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Determinants of forex market movements during the European sovereign debt crisis: The role of credit rating agencies.
Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
2012 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

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. Downgrade announcements by Standard & Poor’s as well as watch revisions by Fitch Ratings had a detrimental impact on the value of Euro, leading to a subsequent Euro depreciation over the period under consideration (January 2009 – April 2012).

Place, publisher, year, edition, pages
2012. , 42 p.
Keyword [en]
credit rating, sovereign debt crisis, euro depreciation, event study
National Category
URN: urn:nbn:se:hj:diva-18398OAI: diva2:532464
Subject / course
IHH, Economics
Social and Behavioural Science, Law
Available from: 2012-06-27 Created: 2012-06-11 Last updated: 2012-06-27Bibliographically approved

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Karpava, Marharyta
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JIBS, Economics, Finance and Statistics

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ReferencesLink to record
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