Analyzed for six countries relative to USA that what it will be influence essence interest rate factor？
| Autor: | Ching-yi Chen, 陳沁怡 |
|---|---|
| Rok vydání: | 2007 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 95 This paper is analyzed for six countries（United Kingdom、France、Germany、Italy、Canada、Spain）relative to USA that what it will be influence essence interest rate factor？I used the variables are belong to non-stationary time serial so them will be lagged differences to become stationary variables. There are ADF test and PP test can check out them are or not root. IF it was, it must be to differences. First, make it sure that USA has Real Interest Rate Parity among countries. Hence, it is rejected. In other words, the USA real interest rate is not the same between other countries. Second, this paper is used GARCH-M and GARCH-X model to test risk premium. This result certify the real interest rate is difference because of risk premium. Last, what factors can be affect the risk premium？ I assumed there are two variables in the risk premium. One is variable rate of foreign exchange reserves, and the other one is counter’s market exchange rate. Empirical results show variable rate of foreign exchange reserves has bigger power than market exchange rate. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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