Crash risk in commodities and currencies
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Keywords
Commodities ; Currencies ; Crash riskAbstract
In this thesis, the impact of various economic and political factors, such as the Conflict Risk Index, Gross Domestic Product (GDP), Consumer Price Index (CPI), and Economic Policy Uncertainty (EPU), on the returns of commodities (gold, silver, crude oil, and natural gas) and exchange rates (EUR/USD, GBP/USD, and JPY/USD) is investigated. Initially, the weekly conflict risk is identified through the NSCKEW (Negative Semi-Conditional Skewness) for both commodities and currencies over the period from January 2006 to December 2023. In our analysis, stationarity tests are conducted for the independent variables, and the presence of endogeneity is examined, with the final stage involving a linear analysis to assess the statistical significance of their impact on returns. Finally, based on the results, we conclude what financial markets, investors, portfolio managers, central banks, and monetary authorities should do.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με ειδίκευση στη Χρηματοοικονομική και Τραπεζική ΔιοικητικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
73Language
English
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα