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An empirical investigation of the International Fisher Effect
2002 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The purpose of this thesis is to describe the theory of the International Fisher Effect and test its empirical validity in the long run. The question asked for this thesis is if there is a tendency for nominal interest differentials to offset exchange rate changes? The International Fisher effect states that the future spot rate of exchange can be determined from the nominal interest differential. A regression analysis has been applied to quarterly nominal interest differentials and exchange rate changes for five country pairs between the years 1993-2000, except for US-Germany, which contains data for the years 1993-1998. The investigated country pairs are US- Sweden, US-Japan, US-UK, US-Canada and US-Germany. The regression tests whether nominal interest differentials are a good forecast for changes in the future spot rates of exchange for the tested time frame and respective country pair. The result shows that only for US-Japan are the nominal interest differentials, on average, offset by exchange rate changes. This means that the exchange rate movements react to other factors in addition to nominal interest differentials for the other country pairs.

Place, publisher, year, edition, pages
2002.
Keyword [en]
Social Behaviour Law, International Fisher Effect, Fisher Effect, Purchasing Power, Parity, Regression analysis
Keyword [sv]
Samhälls-, beteendevetenskap, juridik
Identifiers
URN: urn:nbn:se:ltu:diva-56062ISRN: LTU-SHU-EX--02/042--SELocal ID: cde26d28-b443-4fea-a00d-fc5428990b84OAI: oai:DiVA.org:ltu-56062DiVA: diva2:1029448
Subject / course
Student thesis, at least 15 credits
Educational program
Economics, bachelor's level
Examiners
Note
Validerat; 20101217 (root)Available from: 2016-10-04 Created: 2016-10-04Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf