Empirical analysis on random walk behavior of foreign exchange rates

Show full item record

Please use this identifier to cite or link to this item: http://hdl.handle.net/1853/33836

Title: Empirical analysis on random walk behavior of foreign exchange rates
Author: Zou, Shanshan
Abstract: This thesis conducts a comprehensive examination on the random walk behavior of 29 foreign exchange rates over the period of floating exchange regime, using variance-ratio tests. The cross-country and time-series test show that random walk model cannot be rejected on majority, and the random walk behavior is quite volatile across the whole floating exchange regime period. It then goes further to explore possible factors that can explain the probability of rejection/ non-rejections on random walk model using linear as well as nonlinear probability models, and find that the factors such as capital openness and investment-to-trade ratio significantly increases the chance of its exchange rate exhibiting random walk behavior.
Type: Thesis
URI: http://hdl.handle.net/1853/33836
Date: 2010-04-12
Publisher: Georgia Institute of Technology
Subject: Exchange rates
Random walk
Variance-ratio test
Foreign exchange rates
Random walks (Mathematics)
Department: Economics
Advisor: Committee Chair: Kilic, Rehim; Committee Member: Ho, Chun-Yu; Committee Member: Li, Haizheng
Degree: M.S.

All materials in SMARTech are protected under U.S. Copyright Law and all rights are reserved, unless otherwise specifically indicated on or in the materials.

Files in this item

Files Size Format View
zou_shanshan_201005_mast.pdf 336.4Kb PDF View/ Open

This item appears in the following Collection(s)

Show full item record