Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14279/14536
Title: | Time‐series properties and predictability of Greek exchange rates | Authors: | Koutmos, Gregory Theodossiou, Panayiotis |
metadata.dc.contributor.other: | Θεοδοσίου, Παναγιώτης | Major Field of Science: | Social Sciences | Field Category: | Economics and Business | Issue Date: | Apr-1994 | Source: | Managerial and Decision Economics, 1994, vol. 15, no. 2, pp.159-167 | Volume: | 15 | Issue: | 2 | Start page: | 159 | End page: | 167 | Journal: | Managerial and Decision Economics | Abstract: | This paper explores the time‐series properties and predictability of weekly percentage changes in the Greek drachma exchange rates with respect to the currencies of major trading‐partner countries, such as the USA, Germany, the UK, France, Italy and Japan. The analysis is carried out using the EGARCH‐M model along with the power exponential distribution. Percentage changes in the Greek drachma with respect to the German mark, the French franc, the Italian lira and Japanese yen are predictable using past information. The volatility of Greek exchange rates is best represented by an EGARCH process and as such is predictable using past volatility measures. Moreover, volatility of the Greek drachma with respect to the German mark and Italian lira positively influences future movements in these exchange rates. The hypothesis that volatility is an asymmetric function of past innovations is rejected in all cases. Following the inclusion of the Greek drachma in the ECU currency basket, its value has been depreciating at a higher rate with respect to the German mark and Italian lira and at a lower rate with respect to the US dollar. Also, its volatility with respect to the German mark, the French franc, and the Italian lira has decreased, whereas its volatility with respect to the US dollar has increased. | URI: | https://hdl.handle.net/20.500.14279/14536 | ISSN: | 10991468 | DOI: | 10.1002/mde.4090150208 | Rights: | © Wiley | Type: | Article | Affiliation : | Fairfield University Rutgers University-Camden campus |
Publication Type: | Peer Reviewed |
Appears in Collections: | Άρθρα/Articles |
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