The random-walk behavior of the Euro exchange rate |
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Authors: | Georgios Chortareas Ying Jiang John C Nankervis |
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Institution: | aDepartment of Economics, University of Athens, 8 Pesmazoglou Street, 10559, Greece;bNottingham University Business School China, University of Nottingham Ningbo, 199 Taikang East Road, Ningbo, China;cEssex Business School, University of Essex, Wivenhoe Park, Colchester CO4 3SQ, UK |
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Abstract: | We use Generalized Andrews–Ploberger (GAP) tests to examine the random-walk behavior of 17 OECD countries’ euro exchange rates at daily frequencies. The GAP tests reject the hypothesis of random-walk behavior less often than do traditional tests. Moreover, the random-walk hypothesis cannot be rejected for the euro’s exchange rate against most of the major currencies. We also use the generalized Box–Pierce tests to produce evidence that corroborates the above findings. Finally, and in contrast to the traditional tests, the GAP tests produce results that are consistent during the great moderation and the recent global financial crisis periods. |
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Keywords: | JEL classification: F31 C12 C22 G15 |
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