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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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 64-128 days effect. We also find that the effects of EUR/USD parity on Turkish Lira is higher on 17-32 days and 65-128 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|
|Original Title:||The Effects of International F/X Markets on Domestic Currencies Using Wavelet Networks: Evidence from Emerging Markets|
|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
|Depositing User:||Atilla Cifter|
|Date Deposited:||03. Apr 2007|
|Last Modified:||01. May 2015 00:38|
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