IMF Working Papers

Persistence in the Variability of Daily Exchange Rates

By George C. Tsibouris

October 1, 1991

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Format: Chicago

George C. Tsibouris Persistence in the Variability of Daily Exchange Rates, (USA: International Monetary Fund, 1991) accessed November 11, 2024
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

Rational speculation in foreign exchange trading is often assumed to dampen exchange rate fluctuations by bringing the market back to fundamentals. Nevertheless, information congestion provides incentives for traders to follow positive feedback strategies which result in persistent and volatile exchange rate behavior by magnifying the impact of exogenous shocks. Empirical evidence is presented which is consistent with such autocatalytic effects.

Subject: Currencies, Currency markets, Exchange rate adjustments, Exchange rate analysis, Exchange rates, Financial markets, Foreign exchange, Money

Keywords: Currencies, Currency markets, Deutsche mark, Dollar expectation, Exchange rate adjustments, Exchange rate analysis, Exchange rates, Larger-than-average yen depreciation, Math, Pound sterling, Sell-off effect, U.S. dollar, WP

Publication Details

  • Pages:

    26

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 1991/104

  • Stock No:

    WPIEA1041991

  • ISBN:

    9781451852738

  • ISSN:

    1018-5941