EconPapers    
Economics at your fingertips  
 

On the nonstationarity of the exchange rate process

Takaaki Ohnishi, Hideki Takayasu, Takatoshi Ito (), Yuko Hashimoto, Tsutomu Watanabe and Misako Takayasu

International Review of Financial Analysis, 2012, vol. 23, issue C, 30-34

Abstract: We empirically investigate the nonstationarity property of the USD–JPY exchange rate by using a high frequency data set spanning 8years. We perform a statistical test of strict stationarity based on the two-sample Kolmogorov–Smirnov test for the absolute price changes, and Pearson's chi square test for the number of successive price changes in the same direction, and find statistically significant evidence of nonstationarity. Further, we study the recurrence intervals between the days in which nonstationarity occurs and find that the distribution of recurrence intervals is well approximated by an exponential distribution. In addition, we find that the mean conditional recurrence interval hTjT0i is independent of the previous recurrence interval T0. These findings indicate that the recurrence intervals are characterized by a Poisson process. We interpret this observation as a reflection of the Poisson property regarding the arrival of news.

Keywords: Econophysics; Foreign exchange market; Strict stationarity; Nonstationarity; Two-sample Kolmogorov–Smirnov test; Pearson's chi-square test; Poisson process (search for similar items in EconPapers)
Date: 2012
References: View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521911000718
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:23:y:2012:i:c:p:30-34

DOI: 10.1016/j.irfa.2011.06.010

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2021-06-30
Handle: RePEc:eee:finana:v:23:y:2012:i:c:p:30-34