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Long memory in the R$ / US$ exchange rate: A robust analysis

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  • Laurini, Márcio Poletti
  • Portugal, Marcelo Savino

Abstract

This article shows that the evidence of long memory for the daily R$ /US$ exchange rate series after the implementation of the Real Plan is not robust when we analyze the existence of structural breaks in this series. We demonstrate that the long memory observed is caused by changes in the structure of variance, captured by a Markov Switching model in all the parameters. A Monte Carlo study shows that the long memory structure can be induced by changes in the unconditional variance parameters, and that the data generating mechanism is a short memory process.

Suggested Citation

  • Laurini, Márcio Poletti & Portugal, Marcelo Savino, 2004. "Long memory in the R$ / US$ exchange rate: A robust analysis," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 24(1), May.
    • Handle: RePEc:sbe:breart:v:24:y:2004:i:1:a:2705
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    Cited by:

    1. Sergio Da Silva & Annibal Figueiredo & Iram Gleria & Raul Matsushita, 2007. "Hurst exponents, power laws, and efficiency in the Brazilian foreign exchange market," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-11.
    2. Chatziantoniou, Ioannis & Filis, George & Floros, Christos, 2017. "Asset prices regime-switching and the role of inflation targeting monetary policy," Global Finance Journal, Elsevier, vol. 32(C), pages 97-112.
    3. Quinton Morris & Gary Van Vuuren & Paul Styger, 2009. "Further Evidence Of Long Memory In The South African Stock Market," South African Journal of Economics, Economic Society of South Africa, vol. 77(1), pages 81-101, March.
    4. repec:ebl:ecbull:v:7:y:2007:i:1:p:1-11 is not listed on IDEAS

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