Essays on International Currency Markets
dizertační práce (OBHÁJENO)
Zobrazit/ otevřít
Trvalý odkaz
http://hdl.handle.net/20.500.11956/16928Identifikátory
SIS: 175933
Kolekce
- Kvalifikační práce [17123]
Autor
Vedoucí práce
Oponent práce
Orlowski, Lucjan
Kutan, Ali M.
Fakulta / součást
Fakulta sociálních věd
Obor
Ekonomie
Katedra / ústav / klinika
CERGE
Datum obhajoby
20. 6. 2008
Nakladatel
Univerzita Karlova, Fakulta sociálních vědJazyk
Angličtina
Známka
Prospěl/a
1 ABSTRACT Essays on International Currency Markets By Tigran Poghosyan This dissertation consists of three essays on foreign exchange risks in international financial markets and financial integration in the new EU member countries. The first essay focuses on the determinants of foreign exchange risks in post-transition economies. Using a unique dataset on foreign and domestic currency denominated deposit rates in Armenia, we estimate excess returns on foreign exchange operations, which are free from the impact of country risk and transaction costs. The calculated excess returns are largely positive (existence of the premium for risk) and exhibit substantial variation over time. The two-currency interdependent factor affine term structure model captures the time- variability of the risk premium and predicts that the Central Bank interventions in the foreign exchange market and ratio of volumes of foreign and domestic currency denominated deposits (proxy for external shocks) are important explanatory variables driving the premium. The GARCH-in-Mean approach supports the previous conclusion and suggests that the Central Bank interventions (policy factor) are significant for the premium on the short horizon, while deposit ratios (fundamental factor) are more influential on the long horizon. It was also found...
1 ABSTRACT Essays on International Currency Markets By Tigran Poghosyan This dissertation consists of three essays on foreign exchange risks in international financial markets and financial integration in the new EU member countries. The first essay focuses on the determinants of foreign exchange risks in post-transition economies. Using a unique dataset on foreign and domestic currency denominated deposit rates in Armenia, we estimate excess returns on foreign exchange operations, which are free from the impact of country risk and transaction costs. The calculated excess returns are largely positive (existence of the premium for risk) and exhibit substantial variation over time. The two-currency interdependent factor affine term structure model captures the time- variability of the risk premium and predicts that the Central Bank interventions in the foreign exchange market and ratio of volumes of foreign and domestic currency denominated deposits (proxy for external shocks) are important explanatory variables driving the premium. The GARCH-in-Mean approach supports the previous conclusion and suggests that the Central Bank interventions (policy factor) are significant for the premium on the short horizon, while deposit ratios (fundamental factor) are more influential on the long horizon. It was also found...