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dc.contributor.author
Vasilakis, Dimitrios
en
dc.date.accessioned
2015-07-04T13:04:51Z
dc.date.available
2015-09-27T06:05:19Z
dc.date.issued
2015-07-04
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/745
dc.rights
Default License
dc.title
Forward Rates Unbiasedness Hypothesis in The Foreign Exchange Rates Market
en
heal.type
masterThesis
heal.language
en
heal.access
free
el
heal.license
http://creativecommons.org/licenses/by-nc/4.0
el
heal.recordProvider
School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
el
heal.publicationDate
2014-12
heal.bibliographicCitation
Vasilakis Dimitrios, 2014, Forward Rates Unbiasedness Hypothesis in The Foreign Exchange Rates Market, Master’s Dissertation, International Hellenic University
en
heal.abstract
This dissertation was written as part of the MSc in Banking and Finance at the International Hellenic University. This dissertation was chosen as part of the author's great interest in foreign exchange rates and their ability to fluctuate over time based on economical, geopolitical, and many other different factors . At the same time there is great concern and research derived from this currency fluctuation among companies and individuals from all over the world as to how they could protect themselves by forecasting this fluctuation when it has to do with international payments or even how they could lock in a specific future exchange rate that they could use to make their future payments. All this currency exposure can be dealt with the use of forward exchange rates that have the ability to lock in a specific exchange rate in the future and minimize the risk of currency fluctuation . However , forward exchange rates typically differ from spot exchange rates so it raises the question of how these forward exchange rates are defined and moreover how safe would be for someone to use such kind of a derivative product that bears the extra cost of the transaction instead of just looking at the forward rate he is interested and ignore the currency fluctuation with the logic of forward rates predicting future spot exchange rates. If that was utterly true there would be no need of the derivative market to exist . So in today's world that tries to get out of the crisis and most daily trade transactions are international due to wide open international trade borders it seemed to the author that there is scope for more research in this matter of currency fluctuation and prediction as it has become one of the most critical parts of the game. In this section I would like to thank all people who contributed in this dissertation beginning from my supervisor , Dr Fragiskos Archontakis who was always willing to help and instruct me accordingly . Furthermore I would like to thank Professor George Dotsis for giving the inspiration and motivation to cope with the matter of forward exchange rates and their relation with future spot exchange rates. Finally I would like to apologize to all my work associates and friends who were unable to contact me during weekends for the last three months roughly.
en
heal.tableOfContents
ABSTRACT III PREFACE V CONTENTS VII INTRODUCTION 1 1. EXCHANGE RATE DETERMINATION 3 1.1 PURCHASING POWER PARITY 3 1.2 MONETARY MODEL OF EXCHANGE RATE DETERMINATION 4 1.3 FOREIGN EXCHANGE MARKET EQUILIBRIUM OR INTEREST RATE PARITY 4 1.4 COVERED INTEREST RATE PARITY AND FORWARD RATES 5 2. THEORETICAL BACKGROUND AND LITERATURE REVIEW 7 3.METHODOLOGY 10 3.1 INTEREST RATES AND SUBSAMPLES 10 3.2 MODEL CHOOSING - FRUH 11 3.3 MAIN STATISTICAL TESTS - FRUH 13 4. EMPIRICAL PART - RESULTS 16 4.1 INTEREST RATES - SUBSAMPLES 16 4.3 REGRESSION - DIAGNOSTIC TESTS - RESULTS 19 4.3.1 Diagnostic Tests 19 4.4 OLS AND UNIT ROOTS RESULTS 21 5. CONCLUSIONS 28 BIBLIOGRAPHY 30 APPENDIX 34
en
heal.advisorName
Archontakis, Fragiskos
en
heal.committeeMemberName
Archontakis, Fragkiskos
en
heal.committeeMemberName
Nomikos
en
heal.committeeMemberName
Grose
en
heal.academicPublisher
School of Economics and Business Administration, Msc in Banking and Finance
en
heal.academicPublisherID
ihu
heal.numberOfPages
11
heal.fullTextAvailability
false


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