Publicação
Eur/Usd exchange rate – can it be explained?
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Silva, André de Castro | |
| dc.contributor.author | Fernandes, Cláudia Granjo | |
| dc.date.accessioned | 2017-12-04T11:21:17Z | |
| dc.date.available | 2018-01-20T01:30:26Z | |
| dc.date.issued | 2017-01-20 | |
| dc.description.abstract | This paper estimates a present-value model suggested by Engel, Mark and West (2007) applied to the EUR/USD exchange rate for the period from 01/1999 to 12/2015. We present evidence that contrary to what expected, the variable output differential showed a negative impact on the EUR/USD exchange rate. Another interesting finding is the fact that when the sample is restricted to the period of European sovereign-debt crisis, explanatory variables have no longer statistical significance. In addition, in order to validate the performance of the model, we develop a VAR model to analyse the importance of the selected explanatory variables in the model to forecast EUR/USD exchange rate, as suggested by Meese and Rogoff (1982). | pt_PT |
| dc.identifier.tid | 201716771 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/26125 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Eur/usd exchange rate | pt_PT |
| dc.subject | Present-value model | pt_PT |
| dc.subject | Var-model | pt_PT |
| dc.subject | Forecasting power | pt_PT |
| dc.title | Eur/Usd exchange rate – can it be explained? | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | embargoedAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | pt_PT |