A Simple Test of Momentum in Foreign Exchange Markets

Jose Gomez-Gonzalez and Andres Garcia-Suaza

Emerging Markets Finance and Trade, 2012, vol. 48, issue 5, 66-77

Abstract: This study proposes a new method for testing for the presence of momentum in nominal exchange rates, using a probabilistic approach. Using data for eight emerging economies, we show evidence of exchange rate inertia; however, the presence of momentum is asymmetric, being stronger in moments of currency depreciation than in moments of appreciation. This behavior may be associated with central bank intervention.

Keywords: emerging economies; foreign exchange markets; hazard duration analysis; momentum (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://mesharpe.metapress.com/link.asp?target=contribution&id=B484LG51111T5445 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: A Simple Test of Momentum in Foreign Exchange Markets (2011)
Working Paper: A simple test of momentum in foreign exchange markets (2011)
Working Paper: A Simple Test of Momentum in Foreign Exchange Markets (2011)
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:mes:emfitr:v:48:y:2012:i:5:p:66-77

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/MREE20

Access Statistics for this article

More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().