The long memory of the forward premium during the 1920s float: evidence from the European foreign exchange market
Choudhry, Taufiq (2013) The long memory of the forward premium during the 1920s float: evidence from the European foreign exchange market. The European Journal of Finance, 19, (10), 964-977. (doi:10.1080/1351847X.2012.703142).
Full text not available from this repository.
This paper investigates the fractional dynamics of the foreign exchange forward premium during the floating period of the 1920s. We apply weekly exchange rates of the currencies from Belgium, France, Germany, Holland, Italy and the USA against the British pound from February 1921 to May 1925 and employ two different definitions of the forward premium. The German data are for the period ranging from February 1921 to December 1922. This period includes the German hyperinflation era. The empirical investigation is conducted by means of two different fractional integration methods: the Geweke and Porter-Hudak and the Robinson tests. The results provide some evidence of long memory, mostly in the case of Belgium, Holland and Italy. Many of the forward premiums during the 1920s may have become non-stationary as markets began to anticipate the UK's return to gold at its pre-war parity. In the case of Germany, it may have been due to market failure. The varying results presented could be due to the wide differences in the microeconomic and macroeconomic fundamentals and political setups of the countries during the 1920s.
|Digital Object Identifier (DOI):||doi:10.1080/1351847X.2012.703142|
|Keywords:||GPH test, robinson test, ARFIMA, forward premium, long memory|
|Subjects:||D History General and Old World > D History (General) > D901 Europe (General)
H Social Sciences > HG Finance
J Political Science > JZ International relations
|Divisions :||Faculty of Business and Law > Southampton Business School > Centre for Digital, Interactive & Data Driven Marketing
|Accepted Date and Publication Date:||
|Date Deposited:||24 Sep 2012 13:51|
|Last Modified:||31 Mar 2016 14:34|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
Actions (login required)