Seasonal processes in the Euro--US Dollar daily exchange rate
We analyse the pattern of daily Euro--US Dollar exchange rate from the birth of Euro, in January 1999, until December 2012. This series is I(1), as is usual for nominal bilateral exchange rates; however, it is far from following a random walk process. We find evidence of the presence of day effects, even if they play a more limited role as compared to other exchange rates observed over previous periods of time. More surprisingly, we find statistical significance of some month effects in the first-differences of exchange rate, and strong variation in their variance across months. Hence, monthly seasonality in daily Euro--US Dollar exchange rate cannot be overlooked, and some explanations are suggested.
Year of publication: |
2014
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Authors: | Cellini, Roberto ; Cuccia, Tiziana |
Published in: |
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 24.2014, 3, p. 161-174
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Publisher: |
Taylor & Francis Journals |
Saved in:
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