Zmiany w globalnej awersji do ryzyka oraz ich wpływ na wartość polskiej walut
Global risk aversion and its impact on Polish currency
Author(s): Katarzyna CzechSubject(s): Economy, Financial Markets, Socio-Economic Research
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: global risk aversion; GFSI; foreign exchange market; Polish zloty;Granger causality test;
Summary/Abstract: The aim of the paper is to examine relationship between global risk aversion and value of the Polish currency. Article contains a literature review concerning global risk aversion measures. Paper is focused mainly on indicators which are based on options’ prices. Research are conducted for daily time series data of PLN/USD and PLN/EUR exchange rates, Global Financial Stress Index (GFSI) and 3–month 25-delta risk reversal volatility. Data cover the period for 2004 till 2015. The results of Granger causality test show no causality running from global risk aversion measured by GFSI to PLN/EUR and PLN/USD exchange rates.
Journal: Zarządzanie Finansami i Rachunkowość
- Issue Year: 4/2016
- Issue No: 3
- Page Range: 43-54
- Page Count: 12
- Language: Polish
