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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
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Related works:
Working Paper: A Simple Test of Momentum in Foreign Exchange Markets (2011) Downloads
Working Paper: A simple test of momentum in foreign exchange markets (2011) Downloads
Working Paper: A Simple Test of Momentum in Foreign Exchange Markets (2011) Downloads
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