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Dissertations / Theses on the topic 'Uncovered interest rate parity model'

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Published: 4 June 2021

Last updated: 10 February 2022

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1

Kohler, Daniel. "Betting against uncovered interest rate parity." kostenfrei, 2008. http://www.biblio.unisg.ch/www/edis.nsf/wwwDisplayIdentifier/3513.

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2

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.

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3

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.

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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 t

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4

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.

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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 reg

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5

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.

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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 incl

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6

Dror, Marika. "Forecasting of exchange rates." Doctoral thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-202335.

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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/

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7

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.

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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, inclu

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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.

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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.

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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

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10

Yuen, Wai-kee, and 袁偉基. "A historical event analysis of the variability in the empirical uncovered interest parity (UIP) coefficient." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2006. http://hub.hku.hk/bib/B36424201.

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11

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.

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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 Eu

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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.

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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 th

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13

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.

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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 thre

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14

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.

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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 nomina

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15

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.

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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 frict

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16

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.

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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 e

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17

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.

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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 preca

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18

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.

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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-int

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19

Baskurt, Ozge. "Financial Dollarization And Currency Substitution In Turkey." Master's thesis, METU, 2005. http://etd.lib.metu.edu.tr/upload/12606172/index.pdf.

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This study aims to investigate currency substitution and financial dollarization in Turkey. The extend of dollarization in Turkey appears to be very high according to both the conventional currency substitution and the recently developed financial dollarization measures. This has serious policy implications as a source of financial fragility through currency/maturity mismatches and balance sheet effects. The empirical part of this study contained an investigation of the long run relationships between the variables in a system containing currency substitution ratio, expected exchange rate cha

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20

Costa, Marisa Gomes da. "Fatores determinantes do nível do risco Brasil." Universidade Presbiteriana Mackenzie, 2016. http://tede.mackenzie.br/jspui/handle/tede/977.

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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: 2016-02-01<br>This 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 auto

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21

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.

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22

Wu, Hsin-Hung, and 吳信宏. "Uncovered Interest Rate Parity in a Time-Varying Smooth Transition Regression Model." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/07957192508227530032.

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碩士<br>國立高雄大學<br>經濟管理研究所<br>96<br>There are general findings by many studies criticizing that the linear model proposed by Fama (1984) is unable to validate uncovered interest parity (UIP) hypothesis. Therefore, some scholars presented theoretical motivation, e.g. , the presence of transaction cost (Sercu and Wu, 1992), the limitations to speculation hypothesis (Lyons, 2001) and the behavior of interventions (Mark and Moh, 2007). Baillie and Bollerslev (2000) also show that the magnitude and sigh of the estimated slop coefficient in the forward premium regression appears to be slowly time-varyi

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23

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.

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碩士<br>銘傳大學<br>國際企業學系碩士在職專班<br>95<br>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﹒

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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.

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碩士<br>南華大學<br>管理經濟學系經濟學碩士班<br>100<br>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 webs

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25

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.

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碩士<br>國立臺北大學<br>經濟學系<br>104<br>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.

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26

Machobani, Dennis. "Testing for the uncovered interest parity hypothesis in South Africa." Thesis, 2016. http://hdl.handle.net/10539/21494.

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Research Report: BUSA7167 (MM Finance and Investment Management). Submitted in Partial Fulfillment of the Requirements for the (Master of Management in Finance and Investments). Submitted on 06th June 2016<br>The findings of the research have implications on the efficiency of the South African exchange rate market, and by extension, the efficiency of similar emerging foreign exchange markets. The study used Ordinary Least Square Approach and Johansen cointegration. Despite their theoretical appeal, and in line with a dozen of related past literature, the findings of the research generally f

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27

"An empirical analysis of uncovered interest parity at short and long horizons." 2001. http://library.cuhk.edu.hk/record=b5890699.

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Zhang Haiyan.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2001.<br>Includes bibliographical references (leaves 48-50).<br>Abstracts in English and Chinese.<br>Chapter 1 --- Introduction --- p.1<br>Chapter 2 --- Literature Review --- p.6<br>Chapter 2.1 --- An Introduction to the Uncovered Interest Parity (UIP) and previous works on UIP --- p.6<br>Chapter 2.2 --- Previous empirical works applying Band Spectrum Regression(BSR) --- p.15<br>Chapter 3 --- Basic Band Spectral Regression (BSR) Techniques --- p.20<br>Chapter 3.1 --- BSR Based on the complex Fourier transform --- p.20<br

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28

Lu, Chih-Tien, and 盧志典. "Uncovered interest parity of non-linear smooth transitional threshold model in Netherlands." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/79985029624635387881.

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碩士<br>淡江大學<br>財務金融學系碩士班<br>97<br>The majority of researches have adopted general linear regression model to examine uncoverd interest parity (UIP) and the outcomes did not support the UIP theory in most studies. Recently, the application of non-linear regression model increases substantially. Most evidences of exchange rate analysis show that the adjustment of parameter on exchange rate model is smooth transition not jump pattern. Hence, this study use non-linear smooth transitional threshold model to examine uncoverd interest parity (UIP) in the Netherlands (Holland). Our results show that th

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29

WeiChao and 趙薇. "The Uncovered Interest Rate Parity Theory and Sovereign CDS Premiums-the Case of East Asian Countries." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/zbdw34.

