A Simple Test of Momentum in Foreign Exchange Markets

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

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