thesis is based on the empirical analysis to identify the relationship between the exchange rate and the interest rates in selected countries and verify the validity of the uncovered interest rate parity. In the first part, the author deals with basic theoretical and exchange rate determinants from a fundamental analysis point of view, which attempts to explain the causality between these two variables. The actual analysis was performed at three levels on monthly time series from 2010 to 2016. Graphical analysis was selected as the first stage of the analysis, also including verification of the validity of the Fisher International Effect. Later, regression and vector autoregressive analysis followed. However, the conclusions of the individual empirical parts show that the exchange rate is determined by many factors, not only by the interest rate differential, as assumed the theory of uncovered interest rate parity. These results are also related to the low quality of the estimated models. Uncovered interest rate parity has been confirmed in very few cases, but none of the monitored currency pairs has been validated at all three levels of empirical analysis at the same time. The work offers valuable insight into the trend appreciation or depreciation of the exchange rates at the positive interest rate differential in the selected period.
12
Tafazoli, Farid, and Mathias Westman. "Carry Trading & Uncovered Interest Rate Parity : An overview and empirical study of its applications." Thesis, Linköpings universitet, Företagsekonomi, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-70478.
Full textAbstract:
The thesis examine if the uncovered interest rate parity holds over a 10 year period between Japan and Australia/Norway/USA. The data is collected between February 2001 - December 2010 and is used to, through regression and correlation analysis, explain if the theory holds or not. In the thesis it is also included a simulated portfolio that shows how a carry trading strategy could have been exercised and proof is shown that you can indeed profit as an investor on this kind of trades with low risk. The thesis shows in the end that the theory of uncovered interest rate parity does not hold in the long term and that some opportunities for profits with low risk do exist.Uppsatsen undersöker om det icke kurssäkrade ränteparitetsvilkoret har hållit på en 10-års period mellan Japan och Australien/Norge/USA. Månadsdata från februari 2001 till december 2010 används för att genom regressionsanalys samt undersökning av korrelationer se om sambandet håller eller inte. I studien finns också en simulerad portfölj som visar hur en carry trading portfölj kan ha sett ut under den undersökta tidsperioden och hur man kan profitera på denna typ av handel med låg risk. Studien visar i slutet att teorin om det kursosäkrade ränteparitetsvilkoret inte håller i det långa loppet och att vissa möjligheter till vinst existerar.
13
Unger, Julian. "A small open economy’s view on interest rate differential’s relation to the nominal exchange rate." Thesis, Linnéuniversitetet, Institutionen för nationalekonomi och statistik (NS), 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-65487.
Full textAbstract:
The characteristics of interest rate differentials’ relationships with the change in nominal exchange rates are here investigated from the small open economy Sweden’s pointof view. We assume rational expectations and risk neutrality. However, these are solelysufficient but not necessary conditions. The only necessary condition is that the deviationsfrom rational expectations and risk neutrality are uncorrelated with the interestrate differential (Chinn and Meredith 2004, p. 412). We find no evidence for the interestrate differentials to be unbiased predictors of the percentage change in nominalexchange rates. With 3- and 6-month maturity interest rates, the signs are positivealthough not statistically different from zero.
14
Yow, Xinying. "Measuring the Effectiveness of China’s Capital Flow Management and Progress on Capital Account Liberalization." Scholarship @ Claremont, 2016. http://scholarship.claremont.edu/cmc_theses/1380.
Full textAbstract:
China’s goal of eventually having the renminbi (RMB) be “fully convertible” necessarily requires that its capital account be fully liberated; this paper investigates the on-going changes of the implemented capital controls by China and China’s progress on liberalizing the country’s capital account. The first portion of the paper studies deviations of the covered interest parity, a common measure of capital controls. Econometrical analysis provides evidence for significant and persistent RMB/USD interest rate differentials, calculated from monthly data of 1-month yields for the sample period of 1999 to 2014. At the same time, evidence for cointegration between the onshore and offshore yield suggests that capital flows are not fully restrictive in the long run. The second portion of the paper analyzes constructed de jure capital control indices based on IMF’s AREAER documents following Chen and Qian (2015), and actual capital account flows based on China’s Balance of Payments. The constructed de jure indices quantify the intensity of changes of capital controls, capturing the gradualist style that China adopts in implementing its policies. The index reveals that China has been increasing its pace of capital account liberalization in the recent years compared to the past, and in particular, prioritizes liberalizing controls on outward FDI flows and equity securities inflows. The constructed de jure indices and the respective flows for FDI and equity securities are found to be highly correlated, implying that flows have been responsive to changes in the controls. It also indicates that prior to the restriction lift offs, the capital controls had been relatively effective.
15
Moh, Young-Kyu. "Exchange rate dynamics in a continuous-time model of uncovered interest parity with central bank intervention." Connect to this title online, 2003. http://www.gbv.de/dms/zbw/557909902.pdf.
Full text
16
Brigant, Michal. "Analýza vztahu úrokové míry a měnového kurzu v podmínkách malé otevřené ekonomiky." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-162302.
Full textAbstract:
Primary objective of this thesis was to analyse the relationship between exchange rate and interest rate within borders of a small open economy. Different theoretical approaches often present us with various, sometimes even opposing conclusions when it comes to the matter of direction and intensity of the causal influence between these two variables. From author's point of view it is important to perceive the interaction between exchange rate and interest rate as a dynamic process rather than a static relationship. The empirical analysis was conducted on monthly time series (2000-2012) of three selected small open economies -- Poland, Hungary and Czech Republic. Graphical analysis, linear regression, vector autoregression and cointegration analysis were selected as suitable tools for meeting the objective of this thesis. Models themselves presented us with interesting conclusions, for example a proof of the international Fisher effect, exchange rate causally affecting the interest rate (interest rate differential) in case of spot rates against euro. Another curious phenomena was the inflow of foreign debt capital, which, as it seems, was actually pulling the exchange rate down rather than pushing it up due to rising indebtedness of the economy.
17
Stålstedt, Erik. "Exchange Rate Risk : From a Portfolio Investors Point of View." Thesis, Jönköping University, JIBS, Economics, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-1012.
Full textAbstract:
Due to globalization investors have increasing opportunities to invest on international markets for diversification purposes. This thesis illustrates the added risks of investing internationally due to volatile exchange rates. The purpose is to analyze how a volatile
exchange rate affect the risk and return of a portfolio invested in Sweden, when the investor is located in Japan, United Kingdom or the USA.
