Author(s): Canelas, José Pedro Lourenço Prates
Date: 2014
Persistent ID: http://hdl.handle.net/10362/11689
Origin: Repositório Institucional da UNL
Subject(s): Exchange rates; Financial crisis; Carry trade; Lag relationship in returns; In-sample significance
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
This research focuses on the possible lag relationship among exchange rates. The period considered (2000-2013) comprises the Financial Crisis and therefore it was divided into two distinct periods: before and during the crisis. Before the crisis, the returns of Sweden and the Euro Zone seem to have impact on the British, Korean and Australian ones. During the crisis, there is evidence of the Euro and Sterling Pound influence on the Australian and New Zealand Dollar. Interestingly, the Swedish Krona is significant, in both periods, for the Korean Won, leading to deepen their common “technological profile” or the significance of major companies of both countries on Sweden’s returns. Carry trade is also presented as a possible justification for the Australian Dollar’s importance.
