Seasonal processes in the Euro-US Dollar daily exchange rate

• Autores: Roberto Cellini, Tiziana Cuccia
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 24, Nº. 1-3, 2014, págs. 161-174
• Idioma: inglés
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• Resumen

  • 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.