Testing for the uncovered interest parity hypothesis in South Africa

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dc.contributor.authorMachobani, Dennis
dc.date.accessioned2016-12-05T07:58:23Z
dc.date.available2016-12-05T07:58:23Z
dc.date.issued2016
dc.descriptionResearch Report: BUSA7167 (MM Finance and Investment Management). Submitted in Partial Fulfillment of the Requirements for the (Master of Management in Finance and Investments). Submitted on 06th June 2016en_ZA
dc.description.abstractThe findings of the research have implications on the efficiency of the South African exchange rate market, and by extension, the efficiency of similar emerging foreign exchange markets. The study used Ordinary Least Square Approach and Johansen cointegration. Despite their theoretical appeal, and in line with a dozen of related past literature, the findings of the research generally favour the rejection UIP, PPP and IFE. The findings have implications on some regulatory measures that can be undertaken by the financial authority to improve the efficiency of the foreign exchange market. While there have been extensive studies on uncovered interest parity (UIP), purchasing power parity(PPP), and the international Fisher effect(IFE), research has scarcely tested these hypotheses in the context of emerging markets. This study attempts to bridge the existing gap by testing the three related parity condition for South Africa.en_ZA
dc.description.librarianMT2016en_ZA
dc.format.extentOnline resource (vii, 60 leaves)
dc.identifier.citationMachobani, Dennis (2016) Testing for the uncovered interest parity hypothesis in South Africa, University of the Witwatersrand, <http://wiredspace.wits.ac.za/handle/10539/21494>
dc.identifier.urihttp://hdl.handle.net/10539/21494
dc.language.isoenen_ZA
dc.subject.lcshForeign exchange rates--Mathematical models
dc.subject.lcshInterest rates--Mathematical models
dc.subject.lcshPurchasing power parity--Mathematical models
dc.titleTesting for the uncovered interest parity hypothesis in South Africaen_ZA
dc.typeThesisen_ZA
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