Sökning: "Marharyta Karpava"

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1. 1. Determinants of forex market movements during the European sovereign debt crisis: The role of credit rating agencies.

   Master-uppsats, IHH, Economics, Finance and Statistics

   Författare :Marharyta Karpava; [2012]
   Nyckelord :credit rating; sovereign debt crisis; euro depreciation; event study;

   Sammanfattning : The purpose of this thesis is to identify key factors underlying exchange rate developments during the European sovereign debt crisis by examining the impact of credit rating news, published by the three leading credit rating agencies, on conditional returns and volatility of EUR/USD (direct quotation) exchange rate. Empirical results highlight the importance of interest rate differential and volatility index of options exchange in explaining EUR/USD exchange rate volatilities. LÄS MER