Posted: September 13th, 2017

International Banking and Finance

Paper, Order, or Assignment Requirements

In theory, the foreign exchange (FX) market is considered a perfect market where we can expect the law of one price to hold. As we know, the law of one price provides the theoretical basis for all international parity conditions. International parity conditions can be used to understand the operational behaviour of the FX market. Thus, in a perfect market there will be no possibility of abnormal profit on arbitrage or speculation. The aim of this group assignment is to give you an opportunity to empirically investigate the existence of some of those parity conditions.
Collect historical daily FX data for the following currencies for the period: 04/01/2011 to 02/01/2015. Data is to be collected from http://www.rba.gov.au. For tasks 1 to 5 you will need to use all of the FX data collected. Please note that you are not required to present these data in your written assignment.
US Dollar (USD)·
United Kingdom (GBP)·
Chinese Yuan (RMB)·
Canada (CAD)· South Africa (ZAR) ·
Malaysia (MYR)·