Are exchange rates really free from seasonality? An exploratory analysis on monthly time series

Cellini, Roberto and Cuccia, Tiziana (2011): Are exchange rates really free from seasonality? An exploratory analysis on monthly time series.

Abstract

This article questions the assumption that exchange rates are non-seasonal and provides selected evidence of monthly time series of exchange rates in which significant seasonal components are present. However, the seasonal component appears to be absent in more recent data. Tentative explanations are suggested.

• Item Type: MPRA Paper
• Language: English
• Keywords: Seasonality; Exchange rates
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; F - International Economics > F3 - International Finance > F31 - Foreign Exchange

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