Οι επιδράσεις των αγορών στις αποφάσεις νομισματικής πολιτικής
Market responses to monetary policy decisions
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Keywords
Νομισματική πολιτική ; Αγορά συναλλάγματοςAbstract
This Thesis examines the possible impact of monetary policy decisions of the US, Eurozone (19), Japanese and UK central banks on their domestic markets. The “de-cisions" will mainly deal with changes in central rates and money quantity, as these are the primary tool for monetary policy; the "market" will be restricted to the ex-change rate market, namely the return of the exchange rate of the domestic curren-cy, i.e. the 6 pairs containing the dollar ($), the euro (€), the yen (¥) and the pound (£), as the central banks are involved in the economy, mainly through the money market.
Further, and with the purpose of extending the above analysis, together with money market variables (interest rates and money quantity), the effect of additional macroe-conomic variables will be examined, since the quality of their changes may indirectly affect the foreign exchange market through central bank decisions or / and directly through the behaviour of investors in the foreign exchange market; these will be the domestic GDP growth rate, the Consumer Price Index and the domestic unemploy-ment rates.
The analysis reveals interesting conclusions characterized by substantial heteroge-neity. No variable seems to affect all exchange rate pairs, although each variable affects some of the pairs (as a single factor). The change of GDP seems to have no effect on any pair. On the other hand, no pair also appears to be affected by all vari-ables (multifactorial effect), although some combinations of variables can effectively explain the behaviour of the parity. Finally, the parity behaviour seems not to be ex-plained by the unexpected part of the information not included in the behaviour of the parity itself (autoregressive pattern) with the exception of the M1 Eurozone-UK change rates difference.
In conclusion, the study of monetary policy decisions based on change in the coun-try’s central bank interest rate and the amount of money, and secondarily of other variables, cannot explain the behaviour of all exchange rate pairs , but can lead to important conclusions in the analysis of the individual relations.Τhe value of such an analysis therefore arises when looking at individual variables over respective ex-change rates rather than by generalizing such a relationship.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική Ανάλυση για ΣτελέχηDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
256Language
Greek
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές