Spectral Analysis of Exchange Rates (GBP/EUR and TRY/EUR)
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