Το ασφάλιστρο κινδύνου στις διεθνείς χρηματοπιστωτικές αγορές : εξέλιξη και ερμηνεία
Risk premium in international financial markets : developments and interpretation
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Keywords
Ασφάλιστρο κινδύνου μετοχών ; Ακάλυπτη ισοτιμία επιτοκίων ; Ανεπτυγμένες και αναδυόμενες αγορές ; Βραχυπρόθεσμος και μακροπρόθεσμος χρονικός ορίζοντας ; Arch models ; Garch models ; Risk premium ; Uncovered interest parity ; Developed and emerging markets ; Short-term and long-term maturityAbstract
The theory of Uncovered Interest Parity constitutes an important building block for macroeconomic analysis of open economies. It is a condition that links the expected change of the spot exchange rate and the interest rate differential which results from the uncovered interest arbitrage. This master thesis conducts an extensive review of the international literature regarding the validation of the Uncovered Interest Parity between developed and developing markets as well as estimations of risk premium. Finally, the thesis examines the verification of Parity for the pairs of US – German and US – Eurozone 10 year bonds and also calculates the implied risk premium in case of failure of Uncovered Interest Parity.
Postgraduate Studies Programme
Οικονομική και Επιχειρησιακή ΣτρατηγικήDepartment
Σχολή Οικονομικών, Επιχειρηματικών και Διεθνών Σπουδών. Τμήμα Οικονομικής ΕπιστήμηςNumber of pages
126Language
GreekCollections
Except where otherwise noted, this item's license is described as
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές