PhD Economics

Our target is to objectively quantify important aspects of emerging economies ’ financial markets and deliver value adding actionable recommendations that can be used by a wide spectrum of end-users like academics, policy makers and real life investors. We create two quantitative models that capture the dynamics of global Emerging Market currencies and sovereign debt ratings. We build on the extensive literature on Emerging Market crises and introduce a number of methodological and conceptual innovations. A wide range of market stylized facts and practical and intuitive limitations dictate the way we progress with our research, from considering and selecting dependent and explanatory variables to the way we apply and interpret the model results. We first estimate a parsimonious panel specification that models and forecasts Emerging Market currency dynamics and produces trade signals for investing in one-month forward exchange rates. The second instrument models and forecasts credit ratings assigned b