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30

Wu, Lin-Shun, and 吳林順. "The Analysis of International Asset Pricing Model and Uncovered Interest Parity Model--A signal extraction exercise." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/31268068085677266699.

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碩士<br>國立中央大學<br>產業經濟研究所<br>94<br>Substantial empirical literature has rejected the ‘simple efficiency’ hypothesis of the foreign exchange market, i.e. the joint hypothesis that combines a zero risk premium and market efficiency. This rejection does not necessarily imply that the market operates inefficiently. A recognized alternative hypothesis is that a risk premium exists, although inefficiency is certainly an alternative hypothesis. The purpose of this paper is to conduct a race between models in terms of their ability to explain observed violations of uncovered interest parity. The analysi

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31

Huang, Tzu-i., and 黃慈乙. "A reexamination on interest rate parity using Cox-Ingersoll-Ross model." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/69893730819148194147.

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碩士<br>國立成功大學<br>財務金融研究所<br>96<br>In the field of international finance, uncovered interest rate parity (UIRP) and covered interest rate parity (CIRP) are the important foundation. The previous studies have shown the existence of CIRP. However, UIRP is not held except utilizing data on the long-term interest rate. As a result, our paper considers the dynamic process of interest rates and utilizes the new regression which adds a new factor, convexity, to reexamine UIRP and CIRP. In our conclusion, we still find CIRP holds but UIRP is not in this paper. However, the slope coefficient from the lin

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32

Tang, Tsu-Yin, and 唐祖蔭. "The Real Interest Rate Parity and Related Model Comparison in Asia Countries." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/01268387823692447566.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>87<br>In the past, the test of Fisher Effect Hypothesis focused on the equality of the real interest rate among countries. That is, to test the Interest Rate Parity(IRP) and the Purchase Power Parity(PPP). This paper focuses on the two factors of real interest rate: nominal interest rate and inflation, and their long-term relationship. Using lately-developed statistics methods to test the stationary and cointegration between two variables, and to construct the Error Correct Model(ECM). Then, compare to the GARCH Model, we can know which model has more predictability

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LiuZhongYuan and 劉鍾元. "The prediction of short-run exchange rate on the basis of modified interest parity model." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/89300181101040516234.

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碩士<br>輔仁大學<br>經濟學系碩士班<br>103<br>In this article, I use the Risk Premium to correct the interest rate parity model, and use it to predict the short-run exchange rate. The main aim of this article is offer another method which is reliable and simple for common investors to use. First, I make the Unit Root Test to the exchange rate and interest rate spreads between major industry countries. The result indicates that all the exchange rates are I(1) and all the interest rate spreads are I(0). It means the variation of exchange rates is I(0), all of my variables are stationary. Then I derived the st

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Huang, Yi Feng, and 黃怡鳳. "Real Interest Parity, Real Exchang Rate and Risk Premium—An Application of GARCH-M model." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/9j98c2.

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碩士<br>明新科技大學<br>管理研究所<br>103<br>This paper is analyzed for six countries（United Kingdom、France、Germany、Italy、Canada、Japan）relative to USA that what is ppp not established and risk premium will be influence real interest rate parity factor？this paper is used GARCH-M and GMM model to explore the issues. we confirmed in the U.S., UK, France, Germany, Italy, Canada, Japan countries in the real interest rate parity is not established for the PPP does not hold. in addition, the risk premium in the UK and Germany is another important factor in the real interest rate parity does not hold.

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Wei-JiaHuang and 黃韋嘉. "Reexamination of Interest rate parity with Vasicek model in the aftermath of global financial crisis." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/5j2d98.

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Tsai, Chung-Heng, and 蔡仲恆. "Study on feasibility of carry trade - Validation of interest rate parity based on the smooth transition autoregressive model." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/79144449008731123585.

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碩士<br>國立臺灣大學<br>國際企業學研究所<br>98<br>This empirical study of Covered Interest Rate Parity (CIRP) is conducted on the basis of non-linear Smooth Transition Autoregressive Model, focusing on five areas including Japan, the United States, Australia, the United Kingdom, and the Euro zone. When CIRP holds, no abnormal gain can be derived from carry trade; in contrast, when CIRP cannot be supported, capital holders can obtain abnormal profit from carry trade. The result demonstrates that a linear relationship exists in the difference (D) between interest spread and forward exchange rate discount (or pr

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37

Tshehla, Makgopa Freddy. "An empirical study of the exchange rate volatility regime for carry trade investors." Thesis, 2014. http://hdl.handle.net/10500/14153.

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The main objective of the study was to determine the exchange rate volatility regime for carry trade profitability when using the South African Rand as the target currency. The study used the Logistic Smooth Transition Regression (LSTR) model to test the uncovered interest rate parity (UIP). The Sharpe ratio and the risk adjusted forward premium were used as the transition variables. The transition variable is a function of the transition function, which is used to determine the regime for the UIP. The LSTR model is characterised by three regimes, i.e. the lower regime, the middle regime and

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