Multifractality in peso-dollar exchange rate before and after the Asian financial crisis

Abstract

This paper compares the multifractality of the daily exchange rate between the Philippine Peso and the US Dollar before and after the 1997 Asian financial crisis using the multifractal detrended fluctuation analysis. The resulting generalized Hurst exponent is used to measure multifractality and quantify efficiency of the Philippine foreign exchange market. The study found that in both periods the peso-dollar exchange rate display signs of multifractality which is mainly due to broad fat-tail distributions. It also shows that the Philippine foreign exchange market becomes more efficient after the crisis.