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The random-walk behavior of the Euro exchange rate

Chortareas, Georgios E and Jiang, Ying and Nankervis, John C (2011) 'The random-walk behavior of the Euro exchange rate.' Finance Research Letters, 8 (3). pp. 158-162. ISSN 1544-6123

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Abstract

We use Generalized Andrews–Ploberger (GAP) tests to examine the random-walk behavior of 17 OECD countries’ euro exchange rates at daily frequencies. The GAP tests reject the hypothesis of random-walk behavior less often than do traditional tests. Moreover, the random-walk hypothesis cannot be rejected for the euro’s exchange rate against most of the major currencies. We also use the generalized Box–Pierce tests to produce evidence that corroborates the above findings. Finally, and in contrast to the traditional tests, the GAP tests produce results that are consistent during the great moderation and the recent global financial crisis periods.

Item Type: Article
Uncontrolled Keywords: Euro exchange rates; Random walks; Generalized Andrews–Ploberger test; Generalized Box–Pierce test
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Essex Business School
Depositing User: Jim Jamieson
Date Deposited: 18 Dec 2012 15:00
Last Modified: 18 Dec 2012 15:00
URI: http://repository.essex.ac.uk/id/eprint/4786

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