We analyse the pattern of daily Euro - US Dollar exchange rate from the birth of Euro, in January 1999, until December 2012. This series is I(1), as is usual for nominal bilateral exchange rates; however, it is far from following a random walk process. We find evidence of the presence of day effects, even if they play a more limited role as compared to other exchange rates observed over previous periods of time. More surprisingly, we find statistical significance of some month effects in the first-differences of exchange rate, and strong variation in their variance across months. Hence, monthly seasonality in daily Euro - US Dollar exchange rate cannot be overlooked, and some explanations are suggested.

Seasonal Processes in the Euro - US Dollar Daily Exchange Rate

CELLINI, Roberto;CUCCIA, Tiziana Maria Stella
2014

Abstract

We analyse the pattern of daily Euro - US Dollar exchange rate from the birth of Euro, in January 1999, until December 2012. This series is I(1), as is usual for nominal bilateral exchange rates; however, it is far from following a random walk process. We find evidence of the presence of day effects, even if they play a more limited role as compared to other exchange rates observed over previous periods of time. More surprisingly, we find statistical significance of some month effects in the first-differences of exchange rate, and strong variation in their variance across months. Hence, monthly seasonality in daily Euro - US Dollar exchange rate cannot be overlooked, and some explanations are suggested.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/20.500.11769/15829
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