The Effects of International F/X Markets on Domestic Currencies Using Wavelet Networks: Evidence from Emerging Markets

Atilla Cifter () and Alper Ozun ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper proposes a powerful methodology wavelet networks to investigate the effects of international F/X markets on emerging markets currencies. We used EUR/USD parity as input indicator (international F/X markets) and three emerging markets currencies as Brazilian Real, Turkish Lira and Russian Ruble as output indicator (emerging markets currency). We test if the effects of international F/X markets change across different timescale. Using wavelet networks, we showed that the effects of international F/X markets increase with higher timescale. This evidence shows that the causality of international F/X markets on emerging markets should be tested based on 64-128 days effect. We also find that the effects of EUR/USD parity on Turkish Lira is higher on 17-32 days and 65-128 days scales and this evidence shows that Turkish lira is less stable compare to other emerging markets currencies as international F/X markets effects Turkish lira on shorten time scale.

Keywords: F/X Markets; Emerging markets; Wavelet networks; Wavelets; Neural networks (search for similar items in EconPapers)
JEL-codes: C45 F31 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cwa
Date: 2007-03-01
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Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:2482

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