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Empirical Properties of Foreign Exchange Rates

Author

Listed:
  • Richard J Rogalski

    (Darmouth College)

  • Joseph D Vinso

    (University of Pennyslvania)

Abstract

This paper investigates the behavior of foreign exchange rates. Empirical tests indicate that the distribution of the underlying stochastic process for foreign exchange rate changes was stable paretion during fixed rate periods while a Student model provides a relatively better description on floating rates. These findings point to an important direction for further work on the appropriate distribution for foreign exchange rates and estimates of parameters.© 1978 JIBS. Journal of International Business Studies (1978)9, 69–79

Suggested Citation

  • Richard J Rogalski & Joseph D Vinso, 1978. "Empirical Properties of Foreign Exchange Rates," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 9(2), pages 69-79, June.
    • Handle: RePEc:pal:jintbs:v:9:y:1978:i:2:p:69-79
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    Citations

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    Cited by:

    1. Bernard Dumas, "undated". "Pricing Physical Assets Internationally," Rodney L. White Center for Financial Research Working Papers 12-88, Wharton School Rodney L. White Center for Financial Research.
    2. Richard M. Levich, 1983. "Empirical Studies of Exchange Rates: Price Behavior, Rate Determinationand Market Efficiency," NBER Working Papers 1112, National Bureau of Economic Research, Inc.
    3. Lieu, Derming, 1997. "Estimation of empirical pricing equations for foreign-currency options: Econometric models vs. arbitrage-free models," International Review of Economics & Finance, Elsevier, vol. 6(3), pages 259-286.
    4. Andreas Masuhr, 2017. "Volatility Transmission in Overlapping Trading Zones," CQE Working Papers 6717, Center for Quantitative Economics (CQE), University of Muenster.
    5. David S. Bates, 1993. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options," NBER Working Papers 4596, National Bureau of Economic Research, Inc.
    6. Ignacio Mauleon & Javier Perote, 2000. "Testing densities with financial data: an empirical comparison of the Edgeworth-Sargan density to the Student's t," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 225-239.
    7. Mauleon, Ignacio, 2003. "Financial densities in emerging markets: an application of the multivariate ES density," Emerging Markets Review, Elsevier, vol. 4(2), pages 197-223, June.
    8. Deniz Erer, 2023. "The Impact of News Related Covid-19 on Exchange Rate Volatility:A New Evidence From Generalized Autoregressive Score Model," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(38), pages 105-126, June.
    9. Andreas Masuhr, 2019. "Big in Japan: Global Volatility Transmission between Assets and Trading Places," CQE Working Papers 8119, Center for Quantitative Economics (CQE), University of Muenster.
    10. Kaehler, Jürgen, 1993. "On the modelling of speculative prices by stable Paretian distributions and regularly varying tails," ZEW Discussion Papers 93-25, ZEW - Leibniz Centre for European Economic Research.
    11. Karmen, Bradley & Mann, Jitendar S., 1981. "Efficiency Of Flexible Foreign Exchange Markets," Staff Reports 276714, United States Department of Agriculture, Economic Research Service.
    12. Manuel Vega & José L. Alvarez, "undated". "Tipos de cambio flexibles y volatilidad: Las regularidades empíricas de las observaciones diarias," Studies on the Spanish Economy 116, FEDEA.
    13. Billio, Monica & Pelizzon, Loriana, 2000. "Value-at-Risk: a multivariate switching regime approach," Journal of Empirical Finance, Elsevier, vol. 7(5), pages 531-554, December.
    14. Kian Teng Kwek & Kuan Nee Koay, 2006. "Exchange rate volatility and volatility asymmetries: an application to finding a natural dollar currency," Applied Economics, Taylor & Francis Journals, vol. 38(3), pages 307-323.
    15. Pollock, Andrew C. & Macaulay, Alex & Thomson, Mary E. & Onkal, Dilek, 2005. "Performance evaluation of judgemental directional exchange rate predictions," International Journal of Forecasting, Elsevier, vol. 21(3), pages 473-489.
    16. Pozo, Susan & Amuedo-Dorantes, Catalina, 2003. "Statistical distributions and the identification of currency crises," Journal of International Money and Finance, Elsevier, vol. 22(4), pages 591-609, August.
    17. Shengnan Li & Edward P. K. Tsang & John O'Hara, 2022. "Measuring relative volatility in high‐frequency data under the directional change approach," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 29(2), pages 86-102, April.
    18. Pontines, Victor & Siregar, Reza, 2007. "The Yen, the US dollar, and the trade weighted basket of currencies: Does the choice of anchor currencies matter in identifying incidences of speculative attacks?," Japan and the World Economy, Elsevier, vol. 19(2), pages 214-235, March.
    19. Reza Siregar & Victor Pontines, 2004. "Successful and Unsuccessful Attacks: Evaluating the Stability of the East Asian Currencies," Centre for International Economic Studies Working Papers 2004-04, University of Adelaide, Centre for International Economic Studies.
    20. Chihwa Kao, 2001. "Geography, Industrial Organization, and Agglomeration Heteroskedasticity Models with Estimates of the Variances of Foreign Exchange Rates," Center for Policy Research Working Papers 34, Center for Policy Research, Maxwell School, Syracuse University.

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