Exchange rate regimes and price efficiency: Empirical examination of the impact of financial crisis

Autor(es)

Diniz-Maganini, Natalia ^[1] ; Rasheed, Abdul A. ^[2] ; Sheng, Hsia Hua ^[1]

Afiliação do(s) autor(es)

^[1] FGV EAESP Sao Paulo Sch Business Adm, Getulio Vargas Fdn, Dept Accounting & Finance, Rua Itapeva 474, 8th Floor, Bela Vista, BR-01332000 Sao Paulo, SP - Brazil

^[2] Univ Texas Arlington, Coll Business Adm, Dept Management, Box 19467, Arlington, TX 76019 - USA

• Tipo de documento: Artigo Científico
• Fonte: JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY; v. 73, JUL 2021.
• Citações Web of Science: 0

Resumo

We analyze how different currency regimes influence the price efficiency of exchange rates. Based on an analysis of a sample of 20 exchange rates (covering 39 countries) over a 15-year period using MF-DFA (Multifractal Detrended Fluctuation Analysis), we find that currencies of countries following a Free Float regime show greater price efficiency than currencies of countries following a Managed Float regime. We also examined the impact of the financial crisis of 2008-09 on the price efficiency of these currencies. Our results suggest that currencies following the Free Float exchange regime experienced significantly greater deterioration in their price efficiency than currencies under Managed Float regimes. Even more interestingly, the efficiency of the currencies of the Free Float countries have not fully recovered even a decade after the crisis. (c) 2021 Published by Elsevier B.V. (AU)

• Processo FAPESP: 18/17477-8 - Cross - Listing e emissão de dívidas no contexto de mercado eficiente: um estudo no mercado brasileiro
• Beneficiário: Natalia Diniz-Maganini
• Modalidade de apoio: Bolsas no Brasil - Pós-Doutorado