Nonlinear dynamics in foreign exchange excess returns: Tests of asymmetry

Emekter, Riza; Jirasakuldech, Benjamas; Snaith, Sean M.

doi:10.1016/j.mulfin.2008.11.001

Cited by 4 publications

(1 citation statement)

References 48 publications

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“…The results indicated that currency returns might exhibit asymmetries and statistically significant higher-order moments. Such asymmetries are also found in [9] for the case of Singaporean dollar (SUD) and South African rand (SAR).…”

Section: Literature Reviewmentioning

confidence: 80%

Statistical Characteristics of Jakarta Composite Index (JCI) Dynamics based on Short Term Data Represented in Candles

Adam¹,

Gubu²,

Cahyono³

2014

IJEFM

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This paper presents the dynamics of Jakarta Composite Index (JCI) where the data were observed daily from January 2008 to October 2012. The data are presented in candle forms, as often used in online trading software. Statistical analysis on the average and the variance is applied on every month candle representations. The average and the standard deviation may vary on each candle, meaning that they depend on time. The average that depends on time indicates a trend of the dynamics. On the other hand, the average and the standard deviation yield the so-called probability density function (pdf) which depends on time called temporal-pdf (t-pdf). The trend and the probability of the dynamics of JCI are implicitly represented in the t-pdf. The t-pdf of the dynamics of JCI is the main concern of this paper. Understanding the t-pdf will help investors deal with the dynamics of JCI.

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Section: Literature Reviewmentioning

confidence: 80%

Statistical Characteristics of Jakarta Composite Index (JCI) Dynamics based on Short Term Data Represented in Candles

Adam¹,

Gubu²,

Cahyono³

2014

IJEFM

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Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies?

Wali¹,

Chan²,

Manzur

2017

Journal of Asian Economics

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Exchange Rate Volatility Before and After the Float

Wali

Manzur

2013

World Economy

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INTRODUCTIONE XCHANGE rates have been notoriously volatile since switch to floating rates by major currencies in the early 1970s (Manzur, 2003;Manzur and Chan, 2010). Higher exchange rate volatility means increased uncertainty for international business, which can be enormously costly. To cope with this, economic managers have been constantly looking for alternative arrangements. The best example of a potential solution is the European Union whose member countries revoked use of their national currencies and adopted a single currency (the euro). A number of emerging economies have struggled with variants of managed exchanged rate regimes. Smaller countries like Panama and Ecuador have gone for dollarisation, and other high-inflation countries like Mexico and Argentina are viewed as likely candidates for this option. Consequently, the issue of exchange rate volatility is of great concern for policymakers and business.How volatile have real exchange rates been since a return to floating by the major currencies? In this paper, we provide a descriptive analysis of the broad features of major exchange rates since the early 1970s, and compare these with those of the 1960s. Also included is an analysis of whether these features are manifested in real interest rates and commodity prices. Our purpose here is to describe the features rather than to explain them. A descriptive historical study is useful in abstracting a global picture corroborating the stylised facts that are fundamental to understanding the behaviour of exchange rates. Our results have implications for several unresolved issues in exchange rate modelling, such as asymmetric exchange rate dependence (see, for example, Patton, 2006), financial risk management (see, for example, Christoffersen and Diebold, 2006), international trade and capital flows (see, for example, Kiyota and Urata, 2004) and the political economy of exchange rate regimes (see, among others, Willett, 2007;Wilson and Ng, 2007). BASIC STATISTICSWe focus on the log-changes (or return) of real rather than nominal exchange rates involving four major currencies: the Australian dollar, Canadian dollar, Japanese yen and British pound sterling. 1 The euro is not included because of its relatively shorter period of existence and the complexity of common inflation in the Eurozone. Real exchange rates are calculated as nominal rates (expressed as domestic currency costs of $US1) multiplied by the ratio of the domestic price level to the US price level. The consumer price index (CPI) is used for

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Nonlinear dynamics in foreign exchange excess returns: Tests of asymmetry

Cited by 4 publications

References 48 publications

Statistical Characteristics of Jakarta Composite Index (JCI) Dynamics based on Short Term Data Represented in Candles

Statistical Characteristics of Jakarta Composite Index (JCI) Dynamics based on Short Term Data Represented in Candles

Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies?

Exchange Rate Volatility Before and After the Float

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