The random-walk behavior of the euro exchange rate

Georgios Chortareas, Ying Jiang, John C. Nankervis

Research output: Journal PublicationArticlepeer-review

14 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)158-162
Number of pages5
JournalFinance Research Letters
Volume8
Issue number3
DOIs
Publication statusPublished - Sep 2011

Keywords

  • Euro exchange rates
  • Generalized Andrews-Ploberger test
  • Generalized Box-Pierce test
  • Random walks

ASJC Scopus subject areas

  • Finance

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