Mean Aversion in and Persistence of Shocks to the US Dollar: Evidence from Nine Foreign Currencies
This paper analyses the statistical behavior of the US dollar, against nine different currencies, over the float period, with a monthly data set. The martingale hypothesis is rejected for all currencies. However, all currencies have a unit root. There is overwhelming evidence for significant positi...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2013-06-01
|
| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://www.econjournals.com/index.php/ijefi/article/view/510 |