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Author: Mickey Maarten Maria Paulus van der Zouw
Mickey Maarten Maria Paulus van der Zouw
Thesis Title: Empirical Test of Interest Rate Parity in Sweden
Empirical Test of Interest Rate Parity in Sweden
Advisor: 謝劍平
Joseph C.P. Shieh
Committee: 陳俊男
Chun-Nan, Chen
劉代洋
Liu, Day-Yang
Degree: 碩士
Master
Department: 管理學院 - 財務金融研究所
Graduate Institute of Finance
Thesis Publication Year: 2020
Graduation Academic Year: 108
Language: 英文
Pages: 33
Keywords (in Chinese): Interest Rate ParitySwedenEmpirical Test
Keywords (in other languages): Interest Rate Parity, Sweden, Empirical Test
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  • In this paper the covered and uncovered interest rate parity for Sweden is tested and the effect of the 2008 financial crisis on them. The tests are performed in respect to the markets of the Eurozone, United States of America, Norway, Denmark and the United Kingdom. Through means of OLS regressions, we found that the covered interest rate parity holds for some markets and more before the crisis than after. No statistical significance was found for the uncovered interest rate parity at any given time.


    In this paper the covered and uncovered interest rate parity for Sweden is tested and the effect of the 2008 financial crisis on them. The tests are performed in respect to the markets of the Eurozone, United States of America, Norway, Denmark and the United Kingdom. Through means of OLS regressions, we found that the covered interest rate parity holds for some markets and more before the crisis than after. No statistical significance was found for the uncovered interest rate parity at any given time.

    Chapter 1: Introduction Chapter 2: Literature Chapter 3: Method & Data Chapter 4: Results Chapter 5: Implications Chapter 6: Conclusion Chapter 7: References Chapter 8: Data Sources

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