Decomposição de risco no mercado FOREX e recente evolução do euro

Abstract

At the present dissertation the evolution of Euro and its behaviour in the FOREX market are analysed, by testing the hypothesis of the European Central Bank (ECB) inducing pattern-behaviours between different currencies against Euro. For this purpose, the 5 most traded exchange rate currencies against Euro are selected, in a 10-year sampling timeframe, between December 2005 and December 2015, and the volatility levels and the existence of common behavioural patterns on those currencies against Euro are tested, through GARCH (1,1) and MGARCH models, respectively. As support to this study, a theoretical contextualization of the FOREX market is initially presented, along with the Financial Crisis and the European Monetary Policies. Follows the empirical analysis and the research question development, which evidence the same main findings pointed by the initial theoretical framework, namely the FOREX market volatility increases under the influence of the ECB monetary policies and, consequently, the increase of risk associated to Euro investments.

Date of Award	11 Jul 2016
Original language	Portuguese
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Carlos Manuel Ferreira dos Santos (Supervisor)