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On the Historical Exchange Rates Euro/US Dollar

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  • Fernando Vadillo

    (University of the Basque Country (UPV/EHU))

Abstract

In this paper we study the exchange rate between the Euro and the US Dollar between January 3, 2003 until September 18, 2014. First we research if these exchanges follow a geometric Brownian motion, i.e. it is that future exchange rates are independent of past movements; our results are consistent with this assumption and then we make several estimates of the volatility. In the second part of the paper, we study possible periodic motions: first using discrete Fourier transform and later wavelet analysis. The techniques used are easy to understand and express, and can be implement in a transparent way by means of a few lines of code in Matlab. They can be used to understand behaviors that would seem chaotic.

Suggested Citation

  • Fernando Vadillo, 2016. "On the Historical Exchange Rates Euro/US Dollar," Computational Economics, Springer;Society for Computational Economics, vol. 48(3), pages 463-472, October.
    • Handle: RePEc:kap:compec:v:48:y:2016:i:3:d:10.1007_s10614-015-9533-4
    DOI: 10.1007/s10614-015-9533-4
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    References listed on IDEAS

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    1. Marco Gallegati & Mauro Gallegati & James B. Ramsey & Willi Semmler, 2014. "Does Productivity Affect Unemployment? A Time-Frequency Analysis for the US," Dynamic Modeling and Econometrics in Economics and Finance, in: Marco Gallegati & Willi Semmler (ed.), Wavelet Applications in Economics and Finance, edition 127, pages 23-46, Springer.
    2. Muhammad Shahbaz & Aviral Kumar Tiwari & Mohammad Iqbal Tahir, 2015. "Analyzing time-frequency relationship between oil price and exchange rate in Pakistan through wavelets," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(4), pages 690-704, April.
    3. Marco Gallegati & Willi Semmler (ed.), 2014. "Wavelet Applications in Economics and Finance," Dynamic Modeling and Econometrics in Economics and Finance, Springer, edition 127, number 978-3-319-07061-2, June.
    4. Daniela Federici & Giancarlo Gandolfo, 2011. "The Euro/Dollar Exchange Rate: Chaotic or Non-Chaotic?," DEGIT Conference Papers c016_035, DEGIT, Dynamics, Economic Growth, and International Trade.
    5. Rabanal, Pau & Tuesta, Vicente, 2010. "Euro-dollar real exchange rate dynamics in an estimated two-country model: An assessment," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 780-797, April.
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