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Author: Θεοχαρίδης, Γεώργιος
Theocharidis, Georgios
Title: Is the Norwegian Krone exchange rate a commodity currency?
Date Issued: 2013
Department: Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στη Διοίκηση Επιχειρήσεων
Supervisor: Καρφάκης, Κωνσταντίνος
Karfakis, Constantinos
Abstract: This study examines the validity of the view that Norway Krone is a commodity currency. Norway has a primary commodity (oil) that constitutes the majority of exports. We describe models where Norwegian krone (NOK) to US dollar (US$) exchange rate is measured against the Brent oil price. We found that exchange rates, nominal and real are cointegrated with the Brent oil price. The long-run relationship seems to be robust. Moreover, the fact that the elasticity of Brent oil price is statistically significant confirms that Norwegian krone is a commodity currency or a petrocurrency according to literature studies. A Vector Error Correction Model analysis also identifies that oil price will affect the exchange rate. Through the latter, we can now see how VECM ties short-run dynamics to long-run relations via the error correction term
Keywords: Norwegian Krone
Information: Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2013.
Appears in Collections:ΔΠΜΣ Διοίκηση Επιχειρήσεων (M)

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