Déviations de la condition CIP : une analyse avec les données canadiennes

Authors: Fang, Yuao
Advisor: Moran, Kevin
Abstract: This paper analyzes deviations in the covered interest rate parity (CIP) condition between the U.S. and Canadian dollars, which appear to have increased since the global financial crisis of 2008. To do so, the study focuses on three macroeconomic factors that can potentially explain these deviations: capital liquidity, risk sentiment in financial markets, and the relative strength of the US dollar. The data used constructs CIP deviations from data on interest rates, spot exchange rates, and forward exchange rates that come from Bloomberg. Our results confirm the majority of empirical studies by showing that the CIP principle remains a good guide for analyzing the relationship between forward and spot exchange rates and interest rates, even though this condition does not hold exactly at all times. Deviations from the CIP condition, when they occur, appear to be significantly related to the strength of the U.S. dollar, particularly in the post-crisis era.
Document Type: Mémoire de maîtrise
Issue Date: 2021
Open Access Date: 7 June 2021
Permalink: http://hdl.handle.net/20.500.11794/69315
Grantor: Université Laval
Collection:Thèses et mémoires

Files in this item:
Description SizeFormat 
37279.pdf4.09 MBAdobe PDFThumbnail
All documents in CorpusUL are protected by Copyright Act of Canada.