To analyze the effect of exchange rate volatility the focus is on a portfolio consisting of Swedish stocks from the Stockholm Stock Exchange (SSE) O-list. First the risk and return to a hypothetical Swedish investor not exposed to exchange rate volatility is calculated.
Then the effects the exchange rates had on the risk and return if a US investor, UK investor and a Japanese investor invested in the same portfolio is analyzed. For the historical period 2005 the portfolio generated a return of 34.36% and a risk of 7.7%. The empirical work showed that for the international investors the risk was increased
with between 1.95% – 410.52% and that the actual return decreased due to weakening currencies against the Krona.
In an attempt to predict future exchange rate movements the thesis analyses two financial relationships, PPP and IRP, to calculate equilibrium movements. Both PPP and IRP predicted a depreciation of the Dollar and Pound Sterling against the Krona over the next
period, but an appreciation of the Yen against the Krona over the same period.
The analytical discussion covers the importance of a well functioning financial system, the institutional effects on exchange rates and the confidence in government policies and their ability to succeed in doing what has been promised.
18
Mäsiarová, Jana. "Exchange Rate Modelling - Parities and Czech Crown." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-17469.
Full textAbstract:
The paper analyses validity of main exchange rate theories in case of the Czech crown. Investigated relationships comprise purchasing power parity, interest rate parity and real interest monetary model. Technical part of the analysis involves cointegration, namely Johansen's method based on vector autoregressive models. Two currency pairs are in the focus: CZK/EUR and CZK/USD. Empirical calculations did not prove the absolute validity of the theories but pointed out to other factors of exchange rate, such as convergence process, impacts on inflation targeting decisions, non-monetarist determinants and the recent financial crisis.
19
Reddy, Desigan. "Factors of the term structure of sovereign yield spreads and the effect on the uncovered interest rate parity model for exchange rate prediction." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29691.
Full textAbstract:
Using a Principal Component Analysis (PCA) approach, we investigate the sovereign yield spread term structure of the BRICS economies against the U.S. We show that the term structure for these markets are primarily driven by three latent factors which can be classified as the spread level, slope and curvature factors. We further postulate that a country’s yield curve contains valuable information about its future economic state and as such the PCA derived spread factors, which are based on the differences between sovereign yield curves, encapsulates material macro-economic information between the countries. In light of this, we show that augmenting the traditional Uncovered Interest Rate Parity model (UIRP) with these factors improves the models predictive accuracy of exchange rate movements.
20
Coelho, Afonso Salgado Porto. "Purcharsing power parity theory in the context of the euro currency." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/15228.
Full textAbstract:
Mestrado em Mathematical FinanceO foco desta tese é na teoria da paridade do poder de compra (PPC) no contexto do Euro entre 1999 até 2016. Esta teoria tem em vista a ligação entre as taxas de câmbio, juro e inflação. Assim, pretende-se saber se com a eliminação da taxa de câmbio, a teoria de PPC é consistente com a ligação entre taxa de juro e taxa de inflação para os países da Zona Euro. Para este estudo a amostra contém doze países com informações entre 1999 até 2016. Os países presentes na amostra são: Austria, Bélgica, Finlândia, França, Alemanha, Grécia, Irelanda, Itália, Luxemburgo, Holanda, Portugal e Espanha. Verifica-se que apesar de apesar de não haver grandes oscilações num periodo inicial à entrada da moeda única, a taxa de juro e a taxa de inflação sofreram posteriormente uma variação considerável entre os países da amostra. Estas observações podem questionar assim a validade da teoria do PPC no contexto do Euro.
This thesis focuses on the purchasing power parity (PPP) theory in the context of the euro from 1999 to 2016. PPP suggests a specific association between exchange, inflation and interest rates. The euro has eliminated exchange rates among participating countries. We inquire whether the elimination of the exchange rate could be reflected, similar to the inflation and interest rates of euro-area countries, consistent with PPP. The study has followed a panel of twelve countries from the introduction of the euro in 1999 until 2016. These countries are Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, Netherlands, Portugal and Spain. The findings show that after an initial period of similarity, and despite the elimination of exchange rates among these countries, inflation and especially country-level interest rates have exhibited a great degree of divergence. Therefore, these results may question the validity of the relationships PPP predicts in the context of the euro. Although the exchange rate between these countries remained the same, inflation and interest rates did not.
info:eu-repo/semantics/publishedVersion
21
Sadykova, Albina. "Carry trade a jeho projevy na finančních trzích." Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-192635.
Full textAbstract:
This thesis concerns with speculative carry trade strategy. Carry trade is based on breach of Uncovered Interest Parity. The theoretical part is focused on traditional fundamental analysis. This thesis deals with the identification of carry trade existence and capture their expressions in the financial markets, verification profitability and attractiveness of carry trade operations, analysis of conditions for carry trade on financial markets before and after global financial crisis 2008. Important part of the work was also description of the consequences of carry trade transactions and their effects on the exchange rate and financial situation
22
Ryou, Hyunjoo. "Exchane Rate Dynamics under Financial Market Frictions- Exchange rate regime, capital market openness and monetary policy -Electoral cycle of exchange rate in Korea : The Trilemma in Korea." Phd thesis, Université de Cergy Pontoise, 2012. http://tel.archives-ouvertes.fr/tel-00838836.
Full textAbstract:
-Exchange Rate Dynamics under Financial Market FrictionsThis paper extends Dornbusch's overshooting model by proposing "generalized interest parity condition", which assumes sluggish adjustment on the asset market. The exchange rate model under the generalized interest parity condition is able to reproduce the delayed overshooting of nominal exchange rates and the hump-shaped response to monetary shocks of both nominal and real exchange rates.-Electoral Cycle of Exchange Rate in KoreaThis paper empirically investigates the real exchange rate behavior around elections in Korea. We find that the real exchange rate depreciates more before the elections but there is no clear pattern found after the elections. Interestingly, this result is the opposite of the electoral cycle found in Latin American countries. To explain this results we should consider the difference between economic backgrounds of Korea and Latin American countries.-Exchange Rate Regime, Capital Market Openness and Monetary Policy; The Trilemma in KoreaThis paper tests the trilemma proposition by performing an empirical study of Korea. Korea has distinct periods of all combinations of exchange rate regime and capital market openness in trilemma: pegged exchange rate regime under capital controls, pegged exchange rate regime under free capital mobility, and floating exchange rate regime under free capital mobility. We check whether monetary autonomy exists in each of the three different combinations. We find that monetary autonomy existed over the periods with capital controls and the periods with floating exchange rate regime. For the periods with the pegged exchange rate regime and free capital mobility, monetary autonomy was limited. In addition, we identify that just before the financial crisis the government pursued autonomic monetary policy under pegged exchange rate regime and free capital mobility, thereby defying the trilemma.
