IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1408.4746.html
   My bibliography  Save this paper

Recurrence plots of exchange rates of currencies

Author

Listed:
  • Amelia Carolina Sparavigna

Abstract

Used to investigate the presence of distinctive recurrent behaviours in natural processes, the recurrence plots can be applied to the analysis of economic data, and, in particular, to the characterization of exchange rates of currencies too. In this paper, we will show that these plots are able to characterize the periods of oscillation and random walk of currencies and enhance their reply to news and events, by means of texture transitions. The examples of recurrence plots given here are obtained from time series of exchange rates of Euro.

Suggested Citation

  • Amelia Carolina Sparavigna, 2014. "Recurrence plots of exchange rates of currencies," Papers 1408.4746, arXiv.org.
    • Handle: RePEc:arx:papers:1408.4746
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1408.4746
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Ronald Macdonald & Mark P. Taylor, 1992. "Exchange Rate Economics: A Survey," IMF Staff Papers, Palgrave Macmillan, vol. 39(1), pages 1-57, March.
    2. Lean Yu & Shouyang Wang & Kin Keung Lai, 2007. "Foreign-Exchange-Rate Forecasting With Artificial Neural Networks," International Series in Operations Research and Management Science, Springer, number 978-0-387-71720-3, April.
    3. Jorge Belaire-Franch, & Dulce Contreras & Lorena Tordera-Lledo, 2002. "Assessing Non-Linear Structures in Real Exchange Rates Using Recurrence Plot Strategies," Computing in Economics and Finance 2002 239, Society for Computational Economics.
    4. Christian Ullrich, 2009. "Forecasting and Hedging in the Foreign Exchange Markets," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-00495-7, July.
    5. Yoon, Gawon, 2010. "Do real exchange rates really follow threshold autoregressive or exponential smooth transition autoregressive models?," Economic Modelling, Elsevier, vol. 27(2), pages 605-612, March.
    6. Belaire-Franch, Jorge & Contreras, Dulce, 2002. "Recurrence Plots in Nonlinear Time Series Analysis: Free Software," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 7(i09).
    7. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, number 9780521466004, October.
    8. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, number 9780521460477, October.
    9. Amelia Carolina Sparavigna, 2014. "Recurrence Plots from Altimetry Data of Some Lakes in Africa," International Journal of Sciences, Office ijSciences, vol. 3(07), pages 19-27, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Amelia Carolina Sparavigna & Roberto Marazzato, 2015. "Recurrence Plots of Geolocated Time Series from Satellite Maps of NOAA STAR Vegetation Health Index," International Journal of Sciences, Office ijSciences, vol. 4(12), pages 47-54, December.
    2. Amelia Carolina Sparavigna, 2014. "Carbon Dioxide Concentration and Emissions in Atmosphere: Trends and Recurrence Plots," International Journal of Sciences, Office ijSciences, vol. 3(10), pages 8-15, October.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Amelia Carolina Sparavigna, 2014. "Recurrence Plots of Exchange Rates of Currencies," International Journal of Sciences, Office ijSciences, vol. 3(07), pages 87-95, July.
    2. Peter Rowland & Hugo OLiveros C., 2003. "Colombian Purchasing Power Parity Analysed Using a Framework of Multivariate Cointegration," Borradores de Economia 252, Banco de la Republica de Colombia.
    3. Chinn, Menzie D., 2006. "The (partial) rehabilitation of interest rate parity in the floating rate era: Longer horizons, alternative expectations, and emerging markets," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 7-21, February.
    4. Ila Patnaik & Peter Pauly, 2001. "The Indian Foreign Exchange Market and the Equilibrium Real Exchange Rate of the Rupee," Global Business Review, International Management Institute, vol. 2(2), pages 195-212, August.
    5. Menzie D. Chinn & Yi Zhang, 2018. "Uncovered Interest Parity and Monetary Policy Near and Far from the Zero Lower Bound," Open Economies Review, Springer, vol. 29(1), pages 1-30, February.
    6. Carlson, J.A: Osler, C.L., 1998. "Determinants of Currency Risk Premiums," Papers 98-006, Purdue University, Krannert School of Management - Center for International Business Education and Research (CIBER).
    7. Peter Rowland, 2002. "Uncovered Interest Parity And The Usd/Cop Exchange Rate," Borradores de Economia 3733, Banco de la Republica.
    8. Peter Rowland, 2003. "Uncovered Interest Parity and the USD/COP Echange Rate," Borradores de Economia 227, Banco de la Republica de Colombia.
    9. Guy Meredith & Menzie D. Chinn, 1998. "Long-Horizon Uncovered Interest Rate Parity," NBER Working Papers 6797, National Bureau of Economic Research, Inc.
    10. Menzie D. Chinn & Guy Meredith, 2005. "Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era," NBER Working Papers 11077, National Bureau of Economic Research, Inc.
    11. Dumitriu, Ramona & Nistor, Costel & Stefanescu, Razvan, 2009. "Changes in the monthly effects from the Romanian foreign exchange market," MPRA Paper 41743, University Library of Munich, Germany, revised 08 May 2010.
    12. Otavio De Medeiros, 2005. "Order Flow and Exchange Rate Dynamics in Brazil," Finance 0503019, University Library of Munich, Germany.
    13. Josip Tica, 2006. "Exchange Rate Economics in Transition Economies," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 9(2), pages 155-170, November.
    14. Chinn, Menzie D. & Meredith, Guy, 2000. "Testing uncovered interest parity at short and long horizons," HWWA Discussion Papers 102, Hamburg Institute of International Economics (HWWA).
    15. Works, Richard Floyd, 2016. "Econometric modeling of exchange rate determinants by market classification: An empirical analysis of Japan and South Korea using the sticky-price monetary theory," MPRA Paper 76382, University Library of Munich, Germany.
    16. Peter Rowland, 2003. "Forecasting the USD/COP Exchange Rate: A Random Walk a Variable Drift," Borradores de Economia 253, Banco de la Republica de Colombia.
    17. Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2009. "Analysis of the dynamic relation between the currency rates and the interest rates from Romania and euro area before and during the financial crisis," MPRA Paper 41744, University Library of Munich, Germany, revised 04 Mar 2010.
    18. Chinn, Menzie David & Meredith, Guy, 2000. "Interest parity at short and long horizons," SFB 373 Discussion Papers 2000,44, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    19. Bodart, Vincent & Reding, Paul, 1999. "Exchange rate regime, volatility and international correlations on bond and stock markets," Journal of International Money and Finance, Elsevier, vol. 18(1), pages 133-151, January.
    20. Takatoshi Ito & Peter Isard & Steven Symansky, 1999. "Economic Growth and Real Exchange Rate: An Overview of the Balassa-Samuelson Hypothesis in Asia," NBER Chapters, in: Changes in Exchange Rates in Rapidly Developing Countries: Theory, Practice, and Policy Issues, pages 109-132, National Bureau of Economic Research, Inc.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1408.4746. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.