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Changes in the monthly effects from the Romanian foreign exchange market

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  • Dumitriu, Ramona
  • Nistor, Costel
  • Stefanescu, Razvan

Abstract

This paper investigates the systematic patterns displayed by the Romanian Foreign Exchange Market in some months of the year. In our analysis we employ monthly values of the Romanian national currency rates against the United States dollar and the euro. We find that since the Foreign Exchange Market settlement in Romania until present significant changes occurred in the monthly effects. We associate these changes to the new tend in the Romanian foreign trade and to the new monetary strategy of the central bank.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 41743.

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Date of creation: 06 Nov 2009
Date of revision: 08 May 2010
Handle: RePEc:pra:mprapa:41743

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Keywords: Seasonality; Romanian Foreign Exchange Market; Foreign Trade; Monetary Policy;

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References

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  1. Jeffrey A. Frankel, 1993. "On Exchange Rates," MIT Press Books, The MIT Press, The MIT Press, edition 1, volume 1, number 0262061546, December.
  2. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Testing the significance of calendar effects," Working Paper, Federal Reserve Bank of Atlanta 2005-02, Federal Reserve Bank of Atlanta.
  3. Officer, R. R., 1975. "Seasonality in Australian capital markets : Market efficiency and empirical issues," Journal of Financial Economics, Elsevier, Elsevier, vol. 2(1), pages 29-51, March.
  4. Froot, Kenneth A. & Ito, Takatoshi, 1989. "On the consistency of short-run and long-run exchange rate expectations," Journal of International Money and Finance, Elsevier, Elsevier, vol. 8(4), pages 487-510, December.
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  7. Froot, Kenneth A & Thaler, Richard H, 1990. "Foreign Exchange," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 4(3), pages 179-92, Summer.
  8. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 18(1), pages 161-174, March.
  9. Gultekin, Mustafa N. & Gultekin, N. Bulent, 1983. "Stock market seasonality : International Evidence," Journal of Financial Economics, Elsevier, Elsevier, vol. 12(4), pages 469-481, December.
  10. Agrawal, Anup & Tandon, Kishore, 1994. "Anomalies or illusions? Evidence from stock markets in eighteen countries," Journal of International Money and Finance, Elsevier, Elsevier, vol. 13(1), pages 83-106, February.
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  12. Menzie D. Chinn & Hiro Ito, 2002. "Capital Account Liberalization, Institutions and Financial Development: Cross Country Evidence," NBER Working Papers, National Bureau of Economic Research, Inc 8967, National Bureau of Economic Research, Inc.
  13. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, Cambridge University Press, number 9780521460477.
  14. Gordon Tang, 1998. "Monthly Pattern and Portfolio Effect on Higher Moments of Stock Returns: Empirical Evidence from Hong Kong," Asia-Pacific Financial Markets, Springer, Springer, vol. 5(3), pages 275-307, November.
  15. Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 3(4), pages 379-402, October.
  16. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, Cambridge University Press, number 9780521466004.
  17. Mark, Nelson C, 1995. "Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability," American Economic Review, American Economic Association, American Economic Association, vol. 85(1), pages 201-18, March.
  18. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 84(6), pages 1161-76, December.
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