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Carry Trading & Uncovered Interest Rate Parity: An overview and empirical study of its applications
Linköping University, Department of Management and Engineering, Business Administration.
Linköping University, Department of Management and Engineering, Economics.
2011 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The thesis examine if the uncovered interest rate parity holds over a 10 year period between Japan and Australia/Norway/USA. The data is collected between February 2001 - December 2010 and is used to, through regression and correlation analysis, explain if the theory holds or not. In the thesis it is also included a simulated portfolio that shows how a carry trading strategy could have been exercised and proof is shown that you can indeed profit as an investor on this kind of trades with low risk. The thesis shows in the end that the theory of uncovered interest rate parity does not hold in the long term and that some opportunities for profits with low risk do exist.

Abstract [sv]

Uppsatsen undersöker om det icke kurssäkrade ränteparitetsvilkoret har hållit på en 10-års period mellan Japan och Australien/Norge/USA. Månadsdata från februari 2001 till december 2010 används för att genom regressionsanalys samt undersökning av korrelationer se om sambandet håller eller inte. I studien finns också en simulerad portfölj som visar hur en carry trading portfölj kan ha sett ut under den undersökta tidsperioden och hur man kan profitera på denna typ av handel med låg risk. Studien visar i slutet att teorin om det kursosäkrade ränteparitetsvilkoret inte håller i det långa loppet och att vissa möjligheter till vinst existerar.

Place, publisher, year, edition, pages
2011. , 42 p.
Keyword [en]
Uncovered Interest Rate Parity, Australian Dollar, Norwegian Kronor, US Dollar, Japanese Yen, Carry Trading
National Category
Social Sciences
URN: urn:nbn:se:liu:diva-70478ISRN: LIU-IEI-FIL-G--11/00727—SEOAI: diva2:439843
Subject / course
Bachelor Thesis in Economics
Social and Behavioural Science, Law
Available from: 2011-09-09 Created: 2011-09-09 Last updated: 2011-09-09Bibliographically approved

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Carry Trading(1326 kB)466 downloads
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