23
Makauskas, Rytis. "Will the Asian countries buy up the United States? : Current account imbalances and the Uncovered Interest Rate Parity: Japan, China and the U.S. 1970-2008." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Nationalekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-18470.
Full textAbstract:
This paper aims to explain the current account imbalances between the United States of America, Japan and China. According to theory, such imbalances should offset each other so that the international balance of payments account is zero. The study also tests the Uncovered Interest Rate Parity (UIP) theory for the same sample of countries. The focus is on the empirics of the topic, therefore time-series analysis is used. The results suggest that American current account deficit can indeed be explained by the surpluses of the Japanese and Chinese current accounts. Furthermore, the conclusion regarding the UIP is that it simply does not hold in the real world. Finally, the main implication of this study is that the Asian countries will eventually buy up American assets if the trend of imbalances continues.
24
Takami, Marcelo Yoshio. "Estudo das relações de paridade de juros para a economia brasileira no período recente." reponame:Repositório Institucional do FGV, 2002. http://hdl.handle.net/10438/1842.
Full textAbstract:
Made available in DSpace on 2010-04-20T20:54:48Z (GMT). No. of bitstreams: 0
Previous issue date: 2002-09-16T00:00:00ZThe aim of this paper is to test whether the correction of the interest parity conditions by market expectancy (uncovered parity) and by risk premium (covered and uncovered parity) results in a (close) econometric validation of the non-arbitrage relationship. In order to accomplish this goal, we combined domestic and non-domestic fixed rate instruments and applied time series econometrics. To start with, we tested the traditional interest parity condition (covered and uncovered). In the next step, we tested again but with risk premium incorporated. In the case of UIP (uncovered interest parity), we didn't obtain satisfactory results, even adjusting for risk premium. This adjustment led to correct coefficient signals, but the magnitude of the exchange devaluation coefficient got too high. Even though we had obtained CIP (covered interest parity) validity, this result was not expected, as this would imply that the country risk premium was null along this period. After adjusting the CIP for default risk premium, the series don't cointegrate any longer, i.e., the default risk premium would have a behavior independent from future premium and interest differential. The possible reasons for the non-expected results are: sample intervalless than 3 years, data measurement error or simuItaneous control of exchange rate and interest rate by monetary policy authorities.
O objetivo deste trabalho é verificar se o ajustamento das condições de paridade de juros por expectativa do mercado (paridade descoberta) e por prêmios de risco (paridades coberta e descoberta) leva à validação da relação de não-arbitragem subjacente, ou pelo menos a resultados econométricos mais próximos de sua validação. Para isso, combinamos taxas de retornos de instrumentos de renda fixa domésticos e norte-americanos e aplicamos o arcabouço econométrico de séries de tempo. Como primeiro passo de investigação, aplicamos a paridade de juros (descoberta e coberta) na sua forma tradicional. No passo seguinte aplicamos os testes econométricos às condições de paridade ajustadas por um prêmio de risco. No caso da PDJ, não obtivemos resultados satisfatórios, mesmo ajustando pelos prêmios de risco. Esse ajuste propiciou uma mudança nos sinais dos coeficientes na direção correta, mas a magnitude do coeficiente da desvalorização cambial efetiva passou a destoar bastante da magnitude das outras séries. Apesar de termos obtido a validade da PCJ na forma tradicional, não esperaríamos este resultado, pois isso implicaria que o prêmio de risco país seria nulo para este período. Ajustando a PCJ pelo prêmio de risco de não-pagamento passa-se a não obter co integração entre as séries, ou seja, o prêmio de risco de não-pagamento teria um comportamento independente do prêmio futuro e do diferencial de juros. As possíveis causas para a não obtenção dos resultados esperados são: intervalo amostraI menor que 3 anos, erro de medida dos dados de survey ou tentativa do Banco Central de controlar a taxa de câmbio nominal e as taxas de juros domésticas simultaneamente.
25
Dror, Marika. "Forecasting of exchange rates." Doctoral thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-202335.
Full textAbstract:
The thesis investigates different exchange rate models and their forecasting performance. The work takes previous literature overview and summarize their findings. Despite the significant amount of papers which were done on the topic of exchange rate forecast, basically none of them cannot find an appropriate model which would outperform a forecast of a simple random walk in every horizon or for any currency pair. However, there are some positive findings in specific cases (e.g. for specific pair or for specific time horizon). The study provides up-to-date analysis of four exchange rates (USD/CZK, USD/ILS, USD/GBP and USD/EUR) for the period of time from January 2000 to August 2013 and analyse forecasting performance of seven exchange rate models (uncovered interest rate parity model, purchasing power parity model, monetary model, monetary model with error correction, Taylor rule model, hidden Markov model and ESTAR model). Although, the results are in advantage of Taylor rule model, especially for the exchange rate of USD/CZK, I cannot prove that the forecasting performance is significantly better than the random walk model. Except of the overall analysis, the work suppose instabilities in the time. Stock and Watson (2003) found that the forecast predictability is not stable over time. As a consequence, the econometric model can give us better forecast than random walk process at some period of time, however at other period, the forecasting ability can be worse than random walk. Based on Fluctuation test of Giacomini and Rossi (2010a) every model is analysed how the out-of-sample forecast ability changes over time.
26
Rabitsch, Katrin. "An Incomplete Markets Explanation to the UIP Puzzle." WU Vienna University of Economics and Business, 2014. http://epub.wu.ac.at/4109/1/wp171.pdf.
