Question
Can you show me how to do this question? I can't fit the full data sheet onto here as it is too long but can
Can you show me how to do this question? I can't fit the full data sheet onto here as it is too long but can you show me the working out of how to do this question on Excel, thank you!
On Thursday, June 23, 2016, electorate in the United Kingdom and Gibraltar voted in the referendum on whether to Remain or Leave the European Union. Voting started at 0700 BST and finished at 2200 BST. The final result was announced at 0720 BST, June 24, 2016. We will take a look at the exchange rate movements during this period. Sheet Part IIIA includes daily data in 2016 (Jan 1 Dec 30) covering the spot, overnight (ON) and one-week forward rates for GBP-USD pair. Sheet Part IIB includes the daily LIBOR rates for GBP and USD in per annum terms (the day count per year for GBP and USD are 365 and 360 days respectively)2.
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Find the rate of change of the spot rate St: et+1 = St+1/St. Plot the time-series of et+1. Report the mean, standard deviation, max and min of e. Find out the dates for the max, min. (15 marks)
Overnight Interest Rates | % per annum | |
GBP (365 day count) | USD (360 day count) | |
01/01/2016 | 0,44563 | 0,2745 |
04/01/2016 | 0,47813 | 0,3658 |
05/01/2016 | 0,4775 | 0,365 |
06/01/2016 | 0,4775 | 0,3661 |
07/01/2016 | 0,4775 | 0,3651 |
08/01/2016 | 0,4775 | 0,3662 |
11/01/2016 | 0,4775 | 0,3661 |
12/01/2016 | 0,4775 | 0,3661 |
13/01/2016 | 0,47813 | 0,3663 |
14/01/2016 | 0,47875 | 0,3661 |
15/01/2016 | 0,48 | 0,3661 |
18/01/2016 | 0,48125 | |
19/01/2016 | 0,48125 | 0,366 |
20/01/2016 | 0,48063 | 0,3655 |
21/01/2016 | 0,48063 | 0,3658 |
22/01/2016 | 0,48125 | 0,3659 |
25/01/2016 | 0,48063 | 0,366 |
26/01/2016 | 0,48063 | 0,3657 |
27/01/2016 | 0,48063 | 0,3659 |
28/01/2016 | 0,48063 | 0,3684 |
29/01/2016 | 0,47813 | 0,3674 |
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