An Analysis of Exchange Rate Based on Interest Rate Parity Theory

摘要：

　　Interest rate parity states that the forward premium of a foreign currency should equal the interest rate differential between a domestic asset and a substitutable foreign asset.Thus,interest rate parity describes how the interest rate and the forward exchange rate both affect exchange rate.In this paper,assuming the relationship between the forward exchange rate and stock price index,we construct a new analytical model of the exchange rate.The model is tested empirically using data of five major developed countries relative to the US during the European debt crisis.We identify the main determinants of the exchange rates of these developed countries.

作者: SHUKUI LIAO BING CHENG

作者单位: Academy of Mathematics and Systems Science,University of Chinese Academy of Sciences

会议类型: 国际会议

会议名称: 2014 International Conference on Management and Engineering(CME 2014)(2014管理与工程国际会议)

会议地点: 上海

会议语种:英文

页码: 1-10

在线出版日期: 2014-05-24（万方平台首次上网日期，不代表论文的发表时间）