PERSISTENCE IN FOREIGN-EXCHANGE RATES

This study examines the long-run behavior of seven daily nominal excha nge rates using univariate and multivariate persistence measures. Our results indicate that for some currencies, the long-run behavior devia tes from that of a pure random walk in certain periods. The multivaria te estimates reflect the effect of both the EMS Exchange Rate Mechanis m and increased post-louvre Accord coordinated intervention. A large p ortion of the effect of a shock in one currency on another currency's long-run value can be attributed to contemporaneous effects on the oth er currencies. Copyright (C) 1996 Elsevier Science Ltd.