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Uncovered Interest Parity and Carry Trades


Master's Thesis, 2016

60 Pages, Grade: 1,0

Torsten Abendroth (Author)


Excerpt


Table of contents

List of figures

List of tables

List of symbols

1 Introduction

2 Theoretical Framework
2.1 Uncovered Interest Parity
2.2 The Forward Premium Puzzle

3 Testing of UIP
3.1 Data
3.2 Regression equation and excess return formula
3.3 Results and analysis

4 Discussion of recent findings in literature
4.1 Approaches to explain a violation of UIP
4.1.1 Explanation by risk premium and peso problems
4.1.2 Explanation by irrationality
4.1.3 Explanation by learning problems and market inefficiency
4.2 Approaches to explain a partial holding of UIP
4.2.1 Developed and emerging markets
4.2.2 Short term and long term maturities

5 Consequences of recent innovations in the foreign exchange market

6 Conclusion

7 Bibliography

Appendix

Excerpt out of 60 pages

Details

Title
Uncovered Interest Parity and Carry Trades
College
University of Frankfurt (Main)  (Goethe Business School)
Grade
1,0
Author
Year
2016
Pages
60
Catalog Number
V351449
ISBN (eBook)
9783668382114
ISBN (Book)
9783668382121
File size
1055 KB
Language
English
Keywords
Carry Trade, Uncovered Interest Rate Parity, UIP, Covered Interest Rate Parity, CIP, Uncovered Interest Parity, Covered Interest Parity, Forward Premium Puzzle, OLS, Regression Analyis, Peso Problem, Risk Premium, Purchasing Power Parity, TED Spread, VIX, Learning Problem
Quote paper
Torsten Abendroth (Author), 2016, Uncovered Interest Parity and Carry Trades, Munich, GRIN Verlag, https://www.grin.com/document/351449

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