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dc.contributor.authorUtne, Benedicte Fossaa
dc.contributor.authorHøyem, Louise Samdahl
dc.date.accessioned2021-10-27T11:32:15Z
dc.date.available2021-10-27T11:32:15Z
dc.date.issued2021
dc.identifier.urihttps://hdl.handle.net/11250/2825995
dc.descriptionMasteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2021en_US
dc.description.abstractThis paper investigates the relationship between the EURNOK spot exchange rate, macroeconomic factors, and order flow. We consider an error correction model framework using almost 16 years of data. At a weekly frequency, we establish a link between the EURNOK depreciation rate and changes in the 3–month interest rate di↵erential between Norway and the Euro area, the Brent Crude Oil price, and volatility in the financial market. Our findings confirm that di↵erent end–user order flows are empirically important drivers of movements in the exchange rate and convey additional information. The results are stable across subsamples, and in an out–of–sample fit exercise, we present evidence that the hybrid model outperforms the random walk benchmark.en_US
dc.language.isoengen_US
dc.publisherHandelshøyskolen BIen_US
dc.subjectfinanceen_US
dc.subjectfinansen_US
dc.titleA hybrid approach to exchange rate dynamics: How do macro variables and order flow affect the Norwegian Krone?en_US
dc.typeMaster thesisen_US


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