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dc.contributor.author
KAKAMOUKAS, GEORGIOS
en
dc.date.accessioned
2016-05-06T09:33:20Z
dc.date.available
2016-05-07T00:00:13Z
dc.date.issued
2016-05-06
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/14502
dc.rights
Default License
dc.subject
Currency Prediction
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dc.subject
EURO v.s. US DOLLAR currency exchange rate
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dc.subject
Crude oil Price
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dc.subject
Gold Price
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dc.subject
Prediction Euro v.s. US Dollar Exchange rate affected by crude oil and gold price
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dc.title
Prediction Currency Exchange
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heal.type
masterThesis
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heal.secondaryTitle
Prediction Euro v.s. US Dollar Exchange rate affected by crude oil and gold price
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heal.creatorID.email
g.kakamoukas@ihu.edu.gr
heal.classification
Macroeconomics
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heal.classification
Finance
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heal.keywordURI.LCSH
Foreign exchange rates
heal.keywordURI.LCSH
Foreign exchange
heal.keywordURI.LCSH
Petroleum products--Prices
heal.keywordURI.LCSH
Petroleum industry and trade--Econometric models
heal.keywordURI.LCSH
Gold--Analysis
heal.language
en
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heal.access
free
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heal.license
http://creativecommons.org/licenses/by-nc/4.0
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heal.references
Amano, Robert A., and Simon van Norden ( 1995) . Terms of Trade and Real Exchange Rates: The Canadian Evidence, Journal of International Money and Finance , v.14, no.1 ,83 - 104 Athukorala Prema - Chandra (2006), Post - crisis export performance: The Indonesian experience in regional perspective, Bulletin of Indonesian Economic Studies, 42:2, 177 - 211 Baker, S. A. and Van Tassel R. C. (1985), “Forecasting the Price of Gold: A Fundamentalist Approach”, Atlantic Economic Journal , Vol. 13, 43 - 51 Baur, D. G. and Lucey, B. M. (2010), “Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold”, T he Financial Review , Vol. 45, 217 - 229 Baur, D. G. and MacDermott T. K. (2010), “Is Gold a Safe Haven? International Evidence”, Journal of Banking and Finance , Vol. 34, 1886 - 1898 Bénassy - Quéré, A., Mignon, V., Penot, A., (2005). China and the relationship between the oil price and the dollar. CEPII Working Paper Brooks, C. (2008), Introductory Econometrics for Finance , New York: Cambridge University Press. Bruno, Michael, and Jeffrey Sachs, (1985). Economics of Worldwide Stagflation, Harvard University Pres s: Cambridge Massachusetts Burbidge, J., and A. Harrison (1984). Testing for the Effects of Oil - Price Rises Using Vector Autoregressions, International Economic Review , 25 , 459 - 484 Capie, F., Mills, T. C. and Wood, G. (2005), “Gold as a Hedge Against the D ollar”, Journal of International Financial Markets , Institutions and Money , Vol. 15, 343 - 352 Cunado J., and de Gracia (2003), Do Oil Price Shocks Matter? Evidence from Some European Countries, Energy Economics , 25, 137 - 154 71 Cunado, J. and de Gracia ( 2005). Oil Prices, Economic Activity and Inflation: Evidence for Some Asian Countries”, The Quarterly Review of Economics and Finance, 45 , 65 - 83 Darby, M. R. (1982). The Price of Oil and World Inflation and Recession, American Economic Review , 72 , 738 - 751 Dooley, M. P., Isard, P. and Taylor, M. P. (1995), “Exchange Rates, Country - Specific Shocks, and Gold”, Applied Financial Economics , Vol. 5, 121 - 129 Duttagupta Rupa and Spilimbergo Antonio (2004), What Happened to Asian Exports During the Crisis?, IMF Staf f Papers, Vol. 51, No. 1 Engle R.F., Granger C.W.J., (1987), “ Co - Integration and Error Correction: Representation, Estimation and Testing ”, Econometrica, Vol. 55, No 2, 251 - 276 Federer, P. (1996). Oil Price Volatility and the Macroeconomy, Journal of Macro economics , 18,1 - 26 Frenkel, J.A., (1976), "A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence", Scandinavian Journal of Economics, vol. 78, σελ . 