Are Pound and Euro the Same Currency? - Updated

Raul Matsushita, Iram Gleria, Annibal Figueiredo and Sergio Da Silva

MPRA Paper from University Library of Munich, Germany

Abstract: Based on long range dependence, some analysts claim that the exchange rate time series of the pound sterling and of an artificially extended euro have been locked together for years despite daily changes [1, 9]. They conclude that pound and euro are in practice the same currency. We assess the long range dependence over time through Hurst exponents of pound-dollar and extended euro-dollar exchange rates employing three alternative techniques, namely rescaled range analysis, detrended fluctuation analysis, and detrended moving average. We find the result above (which is based on detrended fluctuation analysis) not to be robust to the changing techniques and parameterizing.

Keywords: False euro; exchange rates; financial efficiency; Hurst exponent; R/S analysis; detrended fluctuation analysis; detrending moving average (search for similar items in EconPapers)
JEL-codes: C63 F31 G10 (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-ifn
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:1981

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