CEU Electronic Theses and Dissertations, 2024
| Author | Galambos, Lajos |
|---|---|
| Title | Hungarian Currency: Risk and Devaluation |
| Summary | This study provides a multifaceted analysis of the Hungarian currency with data from the last three decades and reflections on the recent shock on the exchange rate posed by Russia’s aggression against Ukraine. I investigate through the lenses of balance of payments, international economic concepts, and asset pricing models. Initially, the balance of payments framework was used to explore trends in Hungary's current and financial accounts, highlighting strategic economic shifts post-2010 that impacted the exchange rate too. Subsequently, various parity conditions were tested, revealing significant but incomplete relationships between the exchange rate and factors like interest rates and inflation. The final chapter employed an international asset pricing approach, using a model inspired by the Capital Asset Pricing Model (CAPM) to assess market risk and the risk premium from a US investor's perspective. The findings indicated a negative risk premium for Hungarian investments, underpinned by an event study on market disruptions upon Russia’s aggression against Ukraine. This comprehensive analysis offers valuable insights into the complexities of the Hungarian currency, providing a foundation for future research and investment decisions. |
| Supervisor | Danis, András |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2024/galambos_lajos.pdf |
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