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The Study of the Risk of Several Major Exchange Rate on the Window of Suprime Crisis

Author: WuChao
Tutor: TianBoPing
School: Harbin Institute of Technology
Course: Probability Theory and Mathematical Statistics
Keywords: subprime crisis exchange rate S&P 500 index ARCH model cointegration Granger causality test
CLC: F831.52
Type: Master's thesis
Year: 2010
Downloads: 60
Quote: 0
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Abstract


2007 the U.S. subprime crisis broke out, And quickly evolved into the global financial crisis. In this background, we study the risk of the Pound-U.S. Dollar, Euro-U.S. Dollar and Japanese yen-U.S. Dollar exchange rate from March 29, 2006 to March 11, 2010 by time series analysis method. And we discussed the role of the subprime crisis in exchange risk.First, we describe four classical exchange theory, and described the theory and research methods of foreign exchange rate in recent years.Second, we analysis the logarithmic return rate of the Pound-U.S. Dollar, Euro-U.S. Dollar and Japanese yen-U.S. Dollar exchange rate by ARCH model. And through the comparative analysis of the mean, variance and other statistics, we obtained the conclusions of subprime crisis has a great impact on the exchange rate risk.At last, we found the structure breakpoints of the S & P 500 index and the pound-U.S. dollar exchange rate by the Quandt-Andrews breakpoint test, and then discuss the correlation of the S & P 500 index and the pound-U.S. dollar exchange rate by unit root test, cointegration test and Granger causality test. The conclusion is: there is much difference in various stages of subprime crisis.

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