The role of macroeconomic factors and commodity markets in Foreign Exchange prediction

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Type and Duration

Preproposal PhD-Thesis, since September 2018

Coordinator

Chair in Finance

Main Research

Wealth Management

Field of Research

Behavioural Finance

Description

The foreign exchange market is the largest and the most liquid financial market in the world. According to the Bank for International Settlements, the trading volume of the foreign exchange market amounts to $ 5.1 trillion per day as of April 2016. Foreign exchange rates have a strong impact on the business environment. The fluctuations on the currency market may expose business activities to risk directly, i.e. when the company operates in various countries, or indirectly, i.e. when the demand for a company's products and services is strongly related to the level of exchange rates. Furthermore, the impact of FX rates fluctuations and FX prediction on portfolio management is undeniable. Since the main idea of portfolio diversification is to limit possible losses through investments in various assets on domestic or international markets, currency risk management is crucial to ensure stable performance of portfolios and an adequate level of risk.

The objective of this PhD thesis is to investigate the impact of macroeconomic factors and commodity markets on the FX prediction for emerging and developed markets. A successful study should provide evidence of significant importance of these factors for FX prediction and a set of trading strategies will be developed based on the results.

Keywords

FX trading, FX prediction