Flexible exchange rates
1989; Elsevier BV; Volume: 23; Issue: 3 Linguagem: Inglês
10.1016/0304-3932(89)90044-5
ISSN1873-1295
Autores Tópico(s)Monetary Policy and Economic Impact
ResumoThe stochastic properties of flexible exchange rates are investigated by looking at a sample of intradaily Sfr./$ quotes for 231 trading days in 1983. Estimated moments of the distribution of returns over five-minute intervals often exhibit large changes which are mostly unpredictable even from one day to the next. Autocorrelation in returns is generally absent even inside a given day. Specific days of the week do not exhibit any special characteristics. During a single day, both relative changes in exchange rates as well as their volatility show some distinct patterns.
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