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https://doi.org/10.21256/zhaw-29530| Publication type: | Master thesis |
| Title: | Purchasing power parity and FX rates since the financial crises |
| Authors: | Schöttli, Vanessa |
| Advisors / Reviewers: | Seiberlich, Ruben |
| DOI: | 10.21256/zhaw-29530 |
| Extent: | 54 |
| Issue Date: | 2023 |
| Publisher / Ed. Institution: | ZHAW Zürcher Hochschule für Angewandte Wissenschaften |
| Publisher / Ed. Institution: | Winterthur |
| Language: | English |
| Subjects: | Purchasing power parity; Exchange rate; Financial crisis; Nominal exchange rate; Real exchange rate; Mean reversion; Dickey-Fuller test; Switzerland; Germany; Brazil; Zambia; HBS effect |
| Subject (DDC): | 332: Financial economics |
| Abstract: | This master's thesis examines the behavior of purchasing power parity (PPP) and exchange rates in the period following the financial crisis. The study focuses on three currency pairs: CHF/EUR, CHF/BRL, and CHF/ZMW. The analysis begins by comparing the nominal exchange rates with the corresponding PPP rates for each currency pair. The movements of the real exchange rates are then observed. To further investigate the behavior of the real exchange rates, a mean reversion test is conducted. The logarithmic returns of the real exchange rates are utilized in this test, and the Dickey-Fuller test is applied using the Python program. The results of the Augmented Dickey-Fuller test provide evidence for rejecting the null hypothesis, suggesting that the real exchange rates of each currency pair are mean reverting. The findings of this thesis contribute to the understanding of how real exchange rates behaved toward PPP in the post-financial crisis period. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/29530 |
| License (according to publishing contract): | CC BY-NC-ND 4.0: Attribution - Non commercial - No derivatives 4.0 International |
| Departement: | School of Management and Law |
| Appears in collections: | MSc Banking and Finance |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 2023_Schoettli_Vanessa_MSc_BF.pdf | 1.36 MB | Adobe PDF |  View/Open |
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Schöttli, V. (2023). Purchasing power parity and FX rates since the financial crises [Master’s thesis, ZHAW Zürcher Hochschule für Angewandte Wissenschaften]. https://doi.org/10.21256/zhaw-29530
Schöttli, V. (2023) Purchasing power parity and FX rates since the financial crises. Master’s thesis. ZHAW Zürcher Hochschule für Angewandte Wissenschaften. Available at: https://doi.org/10.21256/zhaw-29530.
V. Schöttli, “Purchasing power parity and FX rates since the financial crises,” Master’s thesis, ZHAW Zürcher Hochschule für Angewandte Wissenschaften, Winterthur, 2023. doi: 10.21256/zhaw-29530.
SCHÖTTLI, Vanessa, 2023. Purchasing power parity and FX rates since the financial crises. Master’s thesis. Winterthur: ZHAW Zürcher Hochschule für Angewandte Wissenschaften
Schöttli, Vanessa. 2023. “Purchasing Power Parity and FX Rates since the Financial Crises.” Master’s thesis, Winterthur: ZHAW Zürcher Hochschule für Angewandte Wissenschaften. https://doi.org/10.21256/zhaw-29530.
Schöttli, Vanessa. Purchasing Power Parity and FX Rates since the Financial Crises. ZHAW Zürcher Hochschule für Angewandte Wissenschaften, 2023, https://doi.org/10.21256/zhaw-29530.
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