Multifractal Characteristics of the Euro Exchange Rate

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  • Chu Meifen
    Faculty of Economics, Kyushu University : Assistant Professor

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Description

The objective of this study is to examine the characteristics of the Euro exchange rate. The Euro is an 18-year old young currency. However, it experienced two huge financial crises during such a short time period, the Global Financial Crisis and the European Sovereign Debt Crisis. Since its establishment in 1999, the Euro grew rapidly and became the second most traded currency in the world. The high-speed development of the Euro drew much attention of researchers and policymakers. This paper detects the characteristics of the Euro exchange rate by using the multifractal detrended fluctuation analysis (MF-DFA), which is widely applied in physics, engineering, medical science and other fields. This paper separates the entire Euro exchange rate series into four sub-series according to the most significant events and then detects the multifractal features of the series respectively. Next, by using the moving window approach, it generates 16 sub-series and scan the entire series year by year. Such that, it examines the detailed patterns of the Euro exchange rate and detects the degrees of complexity of the Euro exchange rate. Further, this paper examines the effectiveness of the monetary policies on the stabilizing the exchange rate.

Journal

  • 經濟學研究

    經濟學研究 85 (4), 107-117, 2018-12-25

    Society of Political Economy, Kyushu University

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