The random-walk behavior of the Euro exchange rate
AbstractWe 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Finance Research Letters.
Volume (Year): 8 (2011)
Issue (Month): 3 (September)
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Web page: http://www.elsevier.com/locate/frl
Euro exchange rates Random walks Generalized Andrews-Ploberger test Generalized Box-Pierce test;
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