IDEAS home Printed from https://ideas.repec.org/a/nov/artigo/v25y2015i2p311-324.html
   My bibliography  Save this article

Persistência da taxa de câmbio real: um estudo a partir do estimador local de Whittle [Real Exchange Rate Persistence: a Study using the Local Whittle Estimator]

Author

Listed:
  • André M. Marques

    (UFPB)

Abstract

Since 1973, the widespread adoption of floating exchange rates amongst regimes, coupled with the opening of trade and greater financial integration between countries on a global level, has increased the volatility of the exchange rate. Therefore, it is difficulty to support the hypothesis of purchasing power parity. In this context, this study investigates the possibility of a decrease in the persistence of real exchange rates before and after the intensification of trade and financial integration among economies. Based on monthly data for twenty countries, the hypothesis of change in persistence is tested using the estimation of the fractional coefficient d for two periods: 1975-1994 and 1995-2011. Employing a robust estimator relative to conditional heteroskedasticity, the study can provide more reliable evidence on the stationarity of the real exchange rate. The results suggest no significant change in the persistence of the real exchange rate which is still nonstationary.

Suggested Citation

  • André M. Marques, 2015. "Persistência da taxa de câmbio real: um estudo a partir do estimador local de Whittle [Real Exchange Rate Persistence: a Study using the Local Whittle Estimator]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 25(2), pages 311-324, May-Augus.
    • Handle: RePEc:nov:artigo:v:25:y:2015:i:2:p:311-324
    as

    Download full text from publisher

    File URL: http://www.scielo.br/pdf/neco/v25n2/1980-5381-neco-25-02-00311.pdf
    Download Restriction: no
    File URL: http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0103-63512015000200311&lng=pt&nrm=iso&tlng=pt
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    purchasing power parity; persistence; fractional integration; real exchange rate;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nov:artigo:v:25:y:2015:i:2:p:311-324. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Lucas Resende de Carvalho (email available below). General contact details of provider: https://edirc.repec.org/data/fufmgbr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.