A Simple Test of Momentum in Foreign Exchange Markets

Borradores de Economia
Number: 
647
Published: 
Classification JEL: 
G14, G15, C41
Keywords: 
Human capital agglomeration, Social returns, Private returns, Externalities, Uncertainty, Fiscal policy
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This study proposes a new method for testing for the presence of momentum in nominal exchange rates, using a probabilistic approach. We illustrate our methodology estimating a binary response model using information on local currency / US dollar exchange