Understanding and Exploiting commodity currencies : A Study using time series Regression ; Att förstå och utnyttja råvaruvalutor : En statistisk analys baserat på tidsserieregression
This thesis within Industrial Economics and Applied Mathematics examines the term commodity currency. The thesis delves into analysing the characteristics and consequences of such a currency through a macroeconomic perspective while discussing previous studies within the matter. The applied mathematical statistics section audits the correlation between the currency and the commodities of the exporting country through a time series regression. The regression is based on the currency as the dependent variable and the commodities represent the covariates. Furthermore, a trading strategy is develo... Mehr ...
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Dokumenttyp: | Student thesis |
Erscheinungsdatum: | 2017 |
Verlag/Hrsg.: |
KTH
Matematisk statistik |
Schlagwörter: | Commodity currencies / regression analysis / time series regression / Dutch disease and trading strategy / Computational Mathematics / Beräkningsmatematik |
Sprache: | Englisch |
Permalink: | https://search.fid-benelux.de/Record/base-27414978 |
Datenquelle: | BASE; Originalkatalog |
Powered By: | BASE |
Link(s) : | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-210167 |
This thesis within Industrial Economics and Applied Mathematics examines the term commodity currency. The thesis delves into analysing the characteristics and consequences of such a currency through a macroeconomic perspective while discussing previous studies within the matter. The applied mathematical statistics section audits the correlation between the currency and the commodities of the exporting country through a time series regression. The regression is based on the currency as the dependent variable and the commodities represent the covariates. Furthermore, a trading strategy is developed to see if a profit can be made on the foreign exchange market when looking at the commodity price movements. ; Det här kandidatexamensarbetet är skrivet inom industriell ekonomi och tillämpad matematik och granskar termen råvaruvaluta (commodity currency). Uppsatsen analyserar, utifrån ett makroekonomiskt perspektiv, karaktärsdragen och konsekvenserna av en sådan valuta, samtidigt som den diskuterar tidigare studier inom ämnet. Delen inom tillämpad matematik undersöker korrelationen mellan valutan och råvarorna som landet exporterar genom en tidsserieregression. Regressionen är baserad på valutan som responsvariabel samtidigt som råvarorna representerar kovariaterna. Den färdiga modellen används sedan i en handelsstrategi som försöker förutspå växelkursens rörelser genom att titta på råvarornas rörelser.