Full textAbstract:
A large literature has related the failure of interest rate parity in the foreign exchange market to the existence of a time-varying risk premium. Nevertheless, most modern open economy DSGE models imply a (near) perfect interest rate parity condition. This paper presents a stylized two-country incomplete-markets model in which countries have
strong precautionary motives because they face international liquidity constraints, the presence of which successfully generates a time-varying risk premium: the country that has accumulated debt after experiencing relative worse times has stronger precautionary
motives and its asset carries a risk premium. (author's abstract)Series: Department of Economics Working Paper Series
27
Ersan, Eda. "International Fisher Effect: A Reexamination Within Co-integration And Dsue Frameworks." Thesis, METU, 2008. http://etd.lib.metu.edu.tr/upload/12610157/index.pdf.
Full textAbstract:
International Fisher Effect (IFE) is a theory in international finance which asserts that the spot exchange rate between countries should move in opposite direction with the interest rate differential between these countries. The aim of this thesis is to analyze whether differences in nominal interest rates between countries and the movement of spot exchange rates between their currencies tend to move together over the long run. The presence of IFE is tested among the G-5 countries and Turkey for the period from 1985:1 to 2007:12. The long run relationship is estimated with the Johansen co-integration method and supportive evidence is found for all country pairs. Individually modeled equations are further tested with the Dynamic SUR method. Those DSUR equations that include the Turkish currency provide supportive evidence for IFE that higher interest rates in favor of Turkey would cause depreciation of the Turkish Lira. The magnitude of the effect is found to be lower than expected which indicates that there might be other factors in economy, such as inflation rates, that affect the exchange rate movements.
28
Kašpar, Ondřej. "Moderní teorie měnového kurzu." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-11052.
Full textAbstract:
This work scrutinises, evaluates and systematises the modern exchange rate theories. Its aim is to familiarise the reader with the concepts of expectation, Purchasing Power Parity and Interest Rate Parity, which together form the basis of the following analysis of monetary and portfolio theories of the exchange rate determination. Then, it provides a comparison of the various approaches to these theoretical frameworks with regard to their respective authors. The paper is concluded by an evaluative description of the conditions under which such theories could be applied.
29
Mattsson, Henrik, and Jonas Vikström. "Currency Future Efficiency : Do Currency Futures Predict Future Spot Exchange Rates?" Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-45940.
Full textAbstract:
This paper has tested the efficiency, weak form according to EMH, of the currency future market. The efficiency test has been incorporated in the research question since the market has to be efficient in order for the future to work as predictor of the future spot rate - Can currency futures be used as a tool for predicting futures spot exchange rate? The two sub questions are - Is the prediction power of currency futures stable over time and is the prediction power of currency futures similar for different currencies? The main theory in the research is the Efficient Market Hypothesis and the Random Walk Hypothesis. The research was conducted with a positivistic philosophy in conjunction with a realistic approach. Since the research question has been deducted from the theoretical framework the research has a deductive approach, a quantitative technique was adapted when the data at hand was mainly future and spot rate data. Data on 13 currencies ranging from 2005 to 2010 was used. The prices were available in weekly intervals for all currencies except for the Brazilian real, Swiss frank and the Mexican peso. The statistical test that was used is the Augmented Dickey-Fuller test and the Phillips-Ouliaris cointegration test. The test was conducted on the whole timeframe. After that, the data was divided into three sub periods to show if the efficiency where different in the period before the crises (2005-2007), during the crises (2008-2009) and after the crises (2010). The test has also been done on annual and quarterly data to show if the length of the time period tested has an effect on efficiency. The PO test has been conducted on all data and the ADF test has been conducted on the whole timeframe and the sub periods. The results show that, ten of the currencies which we had weakly data, the future is a good predictor of the future spot exchange rate. This is true when the tests are done on an interval of one year and more. For the three currencies that we had monthly data, the results showed cointegration on the whole timeframe. When shorter time periods were tested the currencies that consisted of monthly data showed no cointegration sooner than the weakly data. When test is done on quarterly data, only one test is cointegrated. It cannot concluded that, the future was not a good predictor for the future spot exchange rate during this time, merely that this particular test might be the true one and that the tests where not able to capture it. Several reasons for this are presented in the analysis chapter, where the statistical tests and their design are mentioned among other reasons.
30
Miranda, Felipe Abi-Acl de. "Uma investigação em torno do prêmio de risco cambial brasileiro no período de livre flutuação." reponame:Repositório Institucional do FGV, 2011. http://hdl.handle.net/10438/8323.
Full textAbstract:
Submitted by Cristiane Oliveira (cristiane.oliveira@fgv.br) on 2011-06-03T16:59:47Z
No. of bitstreams: 1
66080100278.pdf: 495048 bytes, checksum: 35cf04d2b0f4746c4caea574a3876e49 (MD5)Approved for entry into archive by Suzinei Teles Garcia Garcia(suzinei.garcia@fgv.br) on 2011-06-03T17:01:46Z (GMT) No. of bitstreams: 1 66080100278.pdf: 495048 bytes, checksum: 35cf04d2b0f4746c4caea574a3876e49 (MD5)
Approved for entry into archive by Suzinei Teles Garcia Garcia(suzinei.garcia@fgv.br) on 2011-06-03T17:06:39Z (GMT) No. of bitstreams: 1 66080100278.pdf: 495048 bytes, checksum: 35cf04d2b0f4746c4caea574a3876e49 (MD5)
Made available in DSpace on 2011-06-03T17:09:54Z (GMT). No. of bitstreams: 1 66080100278.pdf: 495048 bytes, checksum: 35cf04d2b0f4746c4caea574a3876e49 (MD5) Previous issue date: 2011-02-10
This paper intends to test the validity of the interest rate parity hypothesis into the Brazilian context and, further, to investigate the main reason pointed in literature for the UIP rejection, whatever it is: the existence of a variant currency risk premium along the time. The classical Fama regressions view, applied to the cambial free float suggests rejection of this hypothesis when 12-month NDF contracts in Real Currency (BRL) are taken into consideration, identifying bias on the future contracts as estimators for exchange rate – it was not possible to obtain the same conclusion when working with 30-day USD future contracts dealt at BM&F. Once done the Fama regressions, it is applied into the Brazilian case the methodology implemented for developed countries by Clarida et. al (2009), in order to capture eventual relationship between volatility and excess of return in a carry trade strategy with Reais. As well as the results obtained off the international experience, it is noted negative correlation between volatility and excess of return of such strategy. From this conclusion on, Fama regressions are tested into subperiods, according to their respective volatilities. Periods of higher volatility were characterized for a Fama regression coefficient increment, once again aligned to the result obtained by Clarida et. al. (2009). Once the subject related to Fama regression is stressed out, we move onto the currency risk premium series estimative through the Kalman Filter methodology, applied to the 12-month NDF series, which pointed out a currency risk premium with positive average on the sampling taken into consideration – aligned with the intuition – but with dispersion measures highly elevated. The study remains trying to model the currency risk premium through a GARCH-M’s family model, being, however, unable to provide good estimative for the variable studied. A new chapter is started in order to introduce microfundamentation to the currency risk premium, bringing to the Brazilian case a method developed by Frankel (1982). The adherence of this model was low as well. In order to finish, it is presented a preliminary investigation about the relationship between currency risk premium and the presence of events considered rare into the PTAX series, following idea brought up by Rietz (1988) and expanded by Barro (2005). The Brazilian currency carries kurtosis that is superior to the other currencies taken into consideration on this sampling, thus indicating that the currency risk premium demanded in order to be positioned in domestic currency may be related to the recurrence of supposedly rare events.
