This study proposes a new method for testing for the presence of momentum in nominal exchange rates, using a probabilistic approach. Using data for eight emerging economies, we show evidence of exchange rate inertia; however, the presence of momentum is asymmetric, being stronger in moments of currency depreciation than in moments of appreciation. This behavior may be associated with central bank intervention.
No takes yet. Share an insight, caveat, or question.
Gómez-González et al. (2012) studied this question.
Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context: