Are Exchange Rates Really Free from Seasonality ? An Exploratory Analysis on Monthly Time Series

Cellini, Roberto; Cuccia, Tiziana

doi:10.2174/1874919401104010044

Cited by 6 publications

(4 citation statements)

References 12 publications

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“…With the application of the Markov-switching framework, we are thus able to document the presence of the January and December effects in the DM/EUR-USD exchange rate returns. These effects either were not identified in previous papers (Cellini and Cuccia, 2011) or were only modeled in a linear framework (Li et al, 2011) and with a much shorter sample (Cellini and Cuccia, 2014). As opposed to the results using a linear OLS framework, we do not find any significant evidence of a monthly anomaly in September.…”

Section: Foreign Exchange Marketcontrasting

confidence: 99%

The January effect in the foreign exchange market: Evidence for seasonal equity carry trades

Girardin

Namin

2019

Economic Modelling

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In this study, we investigate monthly seasonality in the foreign exchange market. Given the well-known recurrent higher returns in some month than in others in stock markets around the world, we consider it likely that a seasonal outperformance of a country's stock market over another is associated with similar seasonal patterns in capital flows and exchange rates. A seasonal profit (carry trade) opportunity can be created by the simultaneous appreciation of a country's currency and the outperformance of its stock market. By focusing on the world's key currency pairs, the US dollar-Deutsche mark and the US dollareuro, and by using a Markov-switching framework, we document persistent January and December effects in the foreign exchange market from 1971 to 2017. Analysis of the German-US stock returns differential and their bilateral capital flows reveal similar month effects in 65% of the whole sample.

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Section: Foreign Exchange Marketcontrasting

confidence: 99%

The January effect in the foreign exchange market: Evidence for seasonal equity carry trades

Girardin

Namin

2019

Economic Modelling

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“…Similar conclusions are implicitly reached, among others, by previous analysis by Lastrapes (1992), on a number of bilateral exchange rates among currencies of OECD countries and by a recent analysis of An and Kim (2010) on the Japan Yen-US Dollar exchange rate. A not so clear-cut result is found by Cellini and Cuccia (2011) with respect to time series of Euro-Dollar exchange rate with monthly frequency: they explicitly test for the presence of monthly seasonal components, and find mixed results. All the mentioned studies take into consideration data with monthly frequency.…”

Section: Introductionmentioning

confidence: 97%

Seasonal processes in the Euro–US Dollar daily exchange rate

Cellini

Cuccia

2014

Applied Financial Economics

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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.

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“…Nevertheless, the prices of Ukraine's main export crops have a clear and serious impact on the currency. To begin with, in most developed markets, agents are aware of the presence of seasonality in the markets and try to get rid of this factor, smoothing the dynamics of exchange rates to get more clear and correct price signals [13]. Thus, the absence of seasonality is important primarily for macroeconomists, in order to better analyse the situation in the country.…”

Section: Influence Of the Seasonality Factor On The Hryvnia Exchange ...mentioning

confidence: 99%

Analysis of the Dynamics of Foreign Currency Exchange Rates in Ukraine Including Seasonality Factors and Demand for Domestic Government Loans Bonds (Over 5-10 Years)

Roshylo

Long

2022

Scientific Bulletin of Mukachevo State University Series “Economics”

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The relevance of the scientific article lies in the need to substantiate the importance of the role of currency exchange rates for the robust functioning of the country’s economy. The purpose of the article is to analyse the dynamics of foreign currency exchange rates, mainly the dollar, and the euro, in Ukraine, taking into account factors of seasonality and demand for government bonds. The main methods used in the paper are statistical empirical research methods, in particular modelling. It was determined that the export of raw materials, mainly steel, and various agricultural crops such as wheat, corn, sunflower oil, soybeans, etc., plays a particularly important role in Ukraine. It was found out that the mentioned fluctuations in export are one of the reasons for the currency seasonality, but not the only one or the main reason, as the exchange rate is strongly influenced by oil, gas, and other energy resources prices, which the country needs constantly, especially during the heating season. The exchange rate of the hryvnia over the last five years within the context of the National Bank of Ukraine has also been analysed. It was found that the demand for government loans bonds is one of the most important factors in considering the foreign currencies exchange rates in Ukraine. To make models more plausible and to reduce the influence of other factors in determining seasonality of the currency with certain currency pairs with the dollar, euro, yen, zloty, and ruble, the data for the last several years has been used, which are less likely to be distorted by the influence of external factors. It has been confirmed that a successful trade policy is a key source of currency stabilisation in Ukraine. The article is useful for studying the functioning of currencies in general; for studying the economy of Ukraine, especially the country’s currency issues; for students of various economic disciplines

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Are Exchange Rates Really Free from Seasonality ? An Exploratory Analysis on Monthly Time Series

Cited by 6 publications

References 12 publications

The January effect in the foreign exchange market: Evidence for seasonal equity carry trades

The January effect in the foreign exchange market: Evidence for seasonal equity carry trades

Seasonal processes in the Euro–US Dollar daily exchange rate

Analysis of the Dynamics of Foreign Currency Exchange Rates in Ukraine Including Seasonality Factors and Demand for Domestic Government Loans Bonds (Over 5-10 Years)

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