Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/11531/100569
Título : Exchange rate regime changes and market efficiency: An event study
Autor : Corzo Santamaría, Teresa
Martín Bujack, Karin Alejandra Irene
Portela González, José
Rodríguez Gallego, Alejandro
Fecha de publicación : 1-abr-2025
Resumen : 
This study conducts a pioneering assessment of the efficiency of floating versus pegged exchange rate regimes and the effect of regime changes on market efficiency. Using daily exchange rates and fractal analysis, we characterize 81 currencies over a period of 23 years. The extensive sample covers 86.6  of IMF members and 77.8  of global GDP. The findings reveal high market efficiency in floating regimes, while pegged regimes display predominantly mean-reverting behavior. In addition, from the difference-in-differences and panel event study methodologies, we present new evidence indicating positive (negative) effects on efficiency when shifting to floating (pegged) regimes, with movements unfolding gradually over time.
Descripción : Artículos en revistas
URI : https:doi.org10.1016j.intfin.2025.102132
http://hdl.handle.net/11531/100569
ISSN : 1042-4431
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