Switzerland as a Safe Haven: Does the Foreign News Matter?
| Název práce v češtině: | Switzerland as a Safe Haven: Does the Foreign News Matter? |
|---|---|
| Název v anglickém jazyce: | Switzerland as a Safe Haven: Does the Foreign News Matter? |
| Klíčová slova: | Švýcarský frank, finanční zprávy, devizový kurz, FOREX, ARMA-GARCH |
| Klíčová slova anglicky: | Swiss franc, financial news, exchange rate, FOREX, ARMA-GARCH |
| Akademický rok vypsání: | 2013/2014 |
| Typ práce: | bakalářská práce |
| Jazyk práce: | angličtina |
| Ústav: | Institut ekonomických studií (23-IES) |
| Vedoucí / školitel: | Mgr. Iuliia Brushko, M.A., Ph.D. |
| Řešitel: | skrytý - zadáno vedoucím/školitelem |
| Datum přihlášení: | 08.06.2014 |
| Datum zadání: | 08.06.2014 |
| Datum a čas obhajoby: | 17.06.2015 08:00 |
| Místo konání obhajoby: | IES |
| Datum odevzdání elektronické podoby: | 15.05.2015 |
| Datum proběhlé obhajoby: | 17.06.2015 |
| Oponenti: | Arshad Hayat, M.Sc., Ph.D. |
| Kontrola URKUND: | |
| Předběžná náplň práce v anglickém jazyce |
| Due to its stability Swiss Franc is commonly used as a safe haven currency among many investors. Therefore in times of decreased performance of economy or even crisis, it may be exposed to economic pressure which could lead to a significant appreciation as the investors may seek Swiss Franc based assets in order to avoid risk. The overall performance of economy can be approximated by the indicators as CPI, unemployment rate etc., which are periodically reported by the central banks and other institutions in the form of financial news. The purpose of this thesis is to examine the relationship between this kind of news and the Swiss Franc exchange rate volatility.
In order to reach the goal, I will describe the forex market and the hypothetical behavior of the investors and traders after the news are released. I will also go through the major macro indicators and I will select those which should significantly affect the Swiss Franc exchange rate. In the last part of the thesis I will use an econometric model to evaluate the impact of the mentioned news on the exchange rate. In particular I will focus on the following questions: Can the appreciation or depreciation be forecasted by the foreign news? Does the expectations play any role? Can a linear relationship between the Swiss Franc exchange rate change and certain news be established? Outline: 1) Introduction 2) Selecting crucial for forex market news 3) Description of the model and the data 7) Empirical analysis 8) Description of the results 9) Conclusion References Rosenberg, M. Exchange Rate Determination: Models and Strategies for Exchange Rate Forecasting. McGraw-Hill Companies, 2003. Print. Stein, J.L. and P.R. Allen. Fundamental determinants of exchange rates. Clarendon Press, 1995. Print. Wooldridge, J. Introductory Econometrics: A Modern Approach. Cengage Learning, 2008. Print. Greene, W.H. Econometric Analysis. Pearson, 2012. Print. The Pearson series in economics. Armstrong, J.S. Principles of Forecasting: A Handbook for Researchers and Practitioners. Springer, 2001. Print. Hyndman, J.R. and G. Athanasopoulos. Forecasting: principles and practice. OTexts, 2013. Print. Castren, O., Ch. Osbat, and Sydow M. “What drives investors’ behaviour in different FX market segments”. Web. Fama, E.F. “Effcient Capital Markets: A Review of Theory and Empirical Work”. Web. Grisse, Ch. and T. Nitschka. “On fnancial risk and the safe haven characteristics of Swiss franc exchange rates”. Web. Jaggia, S. “Forecasting with ARMA Models”. Web. Reynard, S. “What Drives the Swiss Franc?” Web. |