Η κρίση του 2007-2009 και οι επιπτώσεις στη αγορά συναλλάγματος
View/
Keywords
Οικονομική κρίση ; Κρίση 2007-2009 ; Συναλλαγματικές ισοτιμίες ; Μονεταριστικό μοντέλο ; Value – at – Risk (VaR) ; Αιτιότητα ; 2007-2009 crisis ; Exchange rate ; Monetary model ; Granger causalityAbstract
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.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική και Τραπεζική ΔιοικητικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
128Language
Greek
Except where otherwise noted, this item's license is described as
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές