THE RELATIONSHIP BETWEEN CURRENCY SWAP POINTS AND SPREADS OF INTERBANK RATESACCORDING TO THEORY OF INTEREST RATE PARITY

  • เปรมวดี เตชะพงศ์ประเสริฐ
  • นงนภัส แก้วพลอย
  • ธนโชติ บุญวรโชติ
Keywords: swap points, spreads of interbank rates, interest rate parity

Abstract

The objectives of this study are to study a relationship between currency swap points and spreads of interbank rates of Thailand against the rates of 3 countries (Euro Zone, Japan, US) in terms of

- Are there any cointegration relationships between the swap points and the spreads of interbank ratesfor each country against Thailand?

- Do the relationships comply with the theory of interest rate parityaccordingly?

The periods of data cover from January 2007 to April 2017. 

From the studying results canbe summarized that

- There are cointegration relationships between the swap points and the spreadsof interbank rates of Thailand against the rates of 3 countries and those 3 relationships are in the same directions.

- However, the relationships comply with the theory of interest rate parity accordingly except the pair of Thailand and Euro.

Published
2017-09-17
Section
Engineering and Technology Articles

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