The random-walk behavior of the Euro exchange rate

Chortareas, Georgios; Jiang, Ying; Nankervis, John C.

doi:10.1016/j.frl.2010.10.003

Cited by 16 publications

(14 citation statements)

References 15 publications

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“…This result is confirmed by Horowitz et al (2006) for the British pound on the period 1993-1996 from a bootstrapped Box-Pierce test. Chortareas et al (2011) study the MDH for various OECD exchange rates from generalized Andrews-Ploberger autocorrelation tests proposed by Nankervis and Savin (2010). The tests do not reject the MDH for most exchange rates.…”

Section: Brief Literature Surveymentioning

confidence: 96%

“…This result is confirmed by Hong (1999) for the German mark on the period 1976-1995, using the generalized spectral test. Hsieh (1988), Lobato et al (2001), Horowitz et al (2006), Lobato (2009a, 2009b), and Chortareas et al (2011) analyze the MDH for various major exchange rates using (Box-Pierce type) autocorrelation tests. Hsieh (1988) investigates the five major currencies, daily from 1974 to 1983, using heteroscedasticity-adjusted Box-Pierce test and reject the null of the MDH.…”

Section: Brief Literature Surveymentioning

confidence: 99%

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Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates

Charles

Darné

Kim

2012

Journal of International Money and Finance

104

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Section: Brief Literature Surveymentioning

confidence: 96%

Section: Brief Literature Surveymentioning

confidence: 99%

Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates

Charles

Darné

Kim

2012

Journal of International Money and Finance

104

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“…Recent evidence has also reproduced the random walk property of exchange rates (see Chortareas et al, 2011), and the whole research project has converged to a rather widespread belief holding that exchange rate random walk forecasts are extremely difficult to beat.…”

Section: Introductionmentioning

confidence: 92%

How Did the Financial Crisis Affect the Forecasting Performance of Time Series Exchange Rate Models? Evidence from Euro Rates

Kirikos¹

2013

IJEF

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This paper uses monthly data on euro exchange rates vis-à-vis major currencies, covering the period 1999-2012, to compare the forecasting ability of alternative stochastic exchange rate representations. In particular, we test the out-of-sample forecasting performance of a random walk, a non-linear Markov switching regimes process, and a vector autoregressive representation reflecting the dynamics of linear structural exchange rate models. These statistical models are evaluated in terms of the root mean square error of one-month to twelve-month out-of-sample forecasts. The empirical evidence points to the random walk puzzle, that is, the superiority of the naïve model in forecasting exchange rates before the crisis of 2008. However, this outcome is consistently reversed following the 2008 financial turmoil and the naïve model seems to regain some of its forecasting power only after 2011. These results suggest that different stochastic representations are appropriate for the exchange rate depending on the presence of financial calmness or turbulence.

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“…However, as far as the Euro‐based currency markets are concerned, there are only a few papers on this issue. The studies include Belaire‐Franch and Opong (2005), Yang, Su, and Kolari (2008), Mazzoli and Barducci (2009) and Chortareas, Jiang, and Nankervis (2010).…”

Section: Literature Reviewmentioning

confidence: 99%

Are exchange rates serially correlated? New evidence from the Euro FX markets

Cheung

Choo

2011

Rev Financ Econ

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This paper examines the serial uncorrelatedness hypothesis in the Euro FX markets by testing for autocorrelation in daily FX returns of 82 countries over the period of 1999–2010. We use three newly developed tests that are robust to conditional heteroskedasticity of unknown forms and that do not choose a lag parameter arbitrarily. They are Escanciano & Lobato (2009)'s automatic Box–Pierce Qp test, Nankervis & Savin (2010)'s generalized Andrews–Ploberger test and Deo (2000)'s robust Durlauf test. We find no significant autocorrelation in the FX returns of around 58 to 62 countries, suggesting that majority of the Euro FX markets are weak‐form efficient.

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The random-walk behavior of the Euro exchange rate

Cited by 16 publications

References 15 publications

Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates

Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates

How Did the Financial Crisis Affect the Forecasting Performance of Time Series Exchange Rate Models? Evidence from Euro Rates

Are exchange rates serially correlated? New evidence from the Euro FX markets

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