TY - JOUR
T1 - Memoria larga en el tipo de cambio nominal
T2 - Evidencia internacional
AU - Salazar Núñez, Héctor F.
AU - Venegas Martínez, Francisco
N1 - Publisher Copyright:
© 2015 Universidad Nacional Autónoma de México, Facultad de Contaduría y Admi-nistración.
PY - 2015/7/1
Y1 - 2015/7/1
N2 - This paper examines the dynamics of the exchange rate against the American dollar for several economies,developed and developing, in order to find evidence of long memory in the period 1971-2012. To do this,we apply the tests: Hurst coefficient, correlogram, variance graphic, Geweke and Porter-Hudak and the localWhittle estimator of Robinson. In this regard, Chile, China, Iceland, Israel, Mexico and Turkey presentedevidence of long memory based on robust tests and, therefore, it was estimated for them an autoregressiveintegrated moving average model in the domains of time and frequency. In the time domain, we used themaximum likelihood method (Sowell, 1992), and in the frequency domain we apply the technique from Foxand Taqqu (1986). The results from the autoregressive integrated moving average model show that Chile,China, Iceland and Mexico have evidence of long memory in the exchange rate; the estimation method thatpresented the best fit to the original curve was the exact maximum likelihood method according to criteriaAkaike information.
AB - This paper examines the dynamics of the exchange rate against the American dollar for several economies,developed and developing, in order to find evidence of long memory in the period 1971-2012. To do this,we apply the tests: Hurst coefficient, correlogram, variance graphic, Geweke and Porter-Hudak and the localWhittle estimator of Robinson. In this regard, Chile, China, Iceland, Israel, Mexico and Turkey presentedevidence of long memory based on robust tests and, therefore, it was estimated for them an autoregressiveintegrated moving average model in the domains of time and frequency. In the time domain, we used themaximum likelihood method (Sowell, 1992), and in the frequency domain we apply the technique from Foxand Taqqu (1986). The results from the autoregressive integrated moving average model show that Chile,China, Iceland and Mexico have evidence of long memory in the exchange rate; the estimation method thatpresented the best fit to the original curve was the exact maximum likelihood method according to criteriaAkaike information.
KW - Econometric methods
KW - Exchange rate
KW - International finance
KW - Long memory
UR - http://www.scopus.com/inward/record.url?scp=84946183036&partnerID=8YFLogxK
U2 - 10.1016/j.cya.2015.05.007
DO - 10.1016/j.cya.2015.05.007
M3 - Artículo
SN - 0186-1042
VL - 60
SP - 615
EP - 630
JO - Contaduria y Administracion
JF - Contaduria y Administracion
IS - 3
ER -