The Predictability of Exchange Rates
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Ingerslev, Maria Christina1, Forfatter
Bergman, Ulf Michael 2, Vejleder
1Økonomisk Institut, Det Samfundsvidenskabelige Fakultet, Københavns Universitet, København, Danmark, diskurs:7014              
2Det Samfundsvidenskabelige Fakultet, Københavns Universitet, København, Danmark, diskurs:7001              
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Ukontrollerede emneord: Exchange rates
 Abstract: This thesis examinates the phenomenon of stress. It investigates which role late modern society, according to the existential phenomenological theories of van Deurzen, Spinelli and Yalom, plays in this phenomenon, as well as how to explain stress from this perspctive. The growing prevalence of stress has given way to much debate and discussion. For this reason, there are also several ways in which this phenomenon is defined and researched which, according to Køppe (2008), has lead to ”theoretical emptiness.” The thesis attempts to avoid this ”emptiness” by focusing on the existential phenomenological perspective.
Three different theories of the subject are described, each with its own understanding of problematic phenomena such as stress. These are then used as tools to analyze the psychologists’ view of disorder. Additionally, these views will be analyzed by looking at several themes: Being, Freedom, Choice, Responsibility, Meaninglessness, Subjectiveness vs. Objectiveness, and Individuality vs. Connectedness. These themes have been described by existential and phenomological philosophers at the beginning of the 19th century, but are still relevant today, as well as useful means of understanding stress. Later, the thesis examines how late modern society is viewed by several sociologists, and which theories of the subject most commonly prevail. This is connected to the psychologists’ views on how society influences the individual’s experience of being. Finally, it is concluded that the psychologists’ place themselves between the humanistic and the liberal theories, and that stress therefore should be viewed as being affected by both inner and outer factors. However, the psychologists do not place themselves at the same place on this continuum. Still, they do all hold humanistic viewpoints, because society is viewed as radicalizing the existential phenomelogical themes, which can lead to discord. Therefore, this thesis offers a model which illustrates how society, through this radicalization, can lead toincreased vulnerability to stress. The more liberal viewpoints are used in the final section, which addresses the therapeutic methods that are useful in treating stress, as seen through this model.
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 Type: Speciale
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Sprog: English - eng
 Datoer: 2012-05-23
 Sider: -
 Publiceringsinfo: København : Københavns Universitet
 Indholdsfortegnelse: 1 Introduction 7
2 Foreign Exchange Rate Determination Theory 10
2.2 The Flexible Price Monetary Model 10
2.1 The Sticky Price Monetary Model . 14
2.1.1 The Dornbusch Model 14
2.1.2 Frankel’s Model: The Real Interest Rate Differential Model . 19
2.3 Summary of the Fundamental Exchange Rate Models 20
2.4 The Nordea Fair Value Model . 21
2.4.1 Estimation of the Nordea fair value model . 23
3 Empirical Method 24
3.1 Time Series Analysis . 24
3.2 The Johansen Procedure 25
3.2.1 Specifying the Vector Autoregressive Model . 25 From the VAR Model to the Vector Error-Correction Model . 26
3.2.2 Testing for Cointegration 28
3.2.3 Tests 30
3.3 Method to Forecast 33
3.4 Evaluation Criteria to Compare Forecasting Performance 34
3.4.1 Mean-Square-Error . 34
3.4.2 Direction of Change Statistic 36
4 Empirical Analysis . 37
4.1 Previous Literature . 37
4.2 Estimation of the Models . 39
4.2.1 Description of Data . 39
4.2.2 Theoretical Coefficients 40
4.2.3 Estimation of the Models 41 Sweden FPMM 42 Sweden SPMM Estimated coefficients 47 Eurozone FPMM Estimated Coefficients 49 Eurozone SPMM Estimated Coefficients 51
4.2.4 Summary of the estimated models 53
4.3 Forecasting and Evaluation of Forecasting Performance 54
4.3.1 Mean-Square-Error . 54
4.3.2 The Direction of Change Statistic . 57
4.3.3 Summary of the Empirical Analysis . 59
5 Discussion . 60
5.1 Testing the Long-Run Model . 61
5.1.1 Testing the FPMM for Sweden . 61
5.1.2 Testing the SPMM for Sweden . 63
5.1.3 Testing the FPMM for the Eurozone 64
5.1.4 Testing the SPMM for the Eurozone 66
5.2 Robustness Analysis . 68
5.2.1 Forecasting Based on an Average of the Fundamental Models’ Forecast 68
5.2.2 Forecasting Including Additional Cointegration Relations 69
5.2.3 Forecasting Excluding Short Run Dynamics 71
5.2.4 Forecasting in First Differences 72
5.2.5 Forecasting the Period from 2005 to 2007 73
5.2.6 Forecasting the Period From 2005 to 2011 . 75
5.2.7 Forecasting the SEK/EUR Exchange Rate . 76
5.2.8 Summary of the Robustness Analysis. 77
6 Conclusion . 78
7 References 81
Appendix A . 83
A1 The Price and Exchange Rate Evolution Paths 83
A2 Consistent Expectations . 84
Appendix B . 85
B1 Data for Sweden . 85
B2 Data for the Eurozone 87
B3 Data Sources . 89
B4 Sweden FPMM . 90
B5 Sweden SPMM . 90
B6 Eurozone FPMM 95
B7 Eurozone SPMM 96
Appendix C . 99
C1 FPMM Sweden: Test for Parameter Constancy . 99
C2 SPMM Sweden: Test for Parameter Constancy . 99
C3 FPMM Eurozone: Test for Parameter Constancy 100
C4 SPMM Eurozone: Test for Parameter Constancy 100
C5 Forecasting Based on an Average of the Forecasts 101
C6 Forecasting the Period from 2005 to 2011 . 102
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 Type: Speciale
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