200 - 224 Gisser, M., and Goodwin T. (1986). Crude Oil and the Macroeconomy: Test s of Some Popular Notions, Journal of Money, Credit and Banking, 18 , 95 - 103 Granger C.W.J., (1969), “ Investigating Causal Relation by Econometric Models and Cross - Spectral Methods ”, Econometrica, Vol. 37, No 3, 424 - 438 Granger C.W.J., (1988), “ Some Recent Developments in a Concept of a Causality ”, Journal of Econometrics, Vol. 39, 199 - 211 Granger, C.W.J. & Newbold, P. (1974) "Spurious regressions in econometrics" Journal of Econometrics , 2, pp. 111 - 120 Hamilton, J. (1983). Oil and the Macroeconomy Since Wor ld War II, Journal of Political Economy , 91 , 228 - 248 72 Hooker, M. (1996). What happened to the oil price - macroeconomy relationship, Journal of Monetary Economics , 38 , 195 - 213 Kolasa Marcin, Rubaszek Michał, Taglioni Daria (2010), Firms in the great global re cession: The role of foreign ownership and financial dependence, National Bank of Poland, Working Paper No. 77 Koutsoyiannis, A. (1983), “A Short - run Pricing Model for a Speculative Asset, Tested with Data from the Gold Bullion Market”, Applied Economics , Vol. 15, No. 5, 563 - 581 Lee, K., S. Ni & R.A. Ratti (1995). Oil and the Macroeconomy: The Role of Price Variability, The Energy Journal , 16 - 4 , 39 - 56 Levin, E. J. and Wright, R. E. (2006), “Short - Run and Long - Run Determinants of the Price of Gold”, World Gold Council, Research Study No. 32 Meese, R.A., and K. Rogoff (1983), "Empirical Exchange Rate Models of the Seventies: Do they fit our Sample?", Journal of International Economics, vol. 14, σελ . 3 - 24 Miguel, C. de, B. Manzano, and J. M. Martín - Moreno ( 2003). “Oil Price Shocks and Aggregate Fluctuations,” The Energy Journal 24(2): 47 - 61 Mork, K. (1989). Oil Shocks and the Macroeconomy when Prices Go Upand Down: An Extension of Hamilton’s Results, Journal of Political Economy , 97 , 740 - 744 Mussa, Michael. 1 976. The exchange rate, the balance of payments, and monetary and fiscal policy under a regime of controlled floating. Scandinavian Journal of Economics 78 (May): 229 - 48 Perron, P. (1989), “The great crash, the oil price shock, and the unit root hypothesis ”, Econometrica, 57, pp.1361 - 1401 73 Sari, R., Hammoudeh, S. and Soytas, U. (2010), “Dynamics of Oil Price, Precious Metal Prices, and Exchange Rate”, Energy Economics , Vol. 32, 351 - 362 Sjaastad, L. A. and Scacciavillani F. (1996), “The Price of Gold and the Exchange Rate”, Journal of International Money and Finance , Vol. 15, No. 6, 879 - 897 Tully, E. and Lucey, B. M. (2007), “A Power GARCH Examination of the Gold Market”, Research in International Business and Finance , Vol. 21, 316 - 325 Wang K. M., Lee Y. M . and Nguyen Thi T. B. (2011), “Time and Place where Gold acts as an Inflation Hedge: An Application of Long - Run and Short - Run Threshold Model”, Economic Modelling , Vol. 28, 806 - 819 Καρφάκης Κωνσταντίνος (2008), Διεθνείς Νομισματικές Σχέσεις: ΘΕΩΡΙΑ ΚΑΙ ΠΡ ΑΚΤΙΚΗ, Εκδόσεις GUTENBERG, Αθήνα Krugman P. - Wells R. (2009), Μακροοικονομική, Επίκεντρο, Θεσσαλονίκη Τσαγκαράκη Ελευθερία (2010), Διεθνές Εμπόριο και Συναλλαγματική Ισοτιμία. Η περίπτωση της Ευρωζώνης, Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στη Δι οίκηση Επιχειρήσεων, Κατεύθυνση Χρηματοοικονομικής Διοίκησης, Πανεπιστήμιο Μακεδονία, Θεσσαλονίκη Χρήστου, Γ. (2007), Εισαγωγή στην Οικονομετρία, Αθήνα: Gutenberg http :// www . ase . gr http :// www . nyse . com http :// www . nasdaq . com
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heal.recordProvider
School of Science and Technology, MSc in Information & Communication Technology Systems
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heal.publicationDate
2016-02-02
heal.abstract
Since the mid-twentieth century, oil is one of the key indicators of global economic activity, because of the overriding importance of the supply of world energy requirements. Despite the emergence of alternative forms of energy (such as wind and solar), oil remains the main source of energy. Therefore, it is assumed as one of the major factors that regulate the proper function of the global economy. It is a strategic product especially for large countries, which seek to ensure the smooth flow. The price of oil, like the price of all commodities, is shaped by the forces of supply and demand while it is influenced by a multitude of geopolitical and other factors. The fluctuation in oil prices affect the economic and social life, so it is one of the issues that concern all citizens and many researchers who study the effects that oil prices in the sizes of macroeconomics. The precious yellow metal, gold, the last decades is for investors a safe investment "retreat" for their funds, since there is a common perception that yields operate compensation compared to inflation, the depreciation of the dollar exchange rate, stock index returns and other investment assets especially in times of economic crisis and political unrest. The relationship between macroeconomic variables, gold price and oil price fluctuations has been extensively analyzed in the literature, especially during the last three decades. Many researchers have concluded that there is either a negative or a positive correlation between the increases in oil and gold prices and the economy. Fluctuations in gold and oil prices, as it is proved by the analysis affect the aggregates that interest rates, inflation, the exchange rate and the growth rate of the Eurozone.
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heal.tableOfContents
