A Three-State Markov-Modulated Switching Model for Exchange Rates
Author
Source
Journal of Applied Mathematics
Issue
Vol. 2016, Issue 2016 (31 Dec. 2016), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2016-10-31
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
Several authors have examined the long swings hypothesis in exchange rates using a two-state Markov switching model.
This study developed a model to investigate long swings hypothesis in currencies which may exhibit a k-state (k≥2) pattern.
The proposed model was then applied to euros, British pounds, Japanese yen, and Nigerian naira.
Specification measures such as AIC, BIC, and HIC favoured a three-state pattern in Nigerian naira but a two-state one in the other three currencies.
For the period January 2004 to May 2016, empirical results suggested the presence of asymmetric swings in naira and yen and long swings in euros and pounds.
In addition, taking 0.5 as the benchmark for smoothing probabilities, choice models provided a clear reading of the cycle in a manner that is consistent with the realities of the movements in corresponding exchange rate series.
American Psychological Association (APA)
Ayodeji, Idowu Oluwasayo. 2016. A Three-State Markov-Modulated Switching Model for Exchange Rates. Journal of Applied Mathematics،Vol. 2016, no. 2016, pp.1-9.
https://search.emarefa.net/detail/BIM-1107209
Modern Language Association (MLA)
Ayodeji, Idowu Oluwasayo. A Three-State Markov-Modulated Switching Model for Exchange Rates. Journal of Applied Mathematics No. 2016 (2016), pp.1-9.
https://search.emarefa.net/detail/BIM-1107209
American Medical Association (AMA)
Ayodeji, Idowu Oluwasayo. A Three-State Markov-Modulated Switching Model for Exchange Rates. Journal of Applied Mathematics. 2016. Vol. 2016, no. 2016, pp.1-9.
https://search.emarefa.net/detail/BIM-1107209
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1107209