Detecting trends in the foreign exchange markets
We test for the existence of trends in exchange-rate series for 95 currencies against the US dollar. To that end, we make use of Taylor’s (1980) price trend model that, instead of focusing on the mean reverting behaviour of exchange rates measured over a long horizon, concentrates on the shortterm p...
| Authors: | , |
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| Format: | article |
| Publication Date: | 2012 |
| Country: | España |
| Institution: | Universidad Complutense de Madrid (UCM) |
| Repository: | Docta Complutense |
| Language: | English |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/42994 |
| Online Access: | https://hdl.handle.net/20.500.14352/42994 |
| Access Level: | Open access |
| Keyword: | C53 F31 G14 Exchange rates Price trend model Genetic algorithms. Econometría (Economía) Economía internacional Finanzas 5302 Econometría 5310 Economía Internacional |
| Summary: | We test for the existence of trends in exchange-rate series for 95 currencies against the US dollar. To that end, we make use of Taylor’s (1980) price trend model that, instead of focusing on the mean reverting behaviour of exchange rates measured over a long horizon, concentrates on the shortterm pattern of the price trend. Employing a maximum likelihood method and a genetic algorithm to estimate the model parameters, in 39 of the 95 cases considered we find evidence in favour of the presence of trends, the trends being more frequent in intermediate exchange-rate regimes. |
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