search query: @author Gucht, L. van de / total: 3
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| Author: | Gucht, L. van de Dekimpe, M. Kwok, C. |
| Title: | Persistence in foreign exchange rates |
| Journal: | Journal of International Money and Finance
1996 : APR, VOL. 15:2, p. 191-220 |
| Index terms: | FINANCE MONEY INTERNATIONAL |
| Language: | eng |
| Abstract: | This study examines the long-run behavior of seven daily nominal exchange rates using univariate and multivariate persistence measures. The results indicate that for some currencies, the long-run behavior deviates from that of a pure random walk in certain periods. The multivariate estimates reflect the effect of both the EMS Exchange Rate Mechanism and increased post-Louvre Accord coordinated intervention. The stochastic properties of nominal foreign exchange rates have been the subject of much research interest. |
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