The paper deals with the analysis of exchange rates sentiments. In the approach suggested here a typical exchange rate sentiment is defined on the basis of certain function of mean and standard error of the logarithm ...The paper deals with the analysis of exchange rates sentiments. In the approach suggested here a typical exchange rate sentiment is defined on the basis of certain function of mean and standard error of the logarithm of the ratio of successive daily exchange rates. Based on this surmise, the exchange rate sentiments are classified into various states, whereby states are named according to the perceptions of the market player. A Markov model is built to capture the uncertainties in exchange rates sentiments. The approach advocated here will be of interest to researchers, exchange rate traders and financial analysts. As an application of the proposed line of approach, we analyse weekly and monthly exchange rate sentiments that govern exchange rates of the major global currencies—EUR, GBP, SDR, YEN, ZAR, USD, using data from 2001-2012. Some interesting conclusions are revealed based on the data analysis approach advocated in this paper.展开更多
文摘The paper deals with the analysis of exchange rates sentiments. In the approach suggested here a typical exchange rate sentiment is defined on the basis of certain function of mean and standard error of the logarithm of the ratio of successive daily exchange rates. Based on this surmise, the exchange rate sentiments are classified into various states, whereby states are named according to the perceptions of the market player. A Markov model is built to capture the uncertainties in exchange rates sentiments. The approach advocated here will be of interest to researchers, exchange rate traders and financial analysts. As an application of the proposed line of approach, we analyse weekly and monthly exchange rate sentiments that govern exchange rates of the major global currencies—EUR, GBP, SDR, YEN, ZAR, USD, using data from 2001-2012. Some interesting conclusions are revealed based on the data analysis approach advocated in this paper.
