Essays about: "Exchange rate volatility"

Showing result 6 - 10 of 80 essays containing the words Exchange rate volatility.

1. 6. The Sensitivity of Banks' Stock Returns to the interest rate risk and exchange rate risk: A Case Study of Germany and South Africa

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Priscilla Yayra Kpoti-Mayor; Rutendo Yvonne Musimwa; [2022]
   Keywords : Bank s Stock Returns Interest rate Exchange Rate Germany South Africa; Business and Economics;

   Abstract : The purpose of this paper is to interrogate the single and joint effect interest and exchange rate movements have on banks’ stock returns. This study also aims to compare the volatility of the banks’ stock returns for countries in different markets using both the short and long-term interest rate and the respective exchange rates. READ MORE

3. 7. Forecasting Exchange Rate Value-at-Risk and Expected Shortfall: A GARCH-EVT Approach

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Christoffer Titov; [2022]
   Keywords : GARCH; Extreme Value Theory; Value-at-Risk; Expected Shortfall; Exchange Rate Volatility; Business and Economics;

   Abstract : This thesis aims to investigate the accuracy of Value-at-Risk and Expected Shortfall forecasts of various GARCH-type models based on five currency exchange rate pairs. The GARCH models are employed under different conditional distributional assumptions, and extended using the two-stage Extreme Value Theory (EVT) approach of McNeil and Frey (2000). READ MORE

4. 8. Exchange Rate Risk and Forecasting

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Ian Wallgren; [2022]
   Keywords : Exchange rate risk; exchange rate forecasting; Autoregressive Integrated Moving Average ARIMA ; Uncovered Interest Rate Parity UIRP ; Business and Economics;

   Abstract : Since the collapse of the Bretton Woods system, the system of fixed exchange rates amongst principal industrial countries, in the early 1970s, a new era began, introducing the floating exchange rate regime. Since the inception of the floating rate regime, the general interest in forecasting exchange rate movements has grown considerably. READ MORE

5. 9. Cryptocurrencies, Remittances and Exchange Rates : A quantitative study on the rapid growth of crypto adoption in developing countries

   University essay from Uppsala universitet/Ekonomisk-historiska institutionen

   Author : Felix Fahlander; [2022]
   Keywords : Crypto adoption; Blockchain; Exchange rate volatility; Developing countries;

   Abstract : In this study, a total of nine regression models were performed with three different dependent variables, nine independent variables, in three different country groups, to find out the relationship between crypto adoption and remittances, monetary uncertainty and financial inclusion. The results show a statistically significant relationship between increased crypto adoption and historical exchange rate volatility in both high- and low-income countries. READ MORE

6. 10. Exchange rate determinations - A multiple linear regression analysis on the correlation between exchange rate, interest rate and inflation rate

   University essay from Göteborgs universitet/Företagsekonomiska institutionen

   Author : William Lönnegren; Robin Sälgfors; [2021-06-30]
   Keywords : Exchange rate; inflation; interest rate; multiple linear regression analysis.;

   Abstract : The exchange rate market is a financial market with very high volatility and unpredictability. Even though there does exist some key economic theories on what influences the exchange rate market, the high volatility makes predictions as hard as for any other financial market. READ MORE