A simple test of momentum in foreign exchange markets
This study proposes a new method for testing for the presence of momentum in nominal exchange rates, using a probabilistic approach. We illustrate our methodology estimating a binary response model using information on local currency / US dollar exchange rates of eight emerging economies. After cont...
- Autores:
- Tipo de recurso:
- Fecha de publicación:
- 2011
- Institución:
- Universidad del Rosario
- Repositorio:
- Repositorio EdocUR - U. Rosario
- Idioma:
- eng
- OAI Identifier:
- oai:repository.urosario.edu.co:10336/10984
- Acceso en línea:
- https://doi.org/10.48713/10336_10984
http://repository.urosario.edu.co/handle/10336/10984
- Palabra clave:
- Economía financiera
Momentum
Foreign exchange markets
Hazard duration analysis
Emerging economies
Cambio exterior::Modelos Econométricos
Mercado monetario
Política monetaria
Economía internacional
- Rights
- License
- http://purl.org/coar/access_right/c_abf2
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A simple test of momentum in foreign exchange marketsEconomía financieraMomentumForeign exchange marketsHazard duration analysisEmerging economiesCambio exterior::Modelos EconométricosMercado monetarioPolítica monetariaEconomía internacionalThis study proposes a new method for testing for the presence of momentum in nominal exchange rates, using a probabilistic approach. We illustrate our methodology estimating a binary response model using information on local currency / US dollar exchange rates of eight emerging economies. After controlling for important variables a§ecting the behavior of exchange rates in the short-run, we show evidence of exchange rate inertia; in other words, we Önd that exchange rate momentum is a common feature in this group of emerging economies, and thus foreign exchange traders participating in these markets are able to make excess returns by following technical analysis strategies. We Önd that the presence of momentum is asymmetric, being stronger in moments of currency depreciation than of appreciation. This behavior may be associated with central bank interventionUniversidad del RosarioFacultad de Economía2011-032015-10-06T15:22:05Zinfo:eu-repo/semantics/workingPaperhttp://purl.org/coar/resource_type/c_804215 páginasRecurso electrónicoapplication/pdfDocumentohttps://doi.org/10.48713/10336_10984 Universidad del Rosario, Facultad de Economíahttp://repository.urosario.edu.co/handle/10336/10984instname:Universidad del Rosarioinstname:Universidad del Rosarioreponame:Repositorio Institucional EdocURenghttps://ideas.repec.org/p/col/000092/008170.htmlhttp://purl.org/coar/access_right/c_abf2García Suaza, Andrés FelipeGómez González, Juan Eduardooai:repository.urosario.edu.co:10336/109842021-06-03T00:46:37Z |
dc.title.none.fl_str_mv |
A simple test of momentum in foreign exchange markets |
title |
A simple test of momentum in foreign exchange markets |
spellingShingle |
A simple test of momentum in foreign exchange markets Economía financiera Momentum Foreign exchange markets Hazard duration analysis Emerging economies Cambio exterior::Modelos Econométricos Mercado monetario Política monetaria Economía internacional |
title_short |
A simple test of momentum in foreign exchange markets |
title_full |
A simple test of momentum in foreign exchange markets |
title_fullStr |
A simple test of momentum in foreign exchange markets |
title_full_unstemmed |
A simple test of momentum in foreign exchange markets |
title_sort |
A simple test of momentum in foreign exchange markets |
dc.subject.none.fl_str_mv |
Economía financiera Momentum Foreign exchange markets Hazard duration analysis Emerging economies Cambio exterior::Modelos Econométricos Mercado monetario Política monetaria Economía internacional |
topic |
Economía financiera Momentum Foreign exchange markets Hazard duration analysis Emerging economies Cambio exterior::Modelos Econométricos Mercado monetario Política monetaria Economía internacional |
description |
This study proposes a new method for testing for the presence of momentum in nominal exchange rates, using a probabilistic approach. We illustrate our methodology estimating a binary response model using information on local currency / US dollar exchange rates of eight emerging economies. After controlling for important variables a§ecting the behavior of exchange rates in the short-run, we show evidence of exchange rate inertia; in other words, we Önd that exchange rate momentum is a common feature in this group of emerging economies, and thus foreign exchange traders participating in these markets are able to make excess returns by following technical analysis strategies. We Önd that the presence of momentum is asymmetric, being stronger in moments of currency depreciation than of appreciation. This behavior may be associated with central bank intervention |
publishDate |
2011 |
dc.date.none.fl_str_mv |
2011-03 2015-10-06T15:22:05Z |
dc.type.none.fl_str_mv |
info:eu-repo/semantics/workingPaper |
dc.type.coar.fl_str_mv |
http://purl.org/coar/resource_type/c_8042 |
dc.identifier.none.fl_str_mv |
https://doi.org/10.48713/10336_10984 Universidad del Rosario, Facultad de Economía http://repository.urosario.edu.co/handle/10336/10984 |
url |
https://doi.org/10.48713/10336_10984 http://repository.urosario.edu.co/handle/10336/10984 |
identifier_str_mv |
Universidad del Rosario, Facultad de Economía |
dc.language.none.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
https://ideas.repec.org/p/col/000092/008170.html |
dc.rights.coar.fl_str_mv |
http://purl.org/coar/access_right/c_abf2 |
rights_invalid_str_mv |
http://purl.org/coar/access_right/c_abf2 |
dc.format.none.fl_str_mv |
15 páginas Recurso electrónico application/pdf Documento |
dc.publisher.none.fl_str_mv |
Universidad del Rosario Facultad de Economía |
publisher.none.fl_str_mv |
Universidad del Rosario Facultad de Economía |
dc.source.none.fl_str_mv |
instname:Universidad del Rosario instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR |
instname_str |
Universidad del Rosario |
institution |
Universidad del Rosario |
reponame_str |
Repositorio Institucional EdocUR |
collection |
Repositorio Institucional EdocUR |
repository.name.fl_str_mv |
|
repository.mail.fl_str_mv |
|
_version_ |
1803710391586390016 |