Thesis supervisor: Zoltán Schepp
Location of studies (in Hungarian): PTE KTK Rákóczi u. 80 Abbreviation of location of studies: KTK
Description of the research topic:
Forecasting foreign exchange rates is a really tough job, especially on shorter than one year horizon. To the same time there is an increasing evidence that term structure information might help not just by in the sample fitting but also in out of sample forecast of Forex rates (see papers from Darvas and Schepp between 2006 és 2009). Ont he other hand forward looking hyphothesis test based on market polls produced better results for the last decade than for the quarter before. So there might be an opportunity to use fixed income poll data from Reuters or from Consensus Economics by forecasting exchange rates based on the interlink between the forex and the fixed income markets described by the papers from Darvas-Rappai-Schepp [2006]. References:
• Darvas, Zs., Rappai, G., Schepp, Z. (2006): Uncovering Yield Parity: A New Insight into the UIP Puzzle through the Stationarity of Long Maturity Forward Rates. Working paper 98-2006. De Nederlandsche Bank.
• Darvas, Zs., Schepp Z. (2007): Forecasting exchange rates of major currencies with long maturity forward rates. Tanszéki Tanulmányok 2007/5. Budapesti Corvinus Egyetem, Matematika Közgazdaságtan és Gazdaságelemzés Tanszék. 1-49.o.
• Darvas, Zs., Schepp, Z. (2009): Long maturity forward rates of major currencies are stationary. Applied Economics Letters, 16. 1175-1181.o.
Required language skills: English Recommended language skills (in Hungarian): German (but not necessery!) Further requirements: Major on Economics or Finance, vocation, loadability
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