Title: Persistence in foreign exchange rates
Authors: Van de Gucht, Linda ×
Dekimpe, Marnik
Kwok, CCY #
Issue Date: 1996
Series Title: Journal of International Money and Finance vol:15 issue:2 (Apr.) pages:191-220
Abstract: This study examines the long-run behavior of 7 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. A large portion of the effect of a shock in one currency on another currency's long-run value can be attributed to contemporaneous effects on the other currencies
ISSN: 0261-5606
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center Finance, Leuven
Research Centre for Marketing and Consumer Science, Leuven
× corresponding author
# (joint) last author

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