Long Swings in Exchange Rates
Are They Really in the Data
Bibliographic Data
| ID | 19417583 |
|---|---|
| Authors | Franc Klaassen (0000-0002-9869-1924, University of Amsterdam, corresponding author) |
| Year | 2005 |
| Volume | 23 |
| Issue | 1 |
| Pages | 87-95 |
| Publication date | 2005-01-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/073500104000000505 |
| OpenAlex | W1891638383 |
| Language | EN |
| Citations received | 2 |
| References cited | 26 |
Several authors have reported evidence of long swings in U.S. dollar exchange rates by rejecting the random walk in favor of a Markov regime-switching model. We show that this evidence is not robust to an extension of the sample period. One should, however, not conclude that long swings are thus absent, because the tests may have insufficient power. A possible reason for this is the low data frequency, because existing tests are based on quarterly data, and we find that the power can be increased substantially by raising the data frequency. Indeed, weekly data reject the random walk, so we conclude that long swings are in the data. This conclusion is supported by significant superiority of regime switching over random walk out-of-sample forecasts of the direction of change
Econometrics · Economics · Exchange rate · Liberian dollar · Markov chain · Monetary economics · Random walk · Statistics · Us dollar · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact · Finance
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| Citations per year | 0.14 |
|---|---|
| Citation span | 2012 - 2018 (7) |
| Highly cited | No |