sh.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • harvard-anglia-ruskin-university
  • apa-old-doi-prefix.csl
  • sodertorns-hogskola-harvard.csl
  • sodertorns-hogskola-oxford.csl
  • 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
Kan inflationsförändringar förutspå terminspremiens storlek?: En studie på den svenska marknaden under en rörlig växelkursregim
Södertörn University College, School of Business Studies.
Södertörn University College, School of Business Studies.
2005 (Swedish)Independent thesis Advanced level (degree of Magister), 10 points / 15 hpStudent thesis
Abstract [sv]

Uppsatsen behandlar frågan huruvida det existerar något samband mellan storleken på terminspremien och inflationsförändringar i Sverige. Genom hypotesprövning för perioden 1992-12-31 t.o.m. 2001-12-31, undersöks därigenom hur föregående perioders inflation påverkar terminspremien mellan den svenska tremånaders- och ettåriga statsskuldväxeln. I uppsatsen konstrueras två modeller utifrån förväntningshypotesen och Fishereffekten, som ska visa huruvida ett samband existerar. För den undersökta perioden nås slutsatsen, att modellerna inte kan påvisa att ett samband mellan terminspremiens storlek och inflationsförändringar i Sverige existerar. I den ena modellen råder dock viss autokorrelation, vilket innebär att resultaten från denna måste tolkas med viss försiktighet

Abstract [en]

This thesis examines whether changes in Swedish inflation rates can predict the term premium between the Swedish three month- and twelve month treasury bill. By using time series data for the period 1992-12-31 to 2001-12-31 the null hypothesis that changes in inflation rates cannot predict the term premium is tested by two regression models. The regression models are constructed by using the expectation hypothesis (EH) and the Fisher effect. For the chosen period this thesis concludes that there is no correlation between changes in Swedish inflation rates and the term premium. Therefore it can be confirmed that the changes in Swedish inflation rates cannot predict the term premium. Because of autocorrelation results from one of the models must be interpreted with caution.

Place, publisher, year, edition, pages
Huddinge: Institutionen för ekonomi och företagande , 2005. , p. 36
Keywords [en]
Business studies
Keywords [sv]
Företagsekonomi, Terminspremie, Inflationsförändring, Förväntningshypotes, Fishereffekt, Statsskuldväxlar
National Category
Business Administration
Identifiers
URN: urn:nbn:se:sh:diva-166OAI: oai:DiVA.org:sh-166DiVA, id: diva2:15763
Uppsok
samhälle/juridik
Supervisors
Examiners
Available from: 2005-06-13 Created: 2005-06-13

Open Access in DiVA

fulltext(136 kB)839 downloads
File information
File name FULLTEXT01.pdfFile size 136 kBChecksum SHA-1
f7b2100c023300f7fc967635de20d1e3e442069815ea2ebb43701502b8afa98f72c40551
Type fulltextMimetype application/pdf

By organisation
School of Business Studies
Business Administration

Search outside of DiVA

GoogleGoogle Scholar
Total: 839 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 565 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • harvard-anglia-ruskin-university
  • apa-old-doi-prefix.csl
  • sodertorns-hogskola-harvard.csl
  • sodertorns-hogskola-oxford.csl
  • 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