Este trabalho se propõe a testar a validade da hipótese da paridade câmbio-juro para o caso brasileiro e, posteriormente, a investigar a principal explicação apontada pela literatura para a falência da UIP, qual seja: a existência de um prêmio de risco cambial variante ao longo do tempo. A clássica abordagem das regressões de Fama, aplicadas para o período de livre flutuação cambial, sugere falência da hipótese em questão quando considerados contratos de NDF de doze meses sobre o real, identificando viés nos contratos futuros como estimadores da taxa de câmbio – não foi possível obter a mesma conclusão ao se trabalhar com contratos futuros de dólar de um mês negociados na BM&F. Feitas as regressões de Fama, replica-se ao caso brasileiro metodologia implementada por Clarida et. al. (2009) para os países desenvolvidos, na tentativa de capturar eventual relação entre a volatilidade e o excesso de retorno de uma estratégia de carry trade com o real. Em linha com os resultados obtidos pela experiência internacional, detecta-se correlação negativa entre a volatilidade e o excesso de retorno de tal estratégia. A partir de tal conclusão, revisitam-se as regressões de Fama para subperíodos, conforme a volatilidade. Períodos de maior volatilidade foram caracterizados por um incremento do coeficiente da regressão de Fama, novamente em um resultado alinhado àquele obtido por Clarida et. al. (2009). Esgotado o assunto circunscrito às regressões de Fama, passa-se à estimativa da série de prêmio de risco cambial propriamente dita, por meio da metodologia de Filtro de Kalman imposta à série de NDF de doze meses, a qual detectou um prêmio de risco cambial com média positiva na amostra considerada – em linha com a intuição -, mas com medidas de dispersão bastante elevadas. O estudo segue numa tentativa de modelar o prêmio de risco cambial através de um instrumental da família GARCH-M, sendo, entretanto, incapaz de prover boas estimativas para o comportamento da variável sob interesse. Inicia-se um novo capítulo com o intuito de introduzir microfundamentação ao prêmio de risco cambial, trazendo ao caso brasileiro método desenvolvido por Frankel (1982). A aderência da modelagem também foi baixa. Para terminar, apresenta-se investigação preliminar sobre a relação entre o prêmio de risco cambial e a presença de eventos considerados raros na série de PTAX, seguindo intuição levantada por Rietz (1988) e expandida por Barro (2005). A moeda brasileira carrega caráter leptocúrtico superior às demais componentes da amostra, indicando que, de fato, o prêmio de risco cambial exigido para se estar na moeda doméstica pode estar relacionado à recorrência de eventos supostamente raros.
31
Melander, Ola. "Empirical essays on macro-financial linkages." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (EFI), 2009. http://www2.hhs.se/efi/summary/790.htm.
Full text
32
Macaire, Camille. "Liberalization of the financial system in China : impact on foreign exchange and monetary policy." Thesis, Université Clermont Auvergne (2017-2020), 2018. http://www.theses.fr/2018CLFAD013.
Full textAbstract:
Nous étudions l'impact du processus de libéralisation progressive du système financier chinois sur le marché des changes et la conduite de la politique monétaire en Chine. Notre travail porte sur quatre réformes principales. En particulier, deux mesures visant à libéraliser les flux financiers transfrontaliers, à savoir le lancement de la zone de libre-échange de Shanghai en 2013 et la création du Shanghai-Hong Kong Stock Connect en 2014. Nous étudions par ailleurs la création d’un nouveau canal pour les flux entrants avec l’ouverture du marché obligataire interbancaire chinois à un large éventail d'investisseurs étrangers en 2016. Nous incluons également la réforme du régime monétaire en 2015. La nouveauté de notre approche générale réside dans la granularité des données utilisées, ainsi que dans l'introduction d’indicateurs financiers permettant de prendre en compte le rôle croissant des marchés financiers dans l’environnement économique du pays. Nous montrons que les nouveaux canaux permettant l’accélération de flux bidirectionnels n’ont pas réduit la fragmentation entre les marchés du renminbi onshore et offshore. Au contraire, ils ont entraîné un renforcement des tensions sur le marché des changes. Les résultats suggèrent également que seuls le Shanghai-Hong Kong Stock Connect et l’ouverture du marché obligataire ont eu un impact significatif sur l’intégration de la Chine dans le système financier mondial. Enfin, nous constatons que la banque centrale chinoise est devenue plus restrictive dans l'ajustement de la base monétaire après l'introduction du Shanghai-Hong Kong Stock Connect. Dans la mesure où les autorités chinoises ont indiqué que les objectifs économiques internes resteraient leur priorité essentielle, ces résultats suggèrent que le processus de réforme restera progressif et prudentWe investigate in this thesis the impact of the gradual liberalization process of the Chinese financial system on the foreign exchange market and the conduct of monetary policy in China. We focus on two measures aiming at liberalizing two-way cross-border financial flows, namely the launch of the Shanghai Free Trade Zone in 2013 and the creation of the Shanghai-Hong Kong Stock Connect in 2014, and one new channel for inflows with the opening up of the Chinese Interbank Bond Market to a broad range of foreign investors in 2016. We also include the reform of the currency regime in 2015. The novelty of our general approach lies in the granularity of data used, as well as in the introduction of financial indicators accounting for the rapid enlargement of financial markets in China and their subsequent increasing role in the financial environment in the country. We show that the new two-way flows channels did not reduce the fragmentation between onshore and offshore renminbi markets. On the contrary, they have led to increased stress in the foreign exchange market. Results also suggest that only the Shanghai-Hong Kong Stock Connect and the opening of the interbank bond markets have had a significant impact on China’s integration in the global financial system. Finally, we find that the Chinese central bank became more restrictive in the adjustment of money base after the introduction of the Shanghai-Hong Kong Stock Connect. Since Chinese authorities underlined that internal economic objectives would stay the key priority, these results suggest that the reform process will remain gradual and prudent
33
Serra, Inês Isabel Sequeira de Freitas. "Covered interest parity." Master's thesis, 2012. http://hdl.handle.net/10362/15992.
