English, Article, Journal or magazine article edition: Persistent Dependence in Foreign Exchange Rates? A Reexamination John T. Barkoulas; Christopher F. Baum; Mustafa Caglayan; ...

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Bookmark: http://trove.nla.gov.au/version/74055
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Persistent Dependence in Foreign Exchange Rates? A Reexamination
Author
  • John T. Barkoulas
  • Christopher F. Baum
  • Mustafa Caglayan
  • Atreya Chakraborty
Physical Description
  • preprint
Notes
  • We test for stochastic long-memory behavior in the returns series of currency rates for eighteen industrial countries using a semiparametric fractional estimation method. A sensitivity analysis is also carried out to analyze the temporal stability of the long-memory parameter. Contrary to the findings of some previous studies alluding to the presence of long memory in major currency rates, our evidence provides wide support to the martingale model (and therefore for foreign exchange market efficiency) for our broader sample of foreign currency rates. Any inference of long-range dependence is fragile, especially for the major currency rates. However, long-memory dynamics are found in a small number of secondary (nonmajor) currency rates.
  • Foreign exchange, long memory, weak form of market efficiency, Gaussian semiparametric method
  • RePEc:boc:bocoec:377
Language
  • English
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