The Open Economics Journal

2011, 4 : 44-48
Published online 2011 July 15. DOI: 10.2174/1874919401104010044
Publisher ID: TOECONSJ-4-44

Are Exchange Rates Really Free from Seasonality? An Exploratory Analysis on Monthly Time Series

Roberto Cellini Tiziana Cuccia
Department of Economics and Quantitative Methods, University of Catania, Corso Italia.

ABSTRACT

This study deals with the seasonality of monthly time series of nominal exchange rates. Available literature overlooks seasonality in nominal bilateral exchange rates, and generally assumes that such rates are non-seasonal. We show that seasonality is absent in recent data, while it was present in selected cases from the Seventies and Eighties of the past century. We suggest that these pieces of evidence are consistent with the general equilibrium models of exchange rate determination.

JEL Classification: C22, F31.

Keywords:

Seasonality, exchange rates.