Please use this identifier to cite or link to this item:
Author: Athanasiadou, Maria
Αθανασιάδου, Μαρία
Title: Periodically collapsing bubbles in exchange rates
Date Issued: 2016
Department: Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στην Οικονομική Επιστήμη
Supervisor: Pantelidis, Theologos
Παντελίδης, Θεολόγος
Abstract: Nowadays, it is an undeniable fact that forecasting exchange rates are of great interest to all participants in international financial markets. Despite the efforts of many economists to examine and explain the phenomenon of the financial bubble, its identification seems to be very difficult. The objective of this paper is to examine the existence, duration, and size of financial bubbles in three exchange rate markets by using various two-state switching regime models. More in detail, we use these models to describe the dynamics in three exchange rates. These currencies are the British Pound/US Dollar, Canadian Dollar /US Dollar and the Japanese Yen/US Dollar. Moreover, we test the predictive ability of our models to detect unusual positive or negative movements in these exchange rates. Given that our findings provide evidence supporting the existence of financial bubbles in the exchange rate markets, in most cases, our regime-switching models seem to predict extreme market movements.
Keywords: Financial bubbles
Foreign exchange
Regime switching
Information: Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2016.
Appears in Collections:ΔΠΜΣ Οικονομική Επιστήμη (M)

Files in This Item:
File Description SizeFormat 
AthanasiadouMariaMsc2016.pdf1.14 MBAdobe PDFView/Open
AthanasiadouMariaMsc2016_extra.pdf1.4 MBAdobe PDFView/Open

Items in Psepheda are protected by copyright, with all rights reserved, unless otherwise indicated.