Long horizon movements in exchange rates: Great expectations
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Oberlin College Honors Theses / OhioLINK
1991
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| Online Access: | http://rave.ohiolink.edu/etdc/view?acc_num=oberlin1342189772 |
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ndltd-OhioLink-oai-etd.ohiolink.edu-oberlin13421897722021-08-03T05:42:32Z Long horizon movements in exchange rates: Great expectations Pak, Minsok Economics Economic Theory exchange rates change Results in this paper show that applying specific techniques designed to analyze long run behavior of time series variables provides evidence that long runmovements in exchange rates differ from random walks. Long run behavior, for both the DM/$ and Y/$ spot rates, exhibit a rather substantial mean reverting component, a temporary component similar to that found in stock prices (Famaand French [1988]; Poterba and Summers [1988]). That is to say, a divergence of observed market values from fundamental values cannot simply be interpreted assupport for models of inefficient markets. Rather, these divergences may be temporary swings away from fundamental values. Over some range, these swings are eliminated and values return to their mean. Such temporary swingsand their subsequent reversion to the mean can be translated into¿¿¿¿ the statistical hypothesis that exchange rates contain a slowly decaying stationary (or transitory) component. With such a transitory series, the effects of a given shock are reversed over time. 1991 English text Oberlin College Honors Theses / OhioLINK http://rave.ohiolink.edu/etdc/view?acc_num=oberlin1342189772 http://rave.ohiolink.edu/etdc/view?acc_num=oberlin1342189772 unrestricted This thesis or dissertation is protected by copyright: all rights reserved. It may not be copied or redistributed beyond the terms of applicable copyright laws. |
| collection |
NDLTD |
| language |
English |
| sources |
NDLTD |
| topic |
Economics Economic Theory exchange rates change |
| spellingShingle |
Economics Economic Theory exchange rates change Pak, Minsok Long horizon movements in exchange rates: Great expectations |
| author |
Pak, Minsok |
| author_facet |
Pak, Minsok |
| author_sort |
Pak, Minsok |
| title |
Long horizon movements in exchange rates: Great expectations |
| title_short |
Long horizon movements in exchange rates: Great expectations |
| title_full |
Long horizon movements in exchange rates: Great expectations |
| title_fullStr |
Long horizon movements in exchange rates: Great expectations |
| title_full_unstemmed |
Long horizon movements in exchange rates: Great expectations |
| title_sort |
long horizon movements in exchange rates: great expectations |
| publisher |
Oberlin College Honors Theses / OhioLINK |
| publishDate |
1991 |
| url |
http://rave.ohiolink.edu/etdc/view?acc_num=oberlin1342189772 |
| work_keys_str_mv |
AT pakminsok longhorizonmovementsinexchangeratesgreatexpectations |
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1719423946595500032 |