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Título : Floating exchange rate efficiency: Grouping patterns and pandemic impacts
Autor : Corzo Santamaría, Teresa
Martín Bujack, Karin Alejandra Irene
Portela González, José
Rodríguez Gallego, Alejandro
Fecha de publicación : 1-ago-2025
Resumen : 
This study investigates the efficiency of global floating exchange rates spanning 19 years from 2004 to 2022. We examine the presence of long memory in a sample of twenty-five floating exchange rates against the US Dollar, representing 63 of 2022 global GDP. To that end, we rely on rolling window estimates of the Hurst coefficient using Detrended Fluctuation Analysis (DFA) and Generalized Hurst Exponent (GHE) methodologies focusing on the impact of the COVID crisis. Repercussions of the COVID-19 pandemic on efficiency clearly emerge. Complementing previous partial studies, we obtain patterns that group currencies according to their pandemic efficiency reaction, presenting a comprehensive understanding of the dynamics of floating exchange rates. The broad sample of currencies analyzed allows the identification of two distinct groups of currencies, revealing a temporary shift in FX markets away from efficiency, with one group exhibiting prolonged deviations. Given the importance of the forex market, our empirical findings hold substantial implications for the broader finance community.
Descripción : Artículos en revistas
URI : https:doi.org10.1016j.inteco.2025.100591
http://hdl.handle.net/11531/100524
ISSN : 2110-7017
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