First published: 2020

Brief summary

Estimates parametric spectral density functions for exchange rate and GDP cyclical components across major emerging market economies, finding periodic exchange rate and business cycles with estimated lengths ranging from 4 to 8 years.

Article

Periodic Business and Exchange Rate Cycles is a peer-reviewed working paper published by IMK Working Paper (Institute for Macroeconomics and Policy) in 2020. It estimates parametric spectral density functions for exchange rate and GDP cyclical components across major emerging market economies, finding periodic exchange rate and business cycles with estimated lengths ranging from 4 to 8 years.

The analysis focuses on 4-8 years (estimated cycle length across most emerging economies). The data source is logged nominal USD exchange rate and real GDP cyclical components for multiple EMEs. It also considers parametric spectral density estimation via ARMA models. This gives the cycle claim a specific numerical and evidential setting rather than presenting periodicity only as a visual impression.

The article reports the following result: Several major emerging market economies exhibit periodic exchange rate and business cycles, with the dominant frequencies of the estimated dynamic factor generally similar between exchange rate and GDP series, and estimated cycle lengths ranging from 4 to 8 years. The interpretation is strongest when volatility, non-stationarity, market-regime changes and multiple-frequency testing are treated explicitly.

For cycles researchers, the article brings together exchange rate cycles, business cycles, emerging markets, spectral density. It is relevant to exchange-rate cycle research because periodic components must be separated from volatility, trend, market microstructure and changing monetary regimes.

Because it is a peer-reviewed working paper, the article is a strong starting point for discussion in the Exchange Rates forum, although its conclusions should still be compared with later replications and updated datasets.

Source details and credits

• Source / publisher: IMK Working Paper (Institute for Macroeconomics and Policy)
• Source type: Peer-reviewed working paper
• URL type: PDF
• Credits: IMK Working Paper (Institute for Macroeconomics and Policy)
• URL: https://www.imk-boeckler.de/fpdf/HBS-007849/p_fmm_imk_wp_58_2020.pdf

First published: 2019

Brief summary

Periodogram-based spectral analysis of daily GBP/EUR and TRY/EUR exchange rate series finds a weekly periodicity in GBP/EUR and a monthly fluctuation pattern in TRY/EUR, alongside day-to-day volatility.

Article

Spectral Analysis of Exchange Rates (GBP/EUR and TRY/EUR) is a preprint published by Academia.edu (working paper) in 2019. It focuses on periodogram-based spectral analysis of daily GBP/EUR and TRY/EUR exchange rate series finds a weekly periodicity in GBP/EUR and a monthly fluctuation pattern in TRY/EUR, alongside day-to-day volatility.

The analysis focuses on weekly (GBP/EUR, variance peak near frequency 0.2), monthly (TRY/EUR, frequency 0.05). The data source is 3,716 daily GBP/EUR observations and 2,179 daily TRY/EUR observations. This gives the cycle claim a specific numerical and evidential setting rather than presenting periodicity only as a visual impression.

The article reports the following result: The study reveals GBP/EUR exhibits weekly periodicity with variance peaks around frequency 0.2, while TRY/EUR shows day-to-day volatility and a monthly fluctuation at frequency 0.05, using periodogram analysis on first-differenced daily rates. The interpretation is strongest when volatility, non-stationarity, market-regime changes and multiple-frequency testing are treated explicitly.

For cycles researchers, the article brings together exchange rate periodicity, gbp-eur, try-eur, periodogram analysis. It is relevant to exchange-rate cycle research because periodic components must be separated from volatility, trend, market microstructure and changing monetary regimes.

Because it is a preprint, the work should be read alongside later peer-reviewed publications and independent replications. It remains useful because the proposed cycle, dataset and analytical approach are stated clearly enough to be scrutinised.

Source details and credits

• Source / publisher: Academia.edu (working paper)
• Source type: Preprint
• URL type: WWW
• Credits: Academia.edu (working paper)
• URL: https://www.academia.edu/38091058/SPECTRAL_ANALYSIS_OF_EXCHANGE_RATES

First published: 2017

Brief summary

Adapts bioinformatics sequence-alignment techniques (originally developed for detecting periodicity in DNA/protein sequences) to detect latent periodicity in EUR/USD exchange rate data despite gaps or irregularities in the time series.

