Kan inflationsförändringar förutspå terminspremiens storlek? : En studie på den svenska marknaden under en rörlig växelkursregim
Abstract (Summary)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.
Source Type:Master's Thesis
Date of Publication:06/13/2005