A Simple Test of Momentum in Foreign Exchange Markets

Publicado en

  • Emerging Markets Finance and Trade


  • 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 currency depreciation than in moments of appreciation. This behavior may be associated with central bank intervention.

fecha de publicación

  • 2012

Líneas de investigación

  • Emerging Economies
  • Foreign Exchange Markets
  • Hazard Duration Analysis
  • Momentum

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