Article

Study of the Periodicity in Euro-US Dollar Exchange Rates Using Local Alignment and Random Matrices is a peer-reviewed conference paper published by Procedia Computer Science (ScienceDirect) in 2017. It focuses on adapts bioinformatics sequence-alignment techniques (originally developed for detecting periodicity in DNA/protein sequences) to detect latent periodicity in EUR/USD exchange rate data despite gaps or irregularities in the time series.

Novel cross-disciplinary method (local sequence alignment + random matrix theory) applied to detect latent periodicity in EUR/USD exchange rate time series, including in the presence of data gaps. This gives the cycle claim a specific numerical and evidential setting rather than presenting periodicity only as a visual impression.

The article reports the following result: The purpose of this study was to detect latent periodicity in the presence of deletions or insertions in the analysed EUR/USD exchange rate data, adapting methods originally developed for finding hidden periodicities in biological sequences. The interpretation is strongest when volatility, non-stationarity, market-regime changes and multiple-frequency testing are treated explicitly.

For cycles researchers, the article brings together eur-usd periodicity, local sequence alignment, random matrix theory, exchange rates. It is relevant to exchange-rate cycle research because periodic components must be separated from volatility, trend, market microstructure and changing monetary regimes.

Because it is a peer-reviewed conference paper, the article is a strong starting point for discussion in the Exchange Rates forum, although its conclusions should still be compared with later replications and updated datasets.

Source details and credits

• Source / publisher: Procedia Computer Science (ScienceDirect)
• Source type: Peer-reviewed conference paper
• URL type: WWW
• Credits: Procedia Computer Science (ScienceDirect)
• URL: https://www.sciencedirect.com/science/article/pii/S1877050917306804

First published: 2011

Brief summary

Applies bilinear time-frequency distributions (including the Page distribution) to detect hidden periodic components in high-frequency USD/EUR and USD/JPY exchange rate data, an unusual application of spectral methods in a field dominated by ARIMA/GARCH modeling.

Article

Time-Frequency Analysis of Foreign Exchange Rate Periodicities is a preprint published by Academia.edu (working paper) in 2011. It applies bilinear time-frequency distributions (including the Page distribution) to detect hidden periodic components in high-frequency USD/EUR and USD/JPY exchange rate data, an unusual application of spectral methods in a field dominated by ARIMA/GARCH modelling.

The study compares median filter vs. Hodrick-Prescott filter for identifying significant cycle lengths in USD/EUR and USD/JPY exchange rates. It also considers methodology paper on time-frequency periodicity detection. This gives the cycle claim a specific numerical and evidential setting rather than presenting periodicity only as a visual impression.

The article reports the following result: The median filter outperformed the HP filter in identifying significant cycle lengths in both USD/EUR and USD/JPY exchange rates; using spectral analysis is very common in technical areas but rather unusual in economics and finance. The interpretation is strongest when volatility, non-stationarity, market-regime changes and multiple-frequency testing are treated explicitly.

For cycles researchers, the article brings together foreign exchange periodicity, time-frequency analysis, usd-eur, usd-jpy. It is relevant to exchange-rate cycle research because periodic components must be separated from volatility, trend, market microstructure and changing monetary regimes.

Because it is a preprint, the work should be read alongside later peer-reviewed publications and independent replications. It remains useful because the proposed cycle, dataset and analytical approach are stated clearly enough to be scrutinised.

Source details and credits

• Source / publisher: Academia.edu (working paper)
• Source type: Preprint
• URL type: WWW
• Credits: Academia.edu (working paper)
• URL: https://www.academia.edu/916238/Time_frequency

First published: 2004

Brief summary

CRI Kondratieff page includes discussion of terms of trade, import/export prices and migration in New Zealand.

Article

Demographics

When I first did economic modelling on computers in 1977 I was not looking for cycles but rather for regression equations that would allow future values of economic variables to be estimated for businesses to assist in decision making. I was rather surprised to find a bunch of cycles jump out at me in my results. One of these was a very long cycle which only had a single wave in the data period I was using.

This long wave was connected to a number of different things, but the most relevant to its cause seemed to be the variations in demographics. The birth rate was lower in the times when major recessions occured and higher when the economy was stable. These birth rate fluctuations affected the whole age distribution of the population, meaning that lumps of people with similar ages exist until those people die of old age. The most recent lump is called the post war (WW II) baby boom.

As well as fluctuations in demographics and prices, this wave showed up in the New Zealand economy that I was studying in terms of trade, which is the relation between import and export prices, and in migration rates.

