This paper presents measures of long-range dependence in daily exchange rates of the Brazilian Real against the US Dollar, taken from 1995 to 2004 employing the classical R/S analysis with a rolling sample. It analyses the switch from a crawling peg exchange regime to a floating exchange regime, in 1999, finding antipersistence in the exchange rate during the first exchange regime, and long memory in the exchange rates along the second one. Also, it finds long memory for the exchange rates' volatilities along the whole period.
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Publisher Info
Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number
113.
Length: Date of creation: Aug 2006 Date of revision: Publication status: Published in Revista Brasileira de Economia, Vol. 60, no. 2 (Apr-Jul 2006) Handle: RePEc:bcb:wpaper:113