Full textAbstract:
This report aims to study the evolution of the Covered Interest Rate Parity (CIP)
over the course of the last years. With the 2007 financial crisis many fundamental
relationships changed, and CIP was not an exception. To infer whether or not this was
an isolate event, the behaviour of the CIP during the European Sovereign debt crisis was
studied. Currency pairs such as EURUSD showed significant CIP deviations during
both crises. This work shows that currently, spreads are mostly explained by
counterparty risk and market sentiment factors, which are extremely different factors
from the ones explaining the spread during 2003-06.
Key
34
YU, PEI-XUAN, and 余姵萱. "Detecting the Existence of Covered Interest Rate Parity Puzzle among Taiwan, the United States, and Japan." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/xxx69b.
Full textAbstract:
碩士東海大學
經濟系
106
As it is well known, the covered interest rate parity (CIRP , CIP) is rarely fulfilled in practice, this article focuses on the effect of the monetary policies on the deviation of the CIRP condition. This paper investigate the forward exchange rate markets among Taiwan, the United States, and Japan, and attempt to figure out the structure changes after application of the Quantitative easing (QE) policies by the United States and Japan. To estimate the relationships between forward premium (forward discount) and interest rate differential for the forward exchange rate markets by using daily data from October 2007 to October 2017. In the empirical study, we apply the Markov switching model to capture the changes of CIP relationship. The empirical results show that (i) the violation of the CIRP condition does not only come from the transaction cost, which is also affected by the government interfering. This phenomenon can be revealed in the relationship between the TWD versus USD, and the QE policies of the Federal Reserve System (Fed) have a vital impact. (ii) the paper demonstrate the CIRP condition between the USD and JPY significantly affected by QE policies, but the results show that the relationship of the CIRP condition in the forward exchange market is more likely completed.
35
Hsieh, Hsiu-Ying, and 謝秀瑛. "The Impacts of Covered Interest rate Parity on the Returns of Stock Prices : Empirical Analysis from Developed and Developing Countries." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/31552875949887359743.
Full textAbstract:
碩士淡江大學
財務金融學系碩士在職專班
95
In the past, there had been considerable interest in the investigations of whether the covered interest rate parity (CIP) holds or not. The CIP in the macroeconomic level is quite important because it implies that the interest rate, spot and forward exchange rates are related in a particular way. Indeed, their relations affect the capital flow in financial markets significantly. The purpose of this paper is to explore the relations between the permanent and transitory components of deviation from the CIP and stock returns. We apply the ARJI-Trend model which combines component model, proposed by Engle and Lee (1993), and ARJI model, proposed by Chan and Maheu (2002), to capture the daily data of the stock markets in many countries which are separated into developed and developing countries. The result shows that the CIP in our samples is failure to hold because the central banks of each country may try to intervene their short term interest rate and exchange rate levels. Moreover, we found not only the conditional variance and jump frequency are time varying but also the existence of both permanent and transitory components of the conditional variance in the whole sample period. In the meantime, the shock of the permanent component of conditional variance is larger than the temporary component in Taiwan and England stock market.
36
Hsieh, Wen-Wen, and 謝文文. "Testing for the Threshold Effect on the Covered Interest Parity." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/88076005829054953354.
Full textAbstract:
碩士世新大學
經濟學研究所(含碩專班)
99
This paper uses the Threshold Model to study whether the CIP holds when the threshold variable is set to be the inflation rate. Considering the availability of the data for forward exchange rate, this paper analyzes six currencies: US dollar, Japanese Yen, Canada dollar, Singapore dollar, UK pound and New Taiwan dollar. The exchange rate is expressed as the local currency units per US dollar and the threshold variable is defined as the difference in inflation rate between the corresponding country and United States. The sample comprises monthly data from 1991:11 to 2011:5. There are four terms of forward exchange rate: 30 days, 60 days, 90 days and 180 days. The study of various terms of forward exchange rate will help us to realize whether the existence of CIP depends on the term structure of forward premium. The empirical results show: for Japan Yen, the inflation rate gap has no threshold effect on CIP in each term of forward premium. However, for New Taiwan dollar, the inflation rate gap has the threshold effect on CIP for all terms of forward premium. For the case of UK pound, there is threshold effect on CIP in the terms of 30 days and 60 days. And for Singapore dollar, the inflation rate gap has the threshold effect on CIP only for the term of 30 days. In summary, the existence of CIP depends both on the threshold effect of the inflation rate gap and the term of forward premium.
37
Lo, I.-Hsiu, and 羅尹秀. "A Threshold Model of Covered Interest Parity Applied to Taiwan’s Data." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/74248589206632218481.
Full textAbstract:
碩士淡江大學
經濟學系碩士班
94
In this research deviations from covered interest parity are modeled nonlinearly. Unlike previous studies based on linear VCEM or VAR models, we employ a multivariate TAR model based on Tsay(1998)’s paper to investigate the dynamic behaviors of deviations form covered interest parity. The empirical results show a no-arbitrage band within which deviations are random, outside of which deviations revert to the edge of the band. Taking the analysis of double-threshold autoregressions into account, the theory of covered interest parity still stands.
38
Chang, Chun-Yu, and 張君瑀. "Re-examination of real interest rate parity." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/23z4d2.
