Test av icke-kurssäkrad ränteparitet med fokus på riskpremien och möjliga förklarande faktorer
Exchange RateUncoverd Interest ParityRisk PremiumEconomicsEconometricsEconomic theoryEconomic systemsEconomic policyNationalekonomiEkonometriEkonomisk teoriEkonomiska systemEkonomisk politikBusiness and Economics
This thesis aims to evaluate the concept of Uncovered Interest Parity. The parity states that the logarithmic difference between domestic and foreign interest rate equals the logarithmic difference between expected future spot exchange rate and the spot exchange rate, . In defining the exchange rate it is often presumed that the parity relation prevails even though several studies suggest the opposite. Numerous economists maintain that the theory?s shortcomings can be explained through the existence of a Risk Premium. The purpose of this study is thus to examine whether or not such a premium exists and analyse if it is possible to explain the limitations of the parity with the aid of specific factors. The study is done on the Swedish exchange rate against the American dollar during the period 1995-2004. A deeper understanding of the Uncovered Interest Parity and the Risk Premium should enable a more reliable determination of the exchange rate. The thesis concludes that there exists a Risk Premium and that this could be explained by the public debt, the net of international trade and the short interest rate.