Abstract
We analyse the pattern of daily Euro–US Dollar exchange rate from the birth of Euro, in January 1999, until December 2012. This series is I(1), as is usual for nominal bilateral exchange rates; however, it is far from following a random walk process. We find evidence of the presence of day effects, even if they play a more limited role as compared to other exchange rates observed over previous periods of time. More surprisingly, we find statistical significance of some month effects in the first-differences of exchange rate, and strong variation in their variance across months. Hence, monthly seasonality in daily Euro–US Dollar exchange rate cannot be overlooked, and some explanations are suggested.
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