Cifter, Atilla and Ozun, Alper (2007): The Effects of International F/X Markets on Domestic Currencies Using Wavelet Networks: Evidence from Emerging Markets.

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Abstract
This paper proposes a powerful methodology wavelet networks to investigate the effects of international F/X markets on emerging markets currencies. We used EUR/USD parity as input indicator (international F/X markets) and three emerging markets currencies as Brazilian Real, Turkish Lira and Russian Ruble as output indicator (emerging markets currency). We test if the effects of international F/X markets change across different timescale. Using wavelet networks, we showed that the effects of international F/X markets increase with higher timescale. This evidence shows that the causality of international F/X markets on emerging markets should be tested based on 64128 days effect. We also find that the effects of EUR/USD parity on Turkish Lira is higher on 1732 days and 65128 days scales and this evidence shows that Turkish lira is less stable compare to other emerging markets currencies as international F/X markets effects Turkish lira on shorten time scale.
Item Type:  MPRA Paper 

Institution:  Marmara University 
Original Title:  The Effects of International F/X Markets on Domestic Currencies Using Wavelet Networks: Evidence from Emerging Markets 
Language:  English 
Keywords:  F/X Markets; Emerging markets; Wavelet networks; Wavelets; Neural networks 
Subjects:  C  Mathematical and Quantitative Methods > C4  Econometric and Statistical Methods: Special Topics > C45  Neural Networks and Related Topics F  International Economics > F3  International Finance > F31  Foreign Exchange G  Financial Economics > G1  General Financial Markets > G15  International Financial Markets 
Item ID:  2482 
Depositing User:  Atilla Cifter 
Date Deposited:  03. Apr 2007 
Last Modified:  01. May 2015 00:38 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/2482 