AUD/USD Covered Interest Parity (CIP) Model
This project evaluates whether the AUD/USD exchange rate follows Covered Interest Parity using a decade of macro-financial data from the US and Australia. The analysis constructs theoretical forward rates, compares them against market forwards, and quantifies deviations such as basis spreads, liquidity gaps, and funding stress.
Below is the full modelling workflow: data cleaning, FRED/OECD imports, yield-curve alignment, forward-rate construction, and evaluation of CIP deviations relative to market forwards.