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Type | Master's Thesis |
Scope | Discipline-based scholarship |
Title | Deviatons from covered interest rate parity during the Brexit |
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Institution | University of Zurich |
Faculty | Faculty of Business, Economics and Informatics |
Date | 2017 |
Abstract Text | This thesis investigates the question if there was a change in the deviation from the covered interest rate parity (CIP) during the Brexit. The Forex market has been gaining increasing attention over the recent decades. Different currency pairs show that there were deviations from the CIP. And it is assumed that in turbulent times these deviations increase and may persist for a longer period. The subject of this Master thesis is the investigation how the deviation from CIP behaved, during the time of the Brexit referendum. The primary aim is to test the null hypothesis, which claims that comparing the months of the year 2016 did not led to significant changes in the mean deviations from CIP distribution for two different currency pairs. The hypothesis is additionally tested for the mean percentage change of the deviation from CIP. The thesis also investigates if the Brexit referendum has led to a different regime regarding the volatility of the deviation and its mean. The duration and the time of possible regime switches are reported. |
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