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
Anne Brockmeyer, Francois Gerard, Gabriel Ulyssea, Linda Wu, Marcelo Bergolo, Rodrigo Ceni González, Bernard Kirui, Andrea Lopez-Luzuriaga, Leonardo Fabio Morales, Andrea Sofía Otero-Cortés, Nadine Riedel, Matias Tapia, Tanisa Tawichsri, Verena Wiedemann
Marlon Salazar, Andrés Salazar-Mejía, Jorge Daniel Guevara-Acevedo, Juan David Duitama-Correa
Aarón Levi Garavito-Acosta, Wilmer Martinez-Rivera, Camilo González-Sabogal, Johanna Barbosa-Buitrago, Nathaly Vergel-Serrano
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