Stochastic behavior of nominal exchange rates

Luis Gil-Alana

Atlantic Economic Journal, 2003, vol. 31, issue 2, 159-173

Abstract: This article is concerned with the statistical modeling of the daily structure of the nominal exchange rates in the U.K., Germany, and Japan, as well as their returns in relation to the U.S. dollar by means of using fractionally integrated techniques. Using a version of the tests of Robinson [1994] that permits us to tests I(d) statistical models, the results show that the three time series are I(1), finding strong evidence against fractional integration and against mean reversion. Similarly for the return series, all them appear to be stationary I(0) with no evidence of fractional integration of any degree in any series. Copyright International Atlantic Economic Society 2003

Date: 2003
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DOI: 10.1007/BF02319868

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