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dc.contributor.author
Pateros, Emmanouil
en
dc.date.accessioned
2015-06-12T12:08:49Z
dc.date.available
2015-09-27T05:57:14Z
dc.date.issued
2015-06-12
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/291
dc.rights
Default License
dc.title
Exchange Rate Fluctuations Forecasting
en
heal.type
masterThesis
heal.language
en
heal.access
free
el
heal.license
http://creativecommons.org/licenses/by-nc/4.0
heal.recordProvider
School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
heal.publicationDate
2010
heal.bibliographicCitation
Pateros Emmanouil , 2010, Exchange Rate Fluctuations Forecasting, Master's Dissertation, International Hellenic University
en
heal.abstract
Exchange rates uctuate due to the continuous changes in supply and demand for di erent currencies. Also important factors that determine the value of a currency are the GDP growth, the in ation, and the output growth of a country. Consequently forecasting exchange rates is important not only for a pro table FX trading strategy but also for macroeconomic reasons. Exchange rates contain information about the in ation, the level of income (population purchasing power), and the output growth of a speci c set of countries. There are two broad methods for determining future exchange rates, called \fundamental analysis" and \nonstructural analysis". Fundamental analysis is based in solid economic theories about growth, interest rates etc, hence it is a theoretical way of trying to predict future exchange rate movements. Nonstructural analysis is not based in economic theories, but instead uses the information hidden in the past values in order to make predictions for the future. Hence nonstructural analysis simply uses advanced statistics in order to predict the movements of exchange rates. Some of these models are the vector autoregression models, the various Markov models,the non-parametric models etc. However, an overview of the research suggests that while some successful predictions are possible, no one type of analysis can yield accurate forecasts for di erent currencies for long horizons. In this work structural (Purchasing Power Parity, Interest Rate Parity) and non- structural models were applied to study three very important exchange rates, euro, pound sterling, and yen versus the US dollar. Our work shows that Stochastic pro- cesses seem to outperform the other analysis models (Vector Auto-Regression pro- cess) during relatively long intervals (1 year). For time horizons (of the order of a month) VAR modelling can give more accurate results. A combination of both fundamental analysis and nonstructural analysis is more e ective for analyzing exchange rates time-series data.
en
heal.tableOfContents
1 Purchasing Power Parity 1 2 Interest rate parity 4 3 Deviations from Purchasing Power Parity Theory 6 4 Nonstructural Models implemented 22 5 Presentation of time-series Data 26 6 Description of the VAR model applied 40 7 Geometric Brownian Stochastic Model 50 8 Summary 65 9 References 66 10 Appendix 68 2
en
heal.advisorName
Chalamandaris, George
en
heal.committeeMemberName
Chalamandaris
en
heal.committeeMemberName
Leventis
en
heal.committeeMemberName
Levis
en
heal.academicPublisher
School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
en
heal.academicPublisherID
ihu
heal.numberOfPages
80
heal.fullTextAvailability
true


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