Market Microstructure Model: study of variations of exchange rate for Asia and Latin America

Antonieta Lima () and Vasco Salazar Soares ()
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Antonieta Lima: Universidade Portucalense, Postal: CIGE – Centro de Investigação em Gestão e Economia, Universidade Portucalense – Infante D. Henrique, Rua Dr. António Bernardino de Almeida, 541/619, 4200-072 PORTO, PORTUGAL,, http://www.upt.pt
Vasco Salazar Soares: Universidade Portucalense, Postal: CIGE – Centro de Investigação em Gestão e Economia, Universidade Portucalense – Infante D. Henrique, Rua Dr. António Bernardino de Almeida, 541/619, 4200-072 PORTO, PORTUGAL,, http://www.upt.pt

No 2/2008, Working Papers from Universidade Portucalense, Centro de Investigação em Gestão e Economia (CIGE)

Abstract: The paper studies the commercial relations between Europe and its principal commercial partners, such as Asia and Latin America, for the period of 1999 to 2007. The methodology appeals to the correlation analysis of the variables of the model and the autocorrelation of the exchange rate variation variable, to the Augmented DickeyFuller (1979) and Philips Perron tests (1988), and finally, to the market microstructure model suggested by Medeiros(2005). Medeiros(2005) model, when applied to the Asian and Latin American markets, in their relations with Europe, give us more consistent and stronger results, although R2 is still very low. An estimation with ARCH/GARCH-M methodology increases the model capacity substantially, confirming the previous results of Medeiros (2005).

Keywords: Exchange rate; market microstructure; country risk; commercial relations; Europe (search for similar items in EconPapers)
JEL-codes: E30 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2008-01-31
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Persistent link: https://EconPapers.repec.org/RePEc:ris:cigewp:2008_002

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