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.

Analysis, Prices and rates, Foreign exchange, Foreign exchange rates, Foreign exchange market

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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.

Research, Stochastic analysis, Interest rates

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