碩士 / 國立交通大學 / 財務金融研究所 / 102 / Uncovered interest rate (UIP) is one of the key assumptions in exchange model used in both international finance and macroeconomics. It implies that the interest rate differential should be equal to the expected exchange rate. After 2008 financial crisis, Federal Reserve started the quantitative easing policy to lower interest rate. Because of the low interest, many arbitragers borrow the more liquid US dollar instead of Japanese yen to invest in higher-yield target currencies. Besides, Froot and Thaler (1990) find the forward premium anomaly has been consistently found for most published studies. To sum up, we can see the breakdown of UIP not only from empirical studies but also from the carry trade activities but there isn’t currently a consensus on how to explain the failure of UIP.
The traditional explanations based on the presence of peso problems or time-varing risk premia. Afterwards, some scholars start to use nonlinear model to find out the relationship between interest rate differential and expected exchange rate movement tends to be regime-specific. This study relies on a linear framework to differentiate carry trade return into two regimes and examines the role of carry trade and momentum strategies in the failure of UIP. The result generally concludes that UIP does not hold in the higher exchange rate volatility regimes where shows the significant momentum effect. Besides, this study can also find out the time of the momentum effect compared to other FX momentum papers.
| Identifer | oai:union.ndltd.org:TW/102NCTU5304009 |
| Date | January 2014 |
| Creators | Wang,Hsiang-Han, 王香涵 |
| Contributors | Chung,Huimin, 鍾惠民 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 28 |
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