Covered interest parity

Detalhes bibliográficos
Autor(a) principal: Serra, Inês Isabel Sequeira de Freitas
Data de Publicação: 2012
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/15992
Resumo: This report aims to study the evolution of the Covered Interest Rate Parity (CIP) over the course of the last years. With the 2007 financial crisis many fundamental relationships changed, and CIP was not an exception. To infer whether or not this was an isolate event, the behaviour of the CIP during the European Sovereign debt crisis was studied. Currency pairs such as EURUSD showed significant CIP deviations during both crises. This work shows that currently, spreads are mostly explained by counterparty risk and market sentiment factors, which are extremely different factors from the ones explaining the spread during 2003-06. Key
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spelling Covered interest parityForeign exchangeCovered interest rate parityCounterparty riskFinancial market turmoilDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis report aims to study the evolution of the Covered Interest Rate Parity (CIP) over the course of the last years. With the 2007 financial crisis many fundamental relationships changed, and CIP was not an exception. To infer whether or not this was an isolate event, the behaviour of the CIP during the European Sovereign debt crisis was studied. Currency pairs such as EURUSD showed significant CIP deviations during both crises. This work shows that currently, spreads are mostly explained by counterparty risk and market sentiment factors, which are extremely different factors from the ones explaining the spread during 2003-06. KeyLameira, PedroRUNSerra, Inês Isabel Sequeira de Freitas2015-11-27T15:56:42Z2012-012012-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/15992enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:52:27Zoai:run.unl.pt:10362/15992Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:22:56.198990Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Covered interest parity
title Covered interest parity
spellingShingle Covered interest parity
Serra, Inês Isabel Sequeira de Freitas
Foreign exchange
Covered interest rate parity
Counterparty risk
Financial market turmoil
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Covered interest parity
title_full Covered interest parity
title_fullStr Covered interest parity
title_full_unstemmed Covered interest parity
title_sort Covered interest parity
author Serra, Inês Isabel Sequeira de Freitas
author_facet Serra, Inês Isabel Sequeira de Freitas
author_role author
dc.contributor.none.fl_str_mv Lameira, Pedro
RUN
dc.contributor.author.fl_str_mv Serra, Inês Isabel Sequeira de Freitas
dc.subject.por.fl_str_mv Foreign exchange
Covered interest rate parity
Counterparty risk
Financial market turmoil
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Foreign exchange
Covered interest rate parity
Counterparty risk
Financial market turmoil
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This report aims to study the evolution of the Covered Interest Rate Parity (CIP) over the course of the last years. With the 2007 financial crisis many fundamental relationships changed, and CIP was not an exception. To infer whether or not this was an isolate event, the behaviour of the CIP during the European Sovereign debt crisis was studied. Currency pairs such as EURUSD showed significant CIP deviations during both crises. This work shows that currently, spreads are mostly explained by counterparty risk and market sentiment factors, which are extremely different factors from the ones explaining the spread during 2003-06. Key
publishDate 2012
dc.date.none.fl_str_mv 2012-01
2012-01-01T00:00:00Z
2015-11-27T15:56:42Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/15992
url http://hdl.handle.net/10362/15992
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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