Additional summary

The remainder discusses demographic causes of the Kondratieff cycle, capital formation, migration, employment and long-wave timing.

Source details and credits

• Source / publisher: Cycles Research Institute
• Source type: Webpage
• URL type: WWW
• Credits: Cycles Research Institute
• URL: https://cyclesresearchinstitute.org/subjects/cycles-economy/kondratieff-cause/

First published: 1989

Brief summary

NBER paper entry for classic exchange-rate dynamics.

Article

The linked NBER paper is titled “Venture Capital and Capital Gains Taxation.” It is unrelated to the Dornbusch exchange-rate overshooting model, so the spreadsheet topic and source do not match.

The paper examines how personal capital-gains tax rates may affect venture-capital activity. It distinguishes between effects on the supply of investment funds and effects on the supply and incentives of entrepreneurs.

The author argues that the supply-of-funds channel is unlikely to be the main mechanism because many venture investors are tax-exempt. Capital-gains taxation may instead influence founders and employees who accept shares or options in place of current wage income.

The paper concludes that a general reduction in capital-gains tax is a broad policy instrument for encouraging venture investment. It contains no analysis of sticky prices, monetary shocks or short-run exchange-rate overshooting.

Source details and credits

• Source / publisher: NBER
• Source type: Working paper
• URL type: WWW
• Credits: NBER
• URL: https://www.nber.org/papers/w2832

First published: 2003

Brief summary

CBOE information on currency volatility indices.

Article

The linked Cboe page contains historical data for the VIX and several other volatility indices. It does not provide a dedicated foreign-exchange volatility series, so the spreadsheet topic and source do not match.

The VIX is designed to estimate expected 30-day volatility in the US equity market from prices of S&P 500 index options. Cboe provides daily closing values from 1990 onwards, together with historical data for related indices.

Because the VIX is widely used as a measure of global risk aversion, it is sometimes compared with exchange rates, capital flows and currency-market stress. Such relationships are empirical and can vary across currencies and time periods.

A direct study of foreign-exchange volatility would instead use realised changes in currency prices or option-implied volatility for specific currency pairs. The linked data should therefore be identified as equity-market volatility data rather than FX volatility data.

Source details and credits

• Source / publisher: Cboe
• Source type: Data portal
• URL type: WWW
• Credits: Cboe
• URL: https://www.cboe.com/tradable_products/vix/vix_historical_data/

First published: 1999

Brief summary

IMF reference on exchange arrangements and regimes.

Article

The linked IMF page presents a historical classification of exchange-rate arrangements and monetary frameworks. It ranks systems according to the flexibility of the exchange rate and the strength of any formal or informal commitment to a particular exchange-rate path.

Exchange-rate regimes range from arrangements with little independent currency movement to more flexible systems in which market forces play a larger role. Monetary frameworks can also differ according to whether policy is organised around an exchange-rate anchor, monetary target, inflation target or another objective.

The classification is described as de facto because it attempts to record how a system operates in practice rather than relying only on its official legal description. Actual intervention and currency behaviour may differ from a government’s announced regime.

The linked archive was last updated in February 2009 and contains classifications for earlier years. It is useful for historical comparison, but it should not be treated as a current list of national exchange-rate regimes.

Source details and credits

• Source / publisher: IMF
• Source type: Reference
• URL type: WWW
• Credits: IMF
• URL: https://www.imf.org/external/np/mfd/er/index.aspx

First published: 2018

Brief summary

BIS working paper on carry trade and currency risk premia.

Article

The linked BIS paper is titled “Searching for yield abroad: risk-taking through foreign investment in US bonds.” It is not a study of currency carry trades, despite the topic title used in this spreadsheet.

The study analyses security-level holdings by investors from 36 countries in nearly 15,000 US corporate bonds between 2003 and 2016. It compares changes in investors’ home-country interest rates with the risk profile of the bonds they purchase.

The authors find that declining home interest rates are associated with shifts towards riskier US corporate bonds. The estimated effect becomes stronger when interest rates fall to especially low levels.

The paper concerns international portfolio risk-taking and search-for-yield behaviour. It does not directly test borrowing in a low-yield currency to invest in a high-yield currency, which is the usual definition of a foreign-exchange carry trade.

Source details and credits

• Source / publisher: BIS
• Source type: Working paper
• URL type: WWW
• Credits: BIS
• URL: https://www.bis.org/publ/work687.htm