The exchange rates of currencies of different countries show higher volatility than it could be explained by the volatility of the fundamental variables. There are introduced different models which try to describe the behavior of these exchange rates in this Diploma Thesis. Their comparison is made with respect to the ability to capture the volatility of the empirically observed data. The behavior of exchange rates may also be influenced by interventions of the state institutions and therefore we introduced models which allow the effect of such regulatory interventions. These models were applied on real data. The properties of the model predictions of exchange rates were compared and evaluated with respect to their ability to explain the volatility of the empirical data. At the summary of my work one of the models has been used to simulate the behavior of the exchange rate during the application of different intervention strategies of the Central Bank. Powered by TCPDF (www.tcpdf.org)
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:331732 |
| Date | January 2015 |
| Creators | Kubů, Jan |
| Contributors | Lachout, Petr, Branda, Martin |
| Source Sets | Czech ETDs |
| Language | Czech |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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