Gómez-González, José Eduardo; García-Suaza, Andrés F. - In: Emerging Markets Finance and Trade 48 (2012) 5, pp. 66-77
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...