Borradores de Economia
Número:
647
Publicado:
Clasificación JEL:
G14, G15, C41
Palabras clave:
Momentum, foreign exchange markets, hazard duration analysis, emerging economies
Lo más reciente
Leonardo Fabio Morales, Leonardo Bonilla-Mejía, Didier Hermida-Giraldo, Francisco Javier Lasso-Valderrama, José Pulido
Leonardo Fabio Morales, Juan Chaparro-Cardona, Eleonora Dávalos, Nataly Corredor-Martinez
Oscar Botero-Ramírez, Andrés Murcia, Hernando Vargas-Herrera
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