IDEAS home Printed from https://ideas.repec.org/a/eee/finana/v23y2012icp30-34.html
   My bibliography  Save this article

On the nonstationarity of the exchange rate process

Author

Listed:
  • Ohnishi, Takaaki
  • Takayasu, Hideki
  • Ito, Takatoshi
  • Hashimoto, Yuko
  • Watanabe, Tsutomu
  • Takayasu, Misako

Abstract

We empirically investigate the nonstationarity property of the USD–JPY exchange rate by using a high frequency data set spanning 8years. We perform a statistical test of strict stationarity based on the two-sample Kolmogorov–Smirnov test for the absolute price changes, and Pearson's chi square test for the number of successive price changes in the same direction, and find statistically significant evidence of nonstationarity. Further, we study the recurrence intervals between the days in which nonstationarity occurs and find that the distribution of recurrence intervals is well approximated by an exponential distribution. In addition, we find that the mean conditional recurrence interval hTjT0i is independent of the previous recurrence interval T0. These findings indicate that the recurrence intervals are characterized by a Poisson process. We interpret this observation as a reflection of the Poisson property regarding the arrival of news.

Suggested Citation

  • Ohnishi, Takaaki & Takayasu, Hideki & Ito, Takatoshi & Hashimoto, Yuko & Watanabe, Tsutomu & Takayasu, Misako, 2012. "On the nonstationarity of the exchange rate process," International Review of Financial Analysis, Elsevier, vol. 23(C), pages 30-34.
  • Handle: RePEc:eee:finana:v:23:y:2012:i:c:p:30-34
    DOI: 10.1016/j.irfa.2011.06.010
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1057521911000718
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finana:v:23:y:2012:i:c:p:30-34. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/inca/620166 .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.