Interest Rate Parity and Monetary Integration: A Cointegration Analysis of Sweden and the EMU

Interest Rate Parity and Monetary Integration: A Cointegration Analysis of Sweden and the EMU

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 (E...

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Bibliographic Details
Main Authors: Ruthberg, Richard, Zhao, Steven
Format: Others
Language:English
Published: KTH, Matematik (Inst.) 2014
Subjects:
Interest Rate Parity (IRP)
Covered Interest Parity (CIP)
Uncovered Interest Parity (UIP)
Forward Rate Unbiasedness Hypothesis (FRUH)
Monetary Integration
Sweden
EMU
STIBOR
EURIBOR
Cointegration
Johansen Test
Dynamic OLS
ränteparitet
ränteparitetsvillkoret
kurssäkrad ränteparitet
icke-kurssäkrad ränteparitet
effektiva marknadshypotesen
valutaterminer
monetär integration
Sverige
kointegration
Johansen test
dynamisk OLS
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-146277

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-146277

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