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| Title: | 經濟政策不確定性與未拋補利率平價說之關係
The relationship between economic policy uncertainty and uncovered interest rate parity |
| Authors: | 吳彥昇
Wu, Yen-Sheng |
| Contributors: | 張元晨
吳彥昇
Wu, Yen-Sheng |
| Keywords: | 經濟政策不確定性
未拋補利率平價說
Economic policy uncertainty
Uncovered interest rate parity |
| Date: | 2020 |
| Issue Date: | 2020-08-03 17:32:58 (UTC+8) |
| Abstract: | For over forty years, many economists have found that uncovered interest rate parity (UIRP) does not hold. Most previous findings indicated that currency forward premiums negatively predict changes in spot exchange rates, however, results based on data after the global financial crisis show different patterns. In this paper, I explore the relationship between US economic policy uncertainty and UIRP and find that, when uncertainty is extremely high, forward premiums positively predict changes in spot exchange rates, especially for Swiss Franc and Japanese Yen. In addition, when uncertainty is moderately low, UIRP violations for currencies of European countries and Canada are more prevalent. |
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| Description: | 碩士
國立政治大學
財務管理學系
106357027 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0106357027 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202001120 |
| Appears in Collections: | [財務管理學系] 學位論文
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| 702701.pdf | | 1247Kb | Adobe PDF2 | 68 | View/Open |
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