Full textAbstract:
碩士國立東華大學
經濟學系
102
In this paper we employ monthly interest rate data over the 1973-2013 period to examine the interest linkages across U.S., Japan and eight countries in Asia region, as well as to investigate whether cointegration vector is time-varying or not. We use the Johansen (1988) cointegration test and time-varying cointe- gration advocated by Bierens and Martins (2010) that assumes cointegration vector is time-varying to examine the validity of interest rate parity. The em- pirical results indicate that the influence of interest rate in U.S. on Asia region are more significant than Japan. Furthermore, we find that there exists a time- varying cointegration relationship in interest rate parity. The conception of cointegration vector is not time-invariate anymore.
39
Lee, Shun-Fa, and 李順發. "Capital Control, Asset substitutability and Interest Rate Parity." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/65964155100369753610.
Full textAbstract:
碩士國立臺灣大學
經濟學研究所
87
The purpose of this paper is to investigate the fluctuation of deviation from covered interest rate parity in Taiwan. Since the covered interest rate parity (CIP) is not hold based on the macro data after forward market reopened (1991/11) in Taiwan, to inquire the causes of deviation from CIP is our main objective. We establish a small open portfolio balance model and bring into capital control and asset substitutability to explain the deviation from CIP in Taiwan. It is shown that the loosening policy of capital control and increasing degree of asset substitutability between Taiwan and America can explain the rapidly narrowing deviation in 1994 in Taiwan. In addition, we use co-integration method to estimate the effect of the two causes. Our reading of the empirical evidence suggests that the two causes are significantly consistent with theoretical result and each proportion of them to the swing of deviation is approximately the same.
40
Wu, Li-Fen, and 吳麗芬. "Uncovered Interest Rate Parity Test:The case for Taiwan." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/5se4v7.
Full textAbstract:
碩士銘傳大學
國際企業學系碩士在職專班
95
The Uncovered Interest Parity﹙UIP﹚has been rejected in most of empirical studies﹐In this paper﹐we examine the Uncovered Interest Parity﹙UIP﹚in Taiwan with Gemeralized Method of Moments﹙GMM﹚provided by Hansen﹙1982﹚and this paper use of long–horizon forward exchange rate to identify UIP﹒ The results reveal that estimate method of exploitation GMM as a result to overcome the problems of overlapping data﹒And we find that UIP can not be accepted at the short and long horizon﹒
41
Liu, Fang-Ting, and 劉芳婷. "On the Real Interest Rate Parity---International Evidence." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/e2xcqn.
Full textAbstract:
碩士國立暨南國際大學
經濟學系
98
This paper aims at testing international Real Interest Parity Hypothesis in 14 Asian countries and 6 developing countries by using covariate feasible point optimal test advocated by Elliott and Jansson (2003). The Implementation of the test involves choosing stationary covariates on economic theory, which has a great impact on the test power and affects the empirical result. The covariates are a combination of stationary variables – real interest rate, interest rate, inflation rate, monetary, and exchange rate. When implanting test only include a single covariate each time and reported the corresponding testing result. Very strong evidence is found of RIPH using test, rejecting the unit root null for 18 out of the 20countries at 5% significance level. The RIPH is favored across countries
42
Lee, Yu-Chun, and 李雨純. "Covered Interest Parity in Taiwan and China – The Application of Threshold Autoregressive Model." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/16785254082409281836.
Full textAbstract:
博士淡江大學
財務金融學系博士班
104
Benefited from the rise of China economy over the recent years, the cross-strait economic, trade relation and investment exchange has become increasingly close. In the need of supporting Taiwan’s real economic activity, Taiwan government has gradually loosen cross-strait financial limit of exchange, and DBU has officially launched RMB business on February 6, 2013. Domestic investors attracted by high interest rate and being optimistic about the trend of RMB appreciation, have turned to start time deposit in RMB, expecting to earn spreads and exchange difference. This study discusses the covered interest parity relationship between Taiwan and China before and after the launch of RMB business on February 6, 2013 in Taiwan. In this study, data sampling period spanned from three years before launch of RMB business in Taiwan dated February 6, 2013 and three years after the same, which was divided into full-time, pre-phase and post-phase. The period of exchange rate and the interest rate information was divided into three-month and six-month period. This research utilizes KSS, Unit Root Test to test non-linear qualitative relationship, and takes Threshold Autoregressive Model and Momentum-Threshold Autoregressive Model to process Threshold Cointegration Test. Moreover, using Threshold Error-Correction Model Test to capture long-term and short-term nonlinear asymmetric effects. The study found that, under a premise of not considering the transaction costs, the traditional CIP between Taiwan and China is not established, which represents arbitrage opportunity is exist in the market. Secondly, the use of unit root test method found that the exchange rate and the interest rate series become stable after first difference. In the co-integration test of threshold, we found that long-term stable asymmetric threshold co-integration relationship exist among variables. Finally, indicated from the Granger Gausality test with threshold error correction model, it showed that any "lead-lag relationship " does not exist in a short-term period; in the long run, the start of RMB business in Taiwan has significant effect of improving long-term causal relationship for longer period.
43
Chuang, Yawen, and 莊雅雯. "The connection between interest rate parity and currency option." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/32655355895473807160.
Full textAbstract:
碩士國立臺灣大學
國際企業學研究所
90
The existing currency option researches often take a partial equilibrium approach and under constant interest rates and volatility, but many empirical results shows that interest rates and volatility are stochastic. Then Bakshi and Chen(1997) developed a currency option model under stochastic interest rates and volatility, and there are a closed form solution in this model. The model Bakshi and Chen developed is based on the well known two-country monetary model of Lucas(1982). The two-country model is a general equilibrium model, and the exchange rates are determined by the purchasing power parity, rather than the interest rate parity. We would like to know that if the two-country model imply interest rate parity, and based on the hypothesis of interest rate parity, how to amend the currency option model of Bakshi and Chen. In Chapter 2, we review the related papers. In Chapter 3, we found out that the original Lucas two-country model doesn’t imply the uncovered interest rate parity. In order to verify that if the Lucas two-country model imply covered interest rate parity, we add the forward market to the model, then we find out that we can’t decide if the model imply covered interest rate parity when the forward is endogenously determined. Based on the result of Chapter 3, in Chapter 4 we use the hypothesis of interest rate parity to determine the exchange rate and find out the new equilibrium solution of the Lucas two-country model. In Chapter 5, we use the hypothesis of interest rate parity to amend the currency option model of Bakshi and Chen. Furthermore, we lead into other interest rate models such as Vasicek、HJM and CIR Model to develop other currency option models.
44
Chuang, Jing-shun, and 莊景舜. "Uncovered Interest Rate Parity Test Based on Rational Expectation." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/30735598162482341316.
Full textAbstract:
碩士南華大學
管理經濟學系經濟學碩士班
100
This paper carries out an empirical investigation of uncovered interest rate parity (UIP) model, which incorporates the rational expectations methodology. We use the Taiwan dollars (NTD) as the home currency, and the Japanese yen (JPY), Singapore dollar (SGD), Hong Kong dollars (HKD), Australian dollar (AUD), U.S. dollar (USD), Canadian dollar (CAD), British pound (GBP), Swiss franc (CHF) and Swedish krona (SEK) as the foreign currency. The data of exchange rates and interest rates(one- and three-month time deposits) are obtained from the Taiwan Bank’s website. We use daily data over the period from 01, January, 2011 to 10, July, 2012. We use ADF, PP and KPSS to test the stabilities of the expected rate of depreciation of the home currency against the foreign currency and the interest differential. We use the so-called Fama regression to evaluate the effect of interest differential on the expected rate of depreciation and to test whether the UIP holds. Our finding is that the uncovered interest rate parity does not hold based on rational expectation. This means that arbitrage space still exists between Taiwan and international finance markets.
45
黃小娟. "An empirical study on interest rate parity in Taiwan." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/64194736807307708738.
Full text
46
chen, yueh-chih, and 陳悅治. "An empirical study on Euro-dollar interest rate parity." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/99663109586969858048.
Full textAbstract:
碩士國立政治大學
行政管理碩士學程
93
The emergence of Eurodollar exemplified a significant reformation in the world financial system since the fixed rate had been broken in 1970, which brings far-reaching significance to the global finance and social culture. Therefore some discussions on exchange rate, interest rate and price relationship in the range of US Dollar and Eurodollar are one of focuses the international financial market concerns; On the basis of the three kinds of interest rate parity Frankel brought forward (1992) including Covered Interest Parity (CIP), Uncovered Interest Parity (UIP) and Real Interest Parity (RIP), this research mainly proves their feasibility. For the empirical methods, the Dickey & Fuller (1979, 1981)’s ADF unit root test was used to confirm the characteristics of variable series in this research; additionally, Johansen’s maximum likelihood method (1988) was adopted to do the empirical analysis on CIP, UIP and RIP. Based on the empirical results, we found out that the CIP and UIP are tenable simultaneously in the range of tenable US Dollar and Eurodollar from 1999 January to 2004 July. That means when return on asserts between two counties has some differences, it would become towards equality lastly on the basis of international capital mobility. And the null hypothesis that the forward rate is an unbiased predictor of the future spot rate can be employed, revealing the foreign exchange market in the range of Eurodollar and US Dollar has certain efficiency. Additionally, The empirical results of this research do not support the RIP, because it would vary with different prices and proportion used while making the price index in the range of Eurodollar and US Dollar, and cannot present equitable exchange rate; furthermore, because of imperfect current currency and commodity markets, and many unconsidered factors such as people’ incompletely anticipation and money illusion, most researches for validating RIP fail to find out its balanced parity relation.
47
TSAI, YU-HUNG, and 蔡楀鴻. "Uncovered interest parity and exchange rate volatility in Taiwan." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/64034262801784457185.
Full textAbstract:
碩士國立臺北大學
經濟學系
104
We investigated uncovered interest rate parity using Taiwanese dollar against foreign currencies. We found the uncovered interest rate parity is not hold in Taiwanese dollar exchange rate as literature suggested. Next, the exchange rate volatility shows impact on the uncovered interest rate parity estimation results. We also studies the Markov regime switching models and the results are mixed about the relationship of exchange rate volatility and the uncovered interest rate parity.
48
Chuang, Chieh-Hsiung, and 莊傑雄. "Covered Interest Parity in European Economic and Monetary Union - The Application of Threshold Model." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/57150539153147540379.
Full textAbstract:
碩士國立臺北大學
經濟學系
96
This thesis focus on the currency market and short run capital market in the European Economy and Monetary Union (EMU), using self exciting threshold autoregressive (SETAR) model and threshold vector error correction model (TVECM) for analysis. The SETAR model and TVECM methodology are applied on one-month 、 three-month 、 six-month and twelve-month short term data for the 1999-2007 period, revisit the Covered Interest Parity (CIP) in the EMU. A SETAR model is used to estimate short run relationship of Covered Interest Deviation (CID). According to the theory of CID, the threshold error correction model allow us to examine the long run relationship between forward premium and interest difference. With nonlinear threshold econometric modeling techniques, We obtained estimation of nonlinear one-threshold models using daily data on CID. The univariate SETAR model provides the single and positive threshold value. The fact that more deviation are apparently needed to evoke arbitrage from euro to dollars indicates that arbitrageurs may have been factoring dollar depreciation into their consideration. Setting forward premium and interest difference in the multivariate TVECM approach, the result indicate that there is asymmetric dynamic adjustment in the interest difference variable.
49
Wei-Lun, Liang, and 梁瑋倫. "An Empirical Study of the Interest Rate Parity in Australia." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/26509167926721117452.
Full textAbstract:
碩士國立高雄應用科技大學
金融資訊研究所
99
The aim of this paper is to examine whether the interest rate parity is truth or not, applying the Australian data from January 1990 to December 2010. A variety of time-series methodologies, cointegration test, and causality test, error correction models, are applied to investigate the relationship. The empirical results of the covered interest rate parity(CIRP) are summarized as follows: (1) The empirical results of Johensen’s cointegration show that the cointegration of forward premium and interest rate differential, which implied the CIRP is truth; (2) According to the results of the error correction model it is bi-directional causality between forward premium and interest rate differential。As to the uncovered interest rate parity (UIRP), the empirical results show as follows: (1) The empirical results of Johensen’s cointegration support there is a cointegration between forward exchange rate and expected futher exchange rate, which implied the UIRP is truth; (2) According to the results of the error correction model it is bi-directional causality between forward exchange rate and expected futher exchange rate。
50
Yang, Shih-Ching, and 楊士慶. "The Causes to Deviation from Interest Rate Parity in Taiwan." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/63177174054621123692.
Full text