This work analyses the effect of the carry trade factor, statistically derived from a comprehensive basket of currencies, on currencies in various heuristically defined global risk appetite regimes. Findings of a heightened (lessened) impact of this factor for Emerging/Commodity (Developed/European) currencies in the presence of high risk are presented. The risk appetite process is additionally analysed by modelling it as a Markov-switching model, providing evidence of three inherent regimes, with properties roughly consistent with findings in the literature.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uct/oai:localhost:11427/30991 |
| Date | 28 January 2020 |
| Creators | Smit, Steven |
| Contributors | Pienaar, Etienne, Polakow, Daniel |
| Publisher | Faculty of Science, Department of Statistical Sciences |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Master Thesis, Masters, MSc |
| Format | application/pdf |
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