Η κρίση του 2007-2009 και οι επιπτώσεις στη αγορά συναλλάγματος
KeywordsΟικονομική κρίση ; Κρίση 2007-2009 ; Συναλλαγματικές ισοτιμίες ; Μονεταριστικό μοντέλο ; Value – at – Risk (VaR) ; Αιτιότητα ; 2007-2009 crisis ; Exchange rate ; Monetary model ; Granger causality
This master thesis was completed within the postgraduate program in banking and financial management. Thesis objective is the theoretical and empirical analysis of the relationship of the impact of the crisis 2007-2009 to exchange market. The research method is based on creating a dummy variable for the crisis as independent variable and taking into account other factors that affect the exchange rate, and derive from the monetary model of exchange rate – money supply, manufacturing growth, interest rates, inflation and unemployment. We applied modern techniques of econometrics of unit root, OLS, DOLS, VAR and Granger causality. We evaluated the short-term causality via var models. The conclusions drawn from these tests is that the previous values of the crisis, affect the current exchange rate, which means that a banking crisis precedes a change of the currency that may could lead to a currency crisis. There is no causality in the exchange rate with the crisis. A crisis can affect the exchange rate, but the opposite is not the case, a change in the exchange rate to cause a banking crisis. The crisis in the beginning leads to increased exchange rates, but very quickly found that immediately comes a sharp devaluation.