Empirical regularities for the currencies of European monetary system during the 1976-1993 period

Cristina Del Rio and Rafael Santamaria

Applied Economics Letters, 2000, vol. 7, issue 12, 755-764

Abstract: Empirical evidence about the behaviour of the exchange rates in terms of the US Dollar (USD) has shown different regularities (autocorrelation, daily seasonality, heteroscedasticicity, long memory). In this sense, we are interested in analysing the regularities that can be found in the behaviour of the European currencies in terms of Deutsche Mark (DEM) specifically those related to the mean because they could lead to the design of potentially exploitable strategies. The hypothesis is that the existence of a monetary system, which operates with bands around the bilateral central rate, can have an important influence on the behaviour of the exchange rates. Thus daily prices of four foreign currencies (French Franc (FRF), British Pound (GBP), Italian Lira (ITL) and Spanish Peseta (ESP)) are analysed over the period from 1 January 1976 to 31 December 1993. The results have confirmed a previous hypothesis.

Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

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:taf:apeclt:v:7:y:2000:i:12:p:755-764

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/135048500444750

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().