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What does the yield curve tell us about the exchange rate predictability in Norway?

Kurti, Shpresa; Vasstrand, Malene Hagen
Master thesis
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MSc0772016.pdf (6.595Mb)
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http://hdl.handle.net/11250/2444447
Utgivelsesdato
2016
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  • Master of Science [1116]
Sammendrag
This research paper examines if information of the term structure of interest rates can predict

exchange rate movements in Norway. We look at the Norwegian kroner relative to the US dollar

from a period of August 2001 until February 2014. We construct two models were we use the

Nelson-Siegel factors as proxies for exchange rate risk premium to answer our research

question. Our results suggest that the slope factor is the most valuable factor when predicting

the exchange rates.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Economics - Handelshøyskolen BI, 2016
Utgiver
BI Norwegian Business School

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