Table of Contents Abstract ................................................................................................................................ 3 Introduction .......................................................................................................................... 6 Chapter 1 ............................................................................................................................. 7 1. Introduction to Stock Exchange Market .............................................................. 7 1.1. Reasons for their Creation ............................................................................ 8 1.2. The Importance and their Role ..................................................................... 9 2. Introduction to the Exchange Rate ..................................................................... 10 3. The Impact of Oil Prices on the Macroeconomic Indexes .............................. 12 4. The Impact of Gold Prices ................................................................................... 15 4.1. The Impact of Gold Prices on the US Dollar ............................................. 15 4.2. The Impact of Gold Prices on the Exchange Rate .................................. 16 4.3. The Impact of Gold Prices on the Stock Exchange Markets .................. 16 4.4. The Impact of Gold Prices on the Price of Crude Oil .............................. 16 Chapter 2 ........................................................................................................................... 17 1. Factors which Affect the Currency Exchange Rates ....................................... 17 Chapter 3 ........................................................................................................................... 21 1. Data Research and Methodology ....................................................................... 21 1.1. Data ................................................................................................................. 21 1.2. Methodology .................................................................................................. 23 2. Empirical Results and Economic Interpretation from the Investigation of Oil Prices and the Exchange Rate ................................................................................... 24 2.1. Introduction .................................................................................................... 24 1.2. Checking the Initial Regression, Factor Assay and Correlation Coefficient .................................................................................................................. 24 1.3. Diagnostics Model ........................................................................................ 26 1.4. Unit Root Test................................................................................................ 28 1.5. Integration Testing ........................................................................................ 38 1.6. Error Correction Model ................................................................................. 43 1.7. Checking the Granger Causality ................................................................ 46 5 2. Empirical Investigation of Ganger Causality Between Exchange Rate Euro/USD and Gold Prices ......................................................................................... 48 2.1. The Results of the Tests for Granger Causality ........................................... 49 3. Empirical Analysis of the Impact from the Gold and Oil Prices on the Exchange Rate of Euro/Dollar .................................................................................... 53 3.3. GARCH Model ............................................................................................... 55 3.4. TGARCH Model ............................................................................................ 55 3.5. EGARCH Model ............................................................................................ 56 3.6. Data Analysis ................................................................................................. 56 3.7. Presentation of Results ................................................................................ 57 Conclusions ....................................................................................................................... 69 Bibliography ....................................................................................................................... 70 Annex .................................................................................................................................. 74
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heal.advisorName
PETROUNIAS, ILIAS
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heal.committeeMemberName
VLAHAVAS, IOANNIS
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heal.committeeMemberName
BERBERIDIS, CHRISTOS
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heal.academicPublisher
IHU
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heal.academicPublisherID
ihu
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heal.numberOfPages
76
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heal.spatialCoverage
Europe
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heal.spatialCoverage
USA
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heal.temporalCoverage
FROM 1-1-2001 UNTIL 31-12-2007
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