The Resource The multiscale causal dynamics of foreign exchange markets, Stelios Bekiros and Massimiliano Marcellino

The multiscale causal dynamics of foreign exchange markets, Stelios Bekiros and Massimiliano Marcellino

Label
The multiscale causal dynamics of foreign exchange markets
Title
The multiscale causal dynamics of foreign exchange markets
Statement of responsibility
Stelios Bekiros and Massimiliano Marcellino
Creator
Contributor
Author
Subject
Language
eng
Summary
This paper relies on wavelet multiresolution analysis to capture the dependence structure of currency markets and reveal the complex dynamics across different timescales. It investigates the nature and direction of causal relationships among the most widely traded currencies denoted relative to the United States Dollar (USD), namely Euro (EUR), Great Britain Pound (GBP) and Japanese Yen (JPY). The timescale analysis involves the estimation of linear vis-à-vis nonlinear and spectral causality of wavelet components and aggregate series as well as the detection of short- vs. long-run linkages and cross-scale correlations. Moreover, this study attempts to probe into the micro-foundations of across-scale heterogeneity in the causality pattern on the basis of trader behavior with different time horizons. New stylized properties emerge in the volatility structure and the implications for the flow of information across scales are inferred. The examined period starts from the introduction of the Euro and covers the dot-com bubble, the financial crisis of 2007-2010 and the Eurozone debt crisis. Technically, this paper presents an invariant discrete wavelet transform that deals efficiently with phase shifts, dyadic-length and boundary effects. It also proposes a new entropy-based methodology for the determination of the optimal decomposition level. Overall, there is no indication of a global causal behavior that dominates at all timescales. When the nonlinear effects are accounted for, the evidence of dynamical bidirectional causality implies that the pattern of leads and lags changes over time. These results may prove useful to quantify the process of integration as well as influence the greater predictability of currency markets
Member of
Cataloging source
IT-FiEUI
http://library.link/vocab/creatorName
Bekiros, Stelios D
Index
no index present
Literary form
non fiction
http://library.link/vocab/relatedWorkOrContributorName
  • Marcellino, Massimiliano
  • European University Institute
Series statement
  • EUI working papers. ECO
  • EUI papers
Series volume
2011/23
http://library.link/vocab/subjectName
  • Foreign exchange rates
  • Money market
Label
The multiscale causal dynamics of foreign exchange markets, Stelios Bekiros and Massimiliano Marcellino
Link
http://hdl.handle.net/1814/17582
Instantiates
Publication
Note
Keywords: exchange rates; wavelets; timescale analysis; causality; entropy; C14; C32; C51; F31
Bibliography note
Includes bibliographical references
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb17060035
Dimensions
30 cm.
Extent
40 + 19 pages
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
System control number
(OCoLC)785634829
Label
The multiscale causal dynamics of foreign exchange markets, Stelios Bekiros and Massimiliano Marcellino
Link
http://hdl.handle.net/1814/17582
Publication
Note
Keywords: exchange rates; wavelets; timescale analysis; causality; entropy; C14; C32; C51; F31
Bibliography note
Includes bibliographical references
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb17060035
Dimensions
30 cm.
Extent
40 + 19 pages
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
System control number
(OCoLC)785634829

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