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Uncovered Interest Parity and Carry Trades

Jezik EngleskiEngleski
Knjiga Meki uvez
Knjiga Uncovered Interest Parity and Carry Trades Torsten Abendroth
Libristo kod: 15839571
Nakladnici Grin Publishing, veljača 2017
Master's Thesis from the year 2016 in the subject Business economics - Banking, Stock Exchanges, Ins... Cijeli opis
? points 61 b
24.97
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Master's Thesis from the year 2016 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,0, University of Frankfurt (Main) (Goethe Business School), language: English, abstract: The aim of this thesis is to test UIP by implementing an OLS regression analysis for five currency pairs which, according to CFTC data, global turnover data and carry-to-risk ratios, were among the most popular in the investor community. To increase the significance of this thesis for practitioners, the work will use one-month forward contracts which are used frequently by investors and include bid and ask rates in order to account for transaction costs. In addition, all currency pairs include the US Dollar for reasons of better liquidity, and therefore tighter bid-ask spreads. Moreover, this thesis will present recent findings in literature which try to explain deviations from UIP. Approaches can be separated by the focus on a risk premium, by irrational market behavior or by learning problems and market inefficiency. While most focus is laid on an explanation by a risk premium, it will be shown that it is crucial to combine the different scientific disciplines in order to solve the forward premium puzzle. In addition to this, the thesis will provide an outlook on the future attractiveness of carry trade strategies.

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Informacije o knjizi

Puni naziv Uncovered Interest Parity and Carry Trades
Jezik Engleski
Uvez Knjiga - Meki uvez
Datum izdanja 2017
Broj stranica 68
EAN 9783668382121
ISBN 3668382123
Libristo kod 15839571
Nakladnici Grin Publishing
Težina 100
Dimenzije 148 x 210 x 4
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