مقاله انگلیسی رژیم های نرخ تبدیل ارز و بهره وری قیمت
Abstract
Keywords
Introduction
Literature review and hypotheses
Data and methodology
Results
Discussion and conclusion
CRediT authorship contribution statement
Acknowledgements
References
Further reading
Abstract
We analyze how different currency regimes influence the price efficiency of exchange rates. Based on an analysis of a sample of 20 exchange rates (covering 39 countries) over a 15- year period using MF-DFA (Multifractal Detrended Fluctuation Analysis), we find that currencies of countries following a Free Float regime show greater price efficiency than currencies of countries following a Managed Float regime. We also examined the impact of the financial crisis of 2008-09 on the price efficiency of these currencies. Our results suggest that currencies following the Free Float exchange regime experienced significantly greater deterioration in their price efficiency than currencies under Managed Float regimes. Even more interestingly, the efficiency of the currencies of the Free Float countries have not fully recovered even a decade after the crisis.
Introduction
One of the foundational theories of modern finance is the efficient market hypothesis (Fama, 1970). Based on the degree to which available information is reflected in security prices, efficient market hypothesis (EMH) classifies market efficiency into three forms: weak, semi-strong, and strong. The trading of a financial asset is considered efficient in the weak form if market prices fully reflect the available information. A number of studies have attempted to empirically verify the extent to which markets are efficient (Fama & French, 1988; Lo & Mackinlay, 1988; Cheung & Coutts, 2001; Kim & Shamsuddin, 2008). Although such studies have mostly focused on the efficiency of stock markets, there have also been attempts to test the efficiency of other markets such as foreign exchange markets (Liu and He, 1991; Belaire-Franch & Opong, 2005; Stosic, et al., 2016), cryptocurrency markets (Al-Yahyaee, Mensi, & Yoon, 2018; Silva Filho, Maganini, & Almeida, 2018), oil markets (Arshad, Rizvi, Haroon, Mehmood & Gong, 2020), and gold markets (Ntim, English, Nwachukwu, & Wang, 2015).