Essays in international finance
On 16 September 2021 Olav Syrstad will hold two trial lectures and on Friday 17 September he will defend his thesis for the Dr. Philos. degree at NHH.
Prescribed topics for the trial lectures:
1: Implementing monetary policy with large balance sheets – the role of money
2: Important interest rate instruments in the Norwegian money and bond markets and how these are influenced by foreign impulses
Zoom videokonferanse / Aud N, NHH, 16 September 2021
First trial lecture starts 13:15
Second trial lecture starts 15:15
Title of the thesis:
«Essays in international finance»
The dissertation consists of six articles on relevant topics in international finance.
Covered Interest Parity (CIP) states that there should not be any difference in the cost (return) of borrowing (investing) after covering the exchange rate risk. CIP is regarded as one of the most reliable arbitrage conditions in international finance. In the aftermath of the financial crisis (2008-2009) seemingly large deviations from CIP have appeared. The first four articles of the thesis study various aspects of CIP in the post-crisis period.
In the first article (with Dagfinn Rime and Andreas Schrimpf), Olav Syrstad shows that only banks of high credit quality and corresponding low funding costs can take advantage of the CIP deviation in short-term money markets. In the second article (with Ganesh Wiswanath-Natraj), he studies the price setting in the market for covering exchange rate risk and find that the prices responds to higher demand for U.S. dollar when funding heterogeneity is high and when banks report their balance sheets to regulatory authorities.
The third article (with Ragnar Juelsrud, Artashes Karapetyan, Filippo Ippolito and Jose Luis-Peydro) studies potential effects of CIP deviations on the real economy. The candidate shows that Norwegian banks with low funding costs in U.S. dollar exploited deviations from CIP by lending more to firms in 2011 and 2012. In the fourth article, he finds that it is difficult to exploit deviations from CIP in long-dated bonds to earn risk-free profit.
Following the LIBOR scandal where some traders were convicted for manipulating this important benchmark rate, the authorities push for a transition to alternative rates less prone to manipulation.
In the fifth article (with Sven Klingler) Syrstad assesses the new benchmark rates set to replace the current benchmarks (IBOR) used as reference in loan and derivative markets.
Finally, in the sixth article (with Gisle James Natvik and Dagfinn Rime) Syrstad studies the practice by some central banks in publishing a path for the key policy rate. He shows that this practice indeed do not increase market participants’ ability to project short-term interest rates.
Defense 17 September:
16:15 Aud N (NHH) og Zoom
Members of the evaluation committee:
Professor Jan Tore Klovland (leader of the committee), Department of Economics, NHH
Professor Tommy Sveen, BI Norwegian Business School
Professor Marcelle Chauvet, University California Riverside
The trial lectures and thesis defence will be open to the public.