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A simple test of momentum in foreign exchange markets

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dc.creatorGarcía Suaza, Andrés Felipe
dc.creatorGómez González, Juan Eduardo
dc.date.accessioned2015-10-06T15:22:05Z
dc.date.available2015-10-06T15:22:05Z
dc.date.created2011-03
dc.date.issued2011
dc.description.abstractThis study proposes a new method for testing for the presence of momentum in nominal exchange rates, using a probabilistic approach. We illustrate our methodology estimating a binary response model using information on local currency / US dollar exchange rates of eight emerging economies. After controlling for important variables a§ecting the behavior of exchange rates in the short-run, we show evidence of exchange rate inertia; in other words, we Önd that exchange rate momentum is a common feature in this group of emerging economies, and thus foreign exchange traders participating in these markets are able to make excess returns by following technical analysis strategies. We Önd that the presence of momentum is asymmetric, being stronger in moments of currency depreciation than of appreciation. This behavior may be associated with central bank interventioneng
dc.format.extent15 páginasspa
dc.format.mediumRecurso electrónicospa
dc.format.mimetypeapplication/pdf
dc.format.tipoDocumentospa
dc.identifier.doihttps://doi.org/10.48713/10336_10984
dc.identifier.editorialUniversidad del Rosario, Facultad de Economíaspa
dc.identifier.urihttp://repository.urosario.edu.co/handle/10336/10984
dc.language.isoeng
dc.publisherUniversidad del Rosariospa
dc.publisher.departmentFacultad de Economíaspa
dc.relation.citationIssueNo. 92
dc.relation.citationTitleSerie Documentos de trabajo. Economía
dc.relation.ispartofSerie Documentos de trabajo ; No. 92spa
dc.relation.isversionof1spa
dc.relation.urihttps://ideas.repec.org/p/col/000092/008170.html
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.rights.accesoAbierto (Texto completo)spa
dc.rights.ccAtribución-NoComercial-SinDerivadas 2.5 Colombiaspa
dc.source.instnameinstname:Universidad del Rosariospa
dc.source.instnameinstname:Universidad del Rosariospa
dc.source.reponamereponame:Repositorio Institucional EdocURspa
dc.subject.ddcEconomía financiera
dc.subject.keywordMomentumeng
dc.subject.keywordForeign exchange marketseng
dc.subject.keywordHazard duration analysiseng
dc.subject.keywordEmerging economieseng
dc.subject.lembCambio exterior::Modelos Econométricosspa
dc.subject.lembMercado monetariospa
dc.subject.lembPolítica monetariaspa
dc.subject.lembEconomía internacionalspa
dc.titleA simple test of momentum in foreign exchange marketsspa
dc.typeworkingPapereng
dc.type.hasVersioninfo:eu-repo/semantics/acceptedVersion
dc.type.spaDocumento de trabajospa
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