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http://hdl.handle.net/10071/10298
acessibilidade
Title: Foreign exchange speculation with FX futures due to changes in key interest rates after the financial crisis of 2007/2008
Authors: Schöffel, Martin Heinrich
Orientador: Laureano, Luís
Keywords: Foreign exchange
Futures
Key interest rates
Financial crisis
Issue Date: 2014
Citation: SCHÖFFEL, Martin Heinrich - Foreign exchange speculation with FX futures due to changes in key interest rates after the financial crisis of 2007/2008 [Em linha]. Lisboa: ISCTE-IUL, 2014. Dissertação de mestrado. [Consult. Dia Mês Ano] Disponível em www:<http://hdl.handle.net/10071/10298>.
Abstract: The purpose of this Master Project is to determine if speculators could have made systematic profits from trading FX futures due to changes in key interest rates after the Financial Crisis of 2007/ 2008. Therefore, this paper will first investigate the effects of key interest rate changes by central banks on the respective foreign exchange rates in general, according to standard economic theory. Subsequently, the key interest rate policies of the Federal Reserve System, the European Central Bank, the Bank of England, the Bank of Japan and the Swiss National Bank between 9th August, 2007, and 11th July, 2012, will be discussed. Afterwards, this thesis will examine possible profits gained during the period in question by trading FX futures and thereby taking advantage of expected exchange rate fluctuations. As a conclusion, possible interrelations between changes in key interest rates and the returns on foreign exchange speculation by trading the respective FX futures will be analysed.
O objectivo deste projecto de mestrado consiste em determinar se os especuladores teriam conseguido atingir lucros sistemáticos através da transacção de FX futures devido a mudanças nas taxas de juros após a crise financeira de 2007-2008. Assim este paper vai investigar primeiro os efeitos das principais mudanças nas taxas de juro pelos bancos centrais na respectiva taxa de câmbio segundo a normativa teoria económica. Subsequentemente, as principais políticas de taxa de juro do sistema da Reserva Federal, do Banco Central Europeu, Banco de Inglaterra, Banco do Japão e Banco Nacional Suíço entre 9 de Agosto de 2007 e 11 de Julho de 2012. Depois esta tese vai estudar os possíveis ganhos durante o período em questão através de FX futures e quais as oportunidades através das expectáveis flutuações nas taxas de câmbio. Como conclusão possiveis interrelações entre as taxas de juro e os retornos da expeculação sobre as taxas de câmbio através da troca de FX futures irão ser analisadas.
Description: Master in Finance / JEL classification codes Financial Crises G01; Other Economic Systems: Public Economics; Financial Economics P43
Peer reviewed: Sim
URI: http://hdl.handle.net/10071/10298
Thesis identifier: 201029057
Appears in Collections:T&D-DM - Dissertações de mestrado

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