Persistence in foreign exchange rates
Article Abstract:
An examination of the long-run behavior of seven daily nominal exchange rates using univariate and multivariate persistence measures is presented. The results show that the long-run behavior deviates from that of a pure random walk in certain periods for some currencies. The multivariate estimates indicate the effect of the EMS Exchange Rate Mechanism and increased post-Louvre Accord coordinated intervention. Contemporaneous effects on other currencies account for most of the effect of a shock in one currency on another currency's long-run value.
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 1996
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Some international evidence on the stochastic behavior of interest rates
Article Abstract:
A study was conducted to examine the stochastic behavior of short-term interest rates in 11 countries. Eight stochastic models, which are nested within a discretized approximation to a differential equation, were used. Results show that no single model can be used to describe the stochastic structure of interest rates for all the countries concerned.
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 1995
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