Currency fundamentals, implied volatility, and fx investment strategies as nok determinants
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- Master of Science 
We study which factors determine the Norwegian krone at the weekly frequency. We show the existence of a relation between the EURNOK depreciation rate and changes in oil prices, implied volatility indices, and the excess returns on carry trade and value FX investment strategies. In particular, our findings suggest that the Norwegian krone is exposed to global risks proxied by the implied volatility indices and carry trade factor, is not exposed to the momentum factor, and has a risk discount as proxied by the value factor.
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2019