interest rate parity

interest rate parity - Interest Rate Parities FBE 436...

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1 1 Interest Rate Parities FBE 436 Professor Aris Protopapadakis 3 Key Concepts and Skills What are the links between interest rates in different currencies? $-Equivalent returns Calculation UIRP – Uncovered Interest Rate Parity Uncovered Interest Rate Parity Interpretation, empirical relevance CIRP – Covered Interest Rate Parity Interpretation, empirical relevance 8 $/Euro 0.80 0.90 1.00 1.10 1.20 1.30 1.40 1.50 1.60 Dec-99 Jun-00 Dec-00 Jun-01 Dec-01 Jun-02 Dec-02 Jun-03 Dec-03 Jun-04 Dec-04 Jun-05 Dec-05 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 HK$/US$ 7.74 7.75 7.76 7.77 7.78 7.79 7.80 7.81 7.82 7.83 Dec-99 Jun-00 Dec-00 Jun-01 Dec-01 Jun-02 Dec-02 Jun-03 Dec-03 Jun-04 Dec-04 Jun-05 Dec-05 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Yen/US$ 90 95 100 105 110 115 120 125 130 135 140 Dec-99 Jun-00 Dec-00 Jun-01 Dec-01 Jun-02 Dec-02 Jun-03 Dec-03 Jun-04 Dec-04 Jun-05 Dec-05 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Bolivar/US$ 0.5 0.7 0.9 1.1 1.3 1.5 1.7 1.9 2.1 2.3 Dec-99 Jun-00 Dec-00 Jun-01 Dec-01 Jun-02 Dec-02 Jun-03 Dec-03 Jun-04 Dec-04 Jun-05 Dec-05 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09
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