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Article
A Signal Processing Model for Time Series Analysis: The Effects of International F/X Markets on Domestic Currencies Using Wavelet Networks (SCI-Expanded)
International Review of Electrical Engineering (2008)
  • Alper Ozun
  • Atilla Cifter, Marmara University
Abstract
This paper proposes a powerful methodology wavelet networks to investigate the effects of international F/X markets on emerging markets currencies. We used EUR/USD parity as input indicator (international F/X markets) and three emerging markets currencies as output indicator (emerging markets currency). We test if the effects of international F/X markets change across different timescale. Using wavelet networks, it is found that the effects of international F/X markets increase with higher timescale. This evidence shows that the causality of international F/X markets on emerging markets should be tested based on 32-64 days effect. We also find that the effects of EUR/USD parity on Turkish Lira is higher on 9-16 days and 33-64 days scales and this evidence shows that Turkish lira is less stable compare to other emerging markets currencies as international F/X markets effects Turkish lira on shorten time scale. Besides it is found that Russian ruble is mostly affected from international F/X market in the long time according to wavelet networks analysis.
Publication Date
June, 2008
Citation Information
Alper Ozun and Atilla Cifter. "A Signal Processing Model for Time Series Analysis: The Effects of International F/X Markets on Domestic Currencies Using Wavelet Networks (SCI-Expanded)" International Review of Electrical Engineering Vol. 3 Iss. 3 (2008)
Available at: http://works.bepress.com